# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007248
**Filing Date:** 2026-5
**Character Count:** 4660343
**Document Hash:** 68c531978b8fcf927b5cd38eca6bb8ef
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007248.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007248

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043474

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

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

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

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

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

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

- **b. Date as of which information is reported:** 2026-03-31

**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:** $570770528653.72

**Total Liabilities:** $345981496394.17

**Net Assets:** $224789032259.55

**Delayed Delivery Securities:** $1893350351.89

**Cash Not Reported:** $705051952.96

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 10468549.059400 | **1-Year:** 23930552.714300 | **5-Year:** 62278335.390000 | **10-Year:** 11364548.951000 | **30-Year:** -2270064.406600

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

- **3-Month:** 4824500.303700 | **1-Year:** 3396482.268800 | **5-Year:** 8672502.996700 | **10-Year:** 2757241.621800 | **30-Year:** 425509.703700

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000046103 | 0.57%                | 1.33%                | -2.47%               |
| Class ID C000046098 | 0.56%                | 1.31%                | -2.48%               |
| Class ID C000046099 | 0.50%                | 1.25%                | -2.55%               |
| Class ID C000064169 | 0.58%                | 1.34%                | -2.46%               |
| Class ID C000200460 | 0.58%                | 1.33%                | -2.46%               |
| Class ID C000046101 | 0.54%                | 1.29%                | -2.50%               |
| Class ID C000046102 | 0.59%                | 1.35%                | -2.45%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $231002180.32            | $669036374.50                              |
| Month 2  | $294578337.39            | $1797534371.19                             |
| Month 3  | $-555376276.73           | $-4977391531.47                            |

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                      | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |      Balance | Units   | Value (USD)     | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                              | BOUGHT CAD SOLD USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $132.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JETBLUE 2019-1 CLASS AA PASS THROUGH TRUST                                       | JETBLUE 2019 1 CLASS AA PASS THRU CE 11/33 2.75            | CUSIP: 477143AH4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2140704 | PA      | $1901818.77     | 0.00%             | 2033-11-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                         | SOFTBANK VISION FUND II TRANCHE B1 TERM LOAN               | CUSIP: BA000KP88<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    362099103 | PA      | $368146158.01   | 0.16%             | 2029-04-25      | Floating      | 7.35%                 | No            |                  3 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE2                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE2 A4            | CUSIP: 46602WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29010863 | PA      | $7772535.28     | 0.00%             | 2036-08-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR1                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1          | CUSIP: 32053EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1408119 | PA      | $550602.78      | 0.00%             | 2037-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 2 11A1                 | CUSIP: 07386HH46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2531581 | PA      | $2312842.00     | 0.00%             | 2036-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $4108622.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WATR 2025-2                                                                      | WATR ISSUER TRUST WATR 2025 2 B 144A                       | CUSIP: 94260AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13653000 | PA      | $13510131.46    | 0.01%             | 2050-09-16      | Fixed         | 5.04%                 | No            |                  3 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-9                                                   | HOME EQUITY ASSET TRUST HEAT 2005 9 M2                     | CUSIP: 437084QZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7056749 | PA      | $6910592.38     | 0.00%             | 2036-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII           | CUSIP: 76112BR36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14754402 | PA      | $13610351.56    | 0.01%             | 2035-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-34A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 34A 3A1           | CUSIP: 86359A4Z3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10550 | PA      | $10519.62       | 0.00%             | 2033-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ3                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ3 M5                | CUSIP: 70069FJT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8888241 | PA      | $8692117.59     | 0.00%             | 2035-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6745 FN 08/44 FIXED VAR                        | CUSIP: 3138EPP73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4964 | PA      | $4790.88        | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                      | SES S A COMMON STOCK                                       | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |      7981591 | NS      | $119723865.00   | 0.05%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB1040 FN 03/54 FIXED 5                          | CUSIP: 3140AAEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2799171 | PA      | $2764513.02     | 0.00%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-12                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 12 4A1            | CUSIP: 2254W0MK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9577488 | PA      | $2156790.00     | 0.00%             | 2036-03-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6445 FN 07/47 FIXED 3.5                        | CUSIP: 3140GVET8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42582 | PA      | $39875.83       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2020-1 LTD                                                            | CANYON CAPITAL CLO LTD CANYC 2020 1A AR2 144A              | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4400000 | PA      | $4404600.99     | 0.00%             | 2034-07-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60722 FG 10/46 FIXED 3                  | CUSIP: 31335AYT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       153140 | PA      | $138584.84      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.05750 01/07/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $618520.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1              | CUSIP: 92977YBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24484 | PA      | $23685.11       | 0.00%             | 2035-10-20      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                                      | WATR ISSUER TRUST WATR 2025 1 R 144A                       | CUSIP: 942611AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10556356 | PA      | $18244749.25    | 0.01%             | 2050-06-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0804 FN 12/46 FIXED 3.5                        | CUSIP: 3140FK3N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36450 | PA      | $33981.65       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5825 FR 01/53 FIXED 6                  | CUSIP: 3133BTPJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       151719 | PA      | $155456.83      | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A E 144A                       | CUSIP: ACI2V5906<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     18901000 | PA      | $24784853.30    | 0.01%             | 2056-08-28      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| GOLDEN BAR SECURITISATION SRL 2023-2 23-2                                        | GOLDEN BAR SECURITISATION GOLDB 2023 2 A REGS              | CUSIP: ACI2KTMD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |     12359058 | PA      | $14350489.25    | 0.01%             | 2043-09-22      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260713                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-450975.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 3A1           | CUSIP: 17307G3F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       777597 | PA      | $752924.73      | 0.00%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE4                                                     | ACE SECURITIES CORP. ACE 2005 HE4 M5                       | CUSIP: 004421PU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8447180 | PA      | $8377343.49     | 0.00%             | 2035-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9424 FN 04/47 FIXED 4.5                        | CUSIP: 3138WKPJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        92289 | PA      | $90928.40       | 0.00%             | 2047-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8199 G2 08/52 FIXED 3.5                     | CUSIP: 36179XDC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1856068 | PA      | $1715997.34     | 0.00%             | 2052-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO 4 LTD 2023-2A                                                     | 37 CAPITAL CLO LTD PUTNM 2023 2A AR 144A                   | CUSIP: 883932AN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     76900000 | PA      | $76923058.47    | 0.03%             | 2035-04-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6782 FN 02/47 FIXED 3.5                        | CUSIP: 3140FSRC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       316234 | PA      | $294435.59      | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8463 FN 07/41 FIXED 4.5                        | CUSIP: 3138ANMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       148043 | PA      | $146593.48      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 4 2A3            | CUSIP: 07387ABP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       517105 | PA      | $517002.15      | 0.00%             | 2035-08-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6312 FN 05/53 FIXED 5                          | CUSIP: 3140QSAN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       150279 | PA      | $149840.21      | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-6689.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SABINE RE LTD                                                                    | SABINE RE LTD UNSECURED 144A 04/31 VAR                     | CUSIP: 785628AA6<br>LEI: 254900FU1Z2XK88D3602 | Long             | DBT              | CORP              | BM        |      6600000 | PA      | $6808560.00     | 0.00%             | 2031-04-07      | Floating      | 12.04%                | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-6A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 6A B4A 144A        | CUSIP: 64830BBS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7470191 | PA      | $7305571.42     | 0.00%             | 2057-08-27      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-4                                              | SAXON ASSET SECURITIES TRUST SAST 2005 4 M3                | CUSIP: 805564TL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4873000 | PA      | $4291932.27     | 0.00%             | 2037-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3742 FN 08/39 FIXED 3.5                        | CUSIP: 31418DEQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       393521 | PA      | $377375.62      | 0.00%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BMW CANADA AUTO TRUST 2024-1A                                                    | BMW CANADA AUTO TRUST BMWC 2024 1A A2 144A                 | CUSIP: 05570XCL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |      3230673 | PA      | $2327636.15     | 0.00%             | 2027-07-20      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1285 FN 05/47 FIXED VAR                        | CUSIP: 3140J5NB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27265 | PA      | $26913.31       | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6692 FN 03/48 FIXED 3.5                        | CUSIP: 3140H8NJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       296639 | PA      | $282636.44      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM1 PT 144A      | CUSIP: 36271LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    182638128 | PA      | $185744273.42   | 0.08%             | 2065-04-25      | Variable      | 6.32%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                              | BAMLL COML MTG SECS TR 2024 04/42 1                        | CUSIP: 05554WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43790000 | PA      | $33452766.20    | 0.01%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW5109 FN 08/44 FIXED 4                          | CUSIP: 3138XUVB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33495 | PA      | $32289.46       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2018-COR3                                                    | COMM MORTGAGE TRUST COMM 2018 COR3 A3                      | CUSIP: 12595VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1400000 | PA      | $1374031.12     | 0.00%             | 2051-05-10      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3952 FN 02/29 FIXED VAR                        | CUSIP: 3140J8MA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96772 | PA      | $95524.56       | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2019-RPL5                                                            | CSMCM TRUST CERTIFICATES CSMCM 2019 RPL5 CERT 144A         | CUSIP: 12653YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29990867 | PA      | $24471338.92    | 0.01%             | 2049-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG0979 FR 04/53 FIXED 5.5                | CUSIP: 3133C1CQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       185464 | PA      | $186677.95      | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC1                                           | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC1 A2C              | CUSIP: 61744CXM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3559312 | PA      | $3523844.75     | 0.00%             | 2035-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO8238 FN 11/49 FIXED 3.5                        | CUSIP: 3140K4EL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       188041 | PA      | $174486.80      | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5036 FR 01/40 FIXED 2.5                | CUSIP: 3133KYSZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31596 | PA      | $28855.64       | 0.00%             | 2040-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA2 A1           | CUSIP: 126694R75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15578003 | PA      | $14197719.83    | 0.01%             | 2046-05-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-181025.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-8XS                                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 8XS M1            | CUSIP: 863579NZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       364319 | PA      | $380575.16      | 0.00%             | 2035-04-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J12                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J12 1A2          | CUSIP: 12668ASQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2952469 | PA      | $1281503.29     | 0.00%             | 2035-11-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9840 FN 09/45 FIXED 4                          | CUSIP: 3140E25A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       352189 | PA      | $337701.78      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.89600 01/08/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $828511.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-2265553.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2023-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2023 1A A3 144A       | CUSIP: 78398AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1176837 | PA      | $1182161.42     | 0.00%             | 2028-10-20      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| LURA FUNDING DESIGNATED ACTIVITY COMPANY 2026-1A                                 | LURA FUNDING DAC LURA 2026 1A A 144A                       | CUSIP: ACI394TG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    232144000 | PA      | $267706549.05   | 0.12%             | 2079-08-27      | Floating      | 3.13%                 | No            |                  3 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE4                                               | MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A4             | CUSIP: 576449AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17414097 | PA      | $4947982.21     | 0.00%             | 2036-11-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| LCM 35 LTD 35A                                                                   | LCM LTD PARTNERSHIP LCM 35A A1R 144A                       | CUSIP: 50202QAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    109450000 | PA      | $109285830.47   | 0.05%             | 2034-10-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-ASAP6                     | ACE SECURITIES CORP. ACE 2006 ASP6 A2D                     | CUSIP: 00443KAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7551137 | PA      | $2370459.76     | 0.00%             | 2036-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3344 FR 03/55 FIXED 5                  | CUSIP: 31427QWE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1026255973 | PA      | $1013462974.05  | 0.45%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-4                                                   | CARMAX AUTO OWNER TRUST CARMX 2024 4 A2A                   | CUSIP: 14290DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5689560 | PA      | $5694036.51     | 0.00%             | 2027-12-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-WF1                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M2              | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29521 | PA      | $29534.63       | 0.00%             | 2036-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2007-AR1                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2007 AR1 2A1A          | CUSIP: 39539KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7920076 | PA      | $7573485.07     | 0.00%             | 2047-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH0868 G2 05/48 FIXED 4                       | CUSIP: 3617GW6D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       611583 | PA      | $578161.15      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A            | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    251909251 | PA      | $254039496.53   | 0.11%             | 2065-06-22      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD9598 FN 05/55 FIXED 5.5                        | CUSIP: 3140BAUY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       357992 | PA      | $360055.92      | 0.00%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.82700 05/06/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2158730.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-7                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 7 A1             | CUSIP: 69121UAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7371904 | PA      | $8195387.27     | 0.00%             | 2037-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE TRUST SERIES 2007-S4                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S4 A1            | CUSIP: 161629AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4747810 | PA      | $1744794.84     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-36824.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D A1A 144A         | CUSIP: 78450PAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61420508 | PA      | $64139366.19    | 0.03%             | 2053-09-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A1            | CUSIP: 590238AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7986402 | PA      | $3025936.80     | 0.00%             | 2047-04-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A B                              | CUSIP: ACI2P7XP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     42391000 | PA      | $56539583.64    | 0.03%             | 2062-11-16      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2004-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2004 3 M4             | CUSIP: 68389FFW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2254 | PA      | $3052.65        | 0.00%             | 2034-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| WATR 2025-2                                                                      | WATR ISSUER TRUST WATR 2025 2 D 144A                       | CUSIP: 94260AAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9410000 | PA      | $9307121.98     | 0.00%             | 2050-09-16      | Fixed         | 6.16%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2168 FR 05/53 FIXED 5                  | CUSIP: 3133C2MR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8709424 | PA      | $8643983.99     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ2995 FR 09/55 FIXED 5                  | CUSIP: 31427AKH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1315276 | PA      | $1298701.70     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D               | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1166131 | PA      | $508907.12      | 0.00%             | 2036-10-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 4A2             | CUSIP: 05950PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       495284 | PA      | $451947.95      | 0.00%             | 2046-09-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2006-B                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 B M1             | CUSIP: 73316PKJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2171002 | PA      | $2094601.29     | 0.00%             | 2036-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73000 08/03/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-147780.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260422                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $41708.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A         | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17735438 | PA      | $17275852.35    | 0.01%             | 2046-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4751 FN 03/43 FIXED VAR                        | CUSIP: 3140J9H53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12952 | PA      | $12227.51       | 0.00%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-AON                  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 AON A 144A       | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27783000 | PA      | $22965858.44    | 0.01%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| OCS GROUP HOLDINGS LIMITED                                                       | OCS GROUP HOLDINGS LTD 2026 GBP TERM LOAN B5               | CUSIP: BA000XG23<br>LEI: 54930002RKY3Y4LURL90 | Long             | LON              | CORP              | GB        |      7250000 | PA      | $9562516.96     | 0.00%             | 2031-11-28      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-1                                                 | IMPAC SECURED ASSETS CORP. IMSA 2006 1 2M3                 | CUSIP: 45254TUA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       214113 | PA      | $216379.72      | 0.00%             | 2036-05-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 H 2A1             | CUSIP: 05946XH55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1312445 | PA      | $1140071.78     | 0.00%             | 2035-11-20      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $34915.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA0274 FR 12/55 FIXED 5                  | CUSIP: 3142JNJU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5257835 | PA      | $5199848.83     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                                       | CAPITAL FOUR CLO CFOUR 10A A 144A                          | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     63300000 | PA      | $73038040.56    | 0.03%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8705 FN 12/46 FIXED 3.5                        | CUSIP: 3140FGU72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31872 | PA      | $29807.37       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5982 FN 02/46 FIXED 5                          | CUSIP: 31418FUG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19842519 | PA      | $19823623.56    | 0.01%             | 2046-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2005-11                                           | BANC OF AMERICA ALTERNATIVE LO BOAA 2005 11 1CB4           | CUSIP: 05948KU72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        39443 | PA      | $35916.53       | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AS.6 SP BRC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $143.11         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 5A1           | CUSIP: 12668AXL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29374 | PA      | $30022.07       | 0.00%             | 2035-12-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| CAMBER 4A                                                                        | CAMBER CAMBR 4A A1A 144A                                   | CUSIP: 13189MAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    198149038 | PA      | $19814.90       | 0.00%             | 2053-11-09      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA4215 FR 01/56 FIXED 5                  | CUSIP: 3142JSVH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6227370 | PA      | $6146037.24     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VII LTD 2017-7A                                                     | TRINITAS CLO LTD TRNTS 2017 7A A1R2 144A                   | CUSIP: 89641CAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $5001594.25     | 0.00%             | 2035-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-5A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 5A A2 144A               | CUSIP: 16144QAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        29447 | PA      | $29452.86       | 0.00%             | 2027-11-26      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-7                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 7 1A9             | CUSIP: 05951KAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        88137 | PA      | $76818.62       | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA0904 FR 12/55 FIXED 5                  | CUSIP: 3142JPAE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17032501 | PA      | $16812847.09    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-2                                                    | LENDMARK FUNDING TRUST LFT 2024 2A A 144A                  | CUSIP: 52590AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18900000 | PA      | $18876422.25    | 0.01%             | 2034-02-21      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2007 AR2 5A1B                  | CUSIP: 3622N6AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1103113 | PA      | $963684.62      | 0.00%             | 2037-05-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY 144A 02/28 VAR                     | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |       342000 | PA      | $337301.17      | 0.00%             | 2028-02-16      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1392 FR 12/55 FIXED 5                  | CUSIP: 3142JPRN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1267155 | PA      | $1252556.09     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INV LN TR 2003-BC10                                             | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC10 M2           | CUSIP: 86359A2J1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        97601 | PA      | $117409.34      | 0.00%             | 2033-10-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-6HE                                                   | TERWIN MORTGAGE TRUST TMTS 2005 6HE M5                     | CUSIP: 881561RD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20879 | PA      | $20893.55       | 0.00%             | 2036-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-4                                           | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M4              | CUSIP: 00252FCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9557000 | PA      | $9165119.99     | 0.00%             | 2035-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-728774.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4118 FN 08/50 FIXED 4.5                        | CUSIP: 31418DSG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14621 | PA      | $14205.75       | 0.00%             | 2050-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH9325 G2 06/48 FIXED 4                       | CUSIP: 3617H7LE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       601625 | PA      | $568756.48      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A         | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45734109 | PA      | $46186218.19    | 0.02%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-4A LLC                                                                 | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2025 4A A1 144A         | CUSIP: 76089MAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       324199 | PA      | $324276.98      | 0.00%             | 2026-07-27      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                                          | BCAP LLC TRUST BCAP 2010 RR1 4A6 144A                      | CUSIP: 05532TBD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2955776 | PA      | $2483171.91     | 0.00%             | 2047-05-26      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995050 FN 09/37 FIXED VAR                        | CUSIP: 31416BL71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       291813 | PA      | $306257.81      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/30 2.95                          | CUSIP: 097023CN3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     19314000 | PA      | $18182198.25    | 0.01%             | 2030-02-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                                      | TRINITY SQUARE TRINI 2021 1A AR 144A                       | CUSIP: ACI2NNG08<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    135993643 | PA      | $180099960.46   | 0.08%             | 2059-07-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625           | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    350800000 | PA      | $245560000.00   | 0.11%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR2                                                          | BCAP LLC TRUST BCAP 2010 RR2 5A6 144A                      | CUSIP: 05532VBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4202692 | PA      | $3738691.00     | 0.00%             | 2036-12-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $16234.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-R1                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 R1 1AF 144A               | CUSIP: 12669F7J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2214910 | PA      | $2146105.28     | 0.00%             | 2034-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5226 FN 11/43 FIXED 7                          | CUSIP: 31418EYY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24116 | PA      | $25340.26       | 0.00%             | 2043-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $552436.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB6275 FN 08/54 FIXED 5.5                        | CUSIP: 3140AF6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       804196 | PA      | $808824.91      | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2023-RP1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2023 RP1 SA 144A       | CUSIP: 173118AR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       104917 | PA      | $104118.79      | 0.00%             | 2062-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2005 1 M6                   | CUSIP: 66987XGK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18690963 | PA      | $18704469.24    | 0.01%             | 2035-06-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2022-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2022 CP1 M1 144A              | CUSIP: 62955VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2611525.50     | 0.00%             | 2061-07-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-345422.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2851 FN 05/43 FIXED 3.5                        | CUSIP: 3138WQEZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68040 | PA      | $63946.81       | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $382.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2023-NQM2                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2023 NQM2 PT 144A        | CUSIP: 06745DAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    152041932 | PA      | $152370631.59   | 0.07%             | 2053-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260421                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-24064.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-2                                                     | LEHMAN MORTGAGE TRUST LMT 2005 2 4A1                       | CUSIP: 52520MCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2881276 | PA      | $424527.74      | 0.00%             | 2035-12-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE 144A 02/27 5.25                           | CUSIP: 83368RBZ4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |       500000 | PA      | $503192.65      | 0.00%             | 2027-02-19      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.52000 04/09/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2219429.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY5971 FR 06/55 FIXED 5                  | CUSIP: 31426QT52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11075748 | PA      | $10937103.90    | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/26 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $155612.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JUPITER HIGH-GRADE CDO III LTD 3A                                                | JUPITER HIGH GRADE CDO LTD JPTR 2005 3A A2B 144A           | CUSIP: 48206AAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     34500000 | PA      | $0.35           | 0.00%             | 2042-06-08      | Floating      | 4.73%                 | No            |                  3 | On Loan: No      |
| KREF 2022-FL3 LTD                                                                | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                     | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6402439 | PA      | $6405817.96     | 0.00%             | 2039-02-17      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE4                                                             | GSAMP TRUST GSAMP 2005 HE4 M4                              | CUSIP: 362341KF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6976000 | PA      | $6652044.33     | 0.00%             | 2045-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| NRPL-2024-RPL1                                                                   | NRPL TRUST SERIES NRPL 2024 RPL1 SA 144A                   | CUSIP: 62956EAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       363161 | PA      | $345071.69      | 0.00%             | 2063-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM1                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM1 M1            | CUSIP: 81375WKE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13206420 | PA      | $10693582.60    | 0.00%             | 2035-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8966 FN 03/47 FIXED 4                          | CUSIP: 3138WJ6C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19281 | PA      | $18482.53       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2025-1                                | FREDDIE MAC   SCRT SCRT 2025 1 M 144A                      | CUSIP: 35563VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7100000 | PA      | $6094811.82     | 0.00%             | 2064-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-193373.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2884 FN 01/27 FIXED 2                          | CUSIP: 31418CF25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9718 | PA      | $9641.25        | 0.00%             | 2027-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.5855* 03/31/26-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1664615.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA Z 144A                       | CUSIP: ACI2N0NQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     25623000 | PA      | $30931059.41    | 0.01%             | 2054-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6565 FN 08/47 FIXED 4                          | CUSIP: 3140GVJK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18148 | PA      | $17389.31       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DAVIS SQUARE FUNDING LTD 2005-5A                                                 | DAVIS SQUARE FUNDING LTD DVSQ 2005 5A A2 144A              | CUSIP: 239156AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     44806219 | PA      | $10242925.71    | 0.00%             | 2040-10-08      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| VALERIE ASSET LTD                                                                | VALERIE ASSET LTD 09/50 1                                  | CUSIP: 918940AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    927665000 | PA      | $907929428.06   | 0.40%             | 2050-09-15      | Fixed         | 5.22%                 | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ3317 FR 09/55 FIXED 5                  | CUSIP: 31427AVK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2343867 | PA      | $2313916.97     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2006-3                                              | SAXON ASSET SECURITIES TRUST SAST 2006 3 A4                | CUSIP: 80556AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2734000 | PA      | $2458448.62     | 0.00%             | 2046-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-13R                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 13R 1A2 144A        | CUSIP: 12646AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4452516 | PA      | $3631823.30     | 0.00%             | 2036-08-27      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 2000-A                                            | OAKWOOD MORTGAGE INVESTORS INC OAK 2000 A A3               | CUSIP: 67087TBB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2929354 | PA      | $294902.21      | 0.00%             | 2049-03-15      | Variable      | 7.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $116815.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2006-7                                                     | TERWIN MORTGAGE TRUST TMTS 2006 7 1A2C 144A                | CUSIP: 88156PAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4960000 | PA      | $4586480.75     | 0.00%             | 2037-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                                    | EGYPT TREASURY BILL BILLS 08/26 0.00000                    | CUSIP: ACI3134R8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    426500000 | PA      | $7195593.89     | 0.00%             | 2026-08-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-D                                                   | FREMONT HOME LOAN TRUST FHLT 2005 D M1                     | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2621786 | PA      | $2449739.92     | 0.00%             | 2035-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A F                              | CUSIP: ACI2P7X77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7030000 | PA      | $9381016.09     | 0.00%             | 2062-11-16      | Floating      | 9.74%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2006-RM2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM2 A2B           | CUSIP: 590216AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2776442 | PA      | $299192.43      | 0.00%             | 2037-05-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.10000 09/02/25-27Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $12122993.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005-9                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 9 4A2             | CUSIP: 2254585V6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2877568 | PA      | $2431611.12     | 0.00%             | 2035-10-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A1                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A1 A2A            | CUSIP: 59023MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49088297 | PA      | $14664294.11    | 0.01%             | 2037-01-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6641 FN 06/55 FIXED 5                          | CUSIP: 3140B7LX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6292935 | PA      | $6214149.10     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC3 A2D               | CUSIP: 61744CZD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3202120 | PA      | $3141516.17     | 0.00%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA0239 FR 12/55 FIXED 5                  | CUSIP: 3142JNHR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1124298 | PA      | $1109822.06     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-16HE                                                  | TERWIN MORTGAGE TRUST TMTS 2005 16HE AV3                   | CUSIP: 881561ZG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8821412 | PA      | $3323342.49     | 0.00%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A7             | CUSIP: 93935HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4903802 | PA      | $1271201.89     | 0.00%             | 2036-09-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q42596 FG 08/46 FIXED 3.5                | CUSIP: 3132WF3E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7843 | PA      | $7380.16        | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-9                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 9 2A3            | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46326002 | PA      | $14104238.51    | 0.01%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2015-3R                                             | GS MORTGAGE SECURITIES CORP. GSMSC 2015 3R 2B 144A         | CUSIP: 36250FAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16026660 | PA      | $15281936.16    | 0.01%             | 2036-10-26      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.57028 03/31/26-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2143288.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.00000 06/15/22-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $62980747.61    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                   | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7388 | PA      | $6500.49        | 0.00%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2002-1                                                 | GSMPS MORTGAGE LOAN TRUST GSMPS 2002 1 A1                  | CUSIP: 36290PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6723111 | PA      | $6328249.84     | 0.00%             | 2032-10-20      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8691 FR 02/53 FIXED 5.5                | CUSIP: 3133BWUQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       572686 | PA      | $579037.67      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.06250 01/08/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1933006.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                              | CAPE LOOKOUT RE LTD UNSECURED 144A 04/27 VAR               | CUSIP: 13947LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      9550000 | PA      | $9699457.50     | 0.00%             | 2027-04-05      | Floating      | 12.23%                | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED 144A 01/32 4.193                    | CUSIP: 74365PAH1<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     28000000 | PA      | $26372897.32    | 0.01%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7188 FN 05/46 FIXED 4                          | CUSIP: 3138WG7A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45203 | PA      | $43494.70       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| M&T BANK AUTO RECEIVABLES TRUST 2024-1A                                          | M+T BANK AUTO RECEIVABLES TRUS MTBAT 2024 1A A3 144A       | CUSIP: 55286TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35698635 | PA      | $36043598.45    | 0.02%             | 2032-02-17      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4498 FN 07/47 FIXED 3.5                        | CUSIP: 3140GS7L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25128 | PA      | $23473.70       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8266 G2 09/52 FIXED 3.5                     | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83905611 | PA      | $77466196.68    | 0.03%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $1621977.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.42000 07/31/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $2930612.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2005-AR1                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 AR1 A1A          | CUSIP: 93934FHC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1175024 | PA      | $1041578.54     | 0.00%             | 2035-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA3092 FN 02/49 FIXED 4.5                        | CUSIP: 3140QANJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46042 | PA      | $45149.70       | 0.00%             | 2049-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI1 144A      | CUSIP: 760985X89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       653929 | PA      | $654718.13      | 0.00%             | 2034-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE8899 FN 10/55 FIXED 5                          | CUSIP: 3140BM3H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13321835 | PA      | $13151607.12    | 0.01%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-10                                                             | IMPAC CMB TRUST IMM 2004 10 1A1                            | CUSIP: 45254NLJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2758646 | PA      | $2712705.80     | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-41236.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2019-RP11                                                            | CSMCM TRUST CERTIFICATES CSMCM 2019 RP11 CERT 144A         | CUSIP: 12659HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22588106 | PA      | $19089014.35    | 0.01%             | 2059-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2273 FN 02/47 FIXED 4                          | CUSIP: 3140FMQ33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       177158 | PA      | $169746.85      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2015-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2015 4 B2 144A              | CUSIP: 89171UAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20000000 | PA      | $19526260.00    | 0.01%             | 2055-04-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                    | ARGENT SECURITIES INC. ARSI 2006 M1 A2C                    | CUSIP: 04012MAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37606408 | PA      | $10108982.38    | 0.00%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20270610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-75033.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-181665.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.93300 01/06/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1167850.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICG EURO CLO 2023-2 DAC 23-2A                                                    | ICG EURO CLO ICGE 2023 2A A1R 144A                         | CUSIP: ACI38GWX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     55900000 | PA      | $64598678.47    | 0.03%             | 2038-01-26      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2018-B                                                    | SOFI ALTERNATIVE TRUST SAT 2018 B PT 144A                  | CUSIP: 83404VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     83869407 | PA      | $79901016.93    | 0.04%             | 2050-06-15      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2007-2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 2 1A2             | CUSIP: 17310SAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2282853 | PA      | $1819381.50     | 0.00%             | 2036-11-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S2 2A6           | CUSIP: 16163BBB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       447836 | PA      | $159881.30      | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA2 1A            | CUSIP: 933635AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13457864 | PA      | $12118220.82    | 0.01%             | 2047-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A3            | CUSIP: 68403FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3528363 | PA      | $2029434.50     | 0.00%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 5A1           | CUSIP: 92925VAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11545140 | PA      | $10881459.43    | 0.00%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM4 TRUST                                                              | MFRA TRUST MFRA 2023 NQM4 A1 144A                          | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12961409 | PA      | $13034866.33    | 0.01%             | 2068-12-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2779 FN 10/26 FIXED 2                          | CUSIP: 31418CCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          305 | PA      | $303.49         | 0.00%             | 2026-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ7753 FR 11/55 FIXED 5                  | CUSIP: 31427HTK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3082014 | PA      | $3042433.91     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2945 FN 07/44 FIXED 4                          | CUSIP: 3138WCHX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       685340 | PA      | $660996.34      | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2003-2                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2003 2 M1             | CUSIP: 542514DU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1270810 | PA      | $1339844.91     | 0.00%             | 2033-06-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-2                                       | GS MORTGAGE BACKED SECURITIES GSMBS 2026 2 PT 144A         | CUSIP: 36274JAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    612008047 | PA      | $622491218.52   | 0.28%             | 2055-11-25      | Variable      | 5.55%                 | No            |                  3 | On Loan: No      |
| RONDA RMBS DAC 2025-1A                                                           | RONDA RMBS DESIGNATED ACTIVITY RONDA 2025 1A A 144A        | CUSIP: ACI34XDY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    227812258 | PA      | $261619797.53   | 0.12%             | 2075-10-28      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 2A4            | CUSIP: 68403HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6584396 | PA      | $3562214.97     | 0.00%             | 2037-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| NRPL-2019-1A                                                                     | NRPL TRUST SERIES NRPL 2019 1A PT 144A                     | CUSIP: 62947EAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    210131218 | PA      | $191059035.88   | 0.08%             | 2058-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 1A           | CUSIP: 933638AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2395503 | PA      | $2243342.57     | 0.00%             | 2047-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVII LTD/PREFERRED TERM SECURITEIS XXVII INC          | PRETSL XXVII LTD SR SECURED 144A 12/37 VAR                 | CUSIP: 74042TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     10080735 | PA      | $9601899.62     | 0.00%             | 2037-12-22      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LOAN TRUST SERIES 2006-5                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 5 A2C            | CUSIP: 69121EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13180582 | PA      | $12303162.15    | 0.01%             | 2037-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH3186 G2 07/48 FIXED 4                       | CUSIP: 3617H0RF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       542256 | PA      | $512622.53      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ4744 FR 09/54 FIXED 5                  | CUSIP: 3133CVHV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       817139 | PA      | $806923.41      | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5631 FN 02/48 FIXED 3.5                        | CUSIP: 3140H7HH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1585210 | PA      | $1472001.46     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR7 1A1           | CUSIP: 86364KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2381327 | PA      | $1980269.85     | 0.00%             | 2047-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P1 A3 144A       | CUSIP: 14688NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10546190 | PA      | $10593431.75    | 0.00%             | 2029-04-10      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS1430 FR 03/37 FIXED 6.5                | CUSIP: 3132A1ST2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1606 | PA      | $1687.29        | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ6667 FR 11/55 FIXED 5                  | CUSIP: 31427GMR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13042591 | PA      | $12876114.19    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0759 FN 09/41 FIXED VAR                        | CUSIP: 3138EGZZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137695 | PA      | $136346.35      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-16                                                               | FANNIE MAE FNR 2006 16 SM                                  | CUSIP: 31394V6K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       390801 | PA      | $27731.98       | 0.00%             | 2036-03-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $57609.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2025-1A                                            | LENDBUZZ SECURITIZATION TRUST LBZZ 2025 1A A2 144A         | CUSIP: 525938AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8498246 | PA      | $8520149.84     | 0.00%             | 2030-10-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2005-AR1                                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR1 3A1           | CUSIP: 45660LDE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10890 | PA      | $10352.39       | 0.00%             | 2035-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 2A7                 | CUSIP: 466247YT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        92352 | PA      | $74824.73       | 0.00%             | 2035-11-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A E                              | CUSIP: ACI2P7X69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7101000 | PA      | $9477298.00     | 0.00%             | 2062-11-16      | Floating      | 8.24%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 5A              | CUSIP: 86359BPD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1538 | PA      | $1452.86        | 0.00%             | 2034-04-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4                  | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7307452 | PA      | $7011341.60     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN 86 CLO LTD 2020-86A                                                       | DRYDEN SENIOR LOAN FUND DRSLF 2020 86A A1R2 144A           | CUSIP: 26245XAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14630000 | PA      | $14645259.82    | 0.01%             | 2034-07-17      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB1                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF1A         | CUSIP: 1248MGAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       450028 | PA      | $130734.80      | 0.00%             | 2037-01-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1230489.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A        | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6535419 | PA      | $5481060.70     | 0.00%             | 2036-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-33CB                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 33CB 2A1         | CUSIP: 02148BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3801935 | PA      | $1863360.37     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA2908 FR 09/49 FIXED 3.5                | CUSIP: 31339SGR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11032218 | PA      | $10231228.74    | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 3 1A1            | CUSIP: 68389BAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9784280 | PA      | $6485893.77     | 0.00%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2006-RZ3                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RZ3 M1            | CUSIP: 75156MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12000658 | PA      | $12032199.50    | 0.01%             | 2036-08-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $17315569.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A1A          | CUSIP: 92922FB49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1938182 | PA      | $1928759.25     | 0.00%             | 2034-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA0211 FN 12/54 FIXED VAR                        | CUSIP: 3140W0GV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4573125 | PA      | $4514592.77     | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A A 144A              | CUSIP: ACI2PHLX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    188774072 | PA      | $250341656.72   | 0.11%             | 2048-06-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING IX LTD 9A                                               | ALESCO PREFERRED FUNDING LTD ALESC 9A A1 144A              | CUSIP: 01449TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9032230 | PA      | $8955456.23     | 0.00%             | 2036-06-23      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3324 FN 10/46 FIXED 3.5                        | CUSIP: 3140FAVS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       830202 | PA      | $776578.44      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2888 FN 01/47 FIXED 2.5                        | CUSIP: 31418CF66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110347 | PA      | $95851.25       | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2304 FN 06/45 FIXED 4                          | CUSIP: 31418BR24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1110798 | PA      | $1070249.48     | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 2A2            | CUSIP: 07387AAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       306611 | PA      | $283417.02      | 0.00%             | 2035-03-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3956 FN 12/32 FIXED VAR                        | CUSIP: 3140J8ME0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       180561 | PA      | $176202.91      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | NISSAN MOTOR CO LTD SNR JP SP GST                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | JP        |            1 | NC      | $-245465.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A          | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8064426 | PA      | $8068692.06     | 0.00%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6471 FN 12/55 FIXED 5                          | CUSIP: 3140BXFM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6368203 | PA      | $6286339.35     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7532 FN 11/27 FIXED VAR                        | CUSIP: 3138EQLN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10562 | PA      | $10471.29       | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3767 FN 07/47 FIXED 3.5                        | CUSIP: 3140FPFH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1227030 | PA      | $1146757.58     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-J2                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 J2 2A8                    | CUSIP: 12545EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1669648 | PA      | $531525.58      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 41 LTD                                                                   | KKR FINANCIAL CLO LTD KKR 2022 41A A1 144A                 | CUSIP: 48255PAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5750000 | PA      | $5752890.76     | 0.00%             | 2035-04-15      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A2                    | CUSIP: 12669GUY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1674113 | PA      | $733617.16      | 0.00%             | 2035-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080084 G2 06/27 FLOATING VAR                  | CUSIP: 36225CCW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          341 | PA      | $341.87         | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7801 FN 08/46 FIXED 3.5                        | CUSIP: 3138WHU34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4260 | PA      | $3984.06        | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8230 FN 04/53 FIXED 5                          | CUSIP: 3140NDEC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       493825 | PA      | $489149.77      | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR3                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR3 A1            | CUSIP: 25151AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3010051 | PA      | $2782476.89     | 0.00%             | 2036-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE8659 FR 08/52 FIXED 4                  | CUSIP: 3133BJTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       339008 | PA      | $320681.04      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3210 FN 09/49 FIXED VAR                        | CUSIP: 3140X6R86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       189026 | PA      | $175257.64      | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3              | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     22401000 | PA      | $17519268.35    | 0.01%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0770 FN 11/47 FIXED 3.5                        | CUSIP: 3140Q72C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9337674 | PA      | $8690101.12     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 3A2            | CUSIP: 41161PHF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21785 | PA      | $18743.60       | 0.00%             | 2034-11-19      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIV LTD 2020-24A                                                   | SYMPHONY CLO LTD SYMP 2020 24A A1R 144A                    | CUSIP: 87167QAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     53600000 | PA      | $53533003.75    | 0.02%             | 2035-10-23      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260520                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-856341.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE0087 FN 06/55 FIXED 5                          | CUSIP: 3140BCCZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13002555 | PA      | $12840803.22    | 0.01%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1159 FN 07/47 FIXED 3.5                        | CUSIP: 3140Q8JD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       519456 | PA      | $485259.34      | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A2                 | CUSIP: 466247E74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1069927 | PA      | $730784.65      | 0.00%             | 2036-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR            | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |      6200000 | PA      | $6398967.36     | 0.00%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE8846 FN 09/55 FIXED 5                          | CUSIP: 3140BMZL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1188267 | PA      | $1173113.91     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5183 FN 03/47 FIXED 4                          | CUSIP: 3140FQXM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45093 | PA      | $43240.95       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3A          | CUSIP: 17312GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1123836 | PA      | $795814.57      | 0.00%             | 2045-07-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA 2025 EUR TERM LOAN B12                    | CUSIP: BA000QF37<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     29405731 | PA      | $33837031.72    | 0.02%             | 2028-10-30      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| CDC MORTGAGE CAPITAL TRUST 2004-HE1                                              | CDC MORTGAGE CAPITAL TRUST CDCMC 2004 HE1 M2               | CUSIP: 12506YCM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       133769 | PA      | $134165.72      | 0.00%             | 2034-06-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-9                                                   | GSR MORTGAGE LOAN TRUST GSR 2004 9 4A1                     | CUSIP: 36242DBM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       176187 | PA      | $166002.88      | 0.00%             | 2034-08-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB2 1A4                  | CUSIP: 12669GZP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       406264 | PA      | $397022.32      | 0.00%             | 2035-05-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2584 FN 11/55 FIXED 5                          | CUSIP: 3140BS2S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21852084 | PA      | $21571732.83    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 3A BR 144A       | CUSIP: ACI2S29G2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1000000 | PA      | $1157586.42     | 0.00%             | 2033-05-15      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ3462 FR 09/54 FIXED 5.5                | CUSIP: 3133CTZ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       784458 | PA      | $788839.69      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                                   | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                    | CUSIP: 36779CAZ9<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |      4100000 | PA      | $4100000.00     | 0.00%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.26 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-2028218.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8419 FR 04/54 FIXED 5                  | CUSIP: 3132DWK85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       323237 | PA      | $319291.10      | 0.00%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.3* 07/19/23-8Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6890943.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-10                                                   | GSAA HOME EQUITY TRUST GSAA 2007 10 A1A                    | CUSIP: 3622NDAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       523589 | PA      | $251222.21      | 0.00%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-MN1A                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 MN1A A1 144A      | CUSIP: 863613AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33672862 | PA      | $19405606.66    | 0.01%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6539 FN 11/45 FIXED 4.5                        | CUSIP: 3140EBHR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25892 | PA      | $25553.99       | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC9096 FN 12/46 FIXED 3.5                        | CUSIP: 3140F5DA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35274 | PA      | $32687.98       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4792 FR 09/48 FIXED 5                  | CUSIP: 3132A5KD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       969561 | PA      | $974850.78      | 0.00%             | 2048-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                               | CUSIP: 21H042646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    454887000 | PA      | $439518033.16   | 0.20%             | 2056-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 09/29 VAR                   | CUSIP: 225401BE7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     92400000 | PA      | $96045101.46    | 0.04%             | 2029-09-22      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| PROVIDUS CLO V DAC 5A                                                            | PROVIDUS CLO PRVD 5A AR 144A                               | CUSIP: ACI3128Y1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     55900000 | PA      | $64574578.18    | 0.03%             | 2039-11-15      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2014-11R                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 11R 10A2 144A       | CUSIP: 12649FCU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6508750 | PA      | $5884372.62     | 0.00%             | 2037-05-27      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX5829 FN 11/29 FIXED 3                          | CUSIP: 3138Y7PP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57277 | PA      | $56315.83       | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2618 FN 08/47 FIXED 3.5                        | CUSIP: 3140GQ4C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1332171 | PA      | $1243642.40     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SEC INC 2006-3                                                 | CITICORP MORTGAGE SECURITIES, CMSI 2006 3 1A9              | CUSIP: 17310BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        72202 | PA      | $65093.69       | 0.00%             | 2036-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3                     | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M6           | CUSIP: 04541GQZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3982000 | PA      | $3714021.75     | 0.00%             | 2035-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-8                                                | VERUS SECURITIZATION TRUST VERUS 2024 8 A1 144A            | CUSIP: 92540PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13765988 | PA      | $13797090.71    | 0.01%             | 2069-10-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                             | GSAMP TRUST GSAMP 2006 NC2 A2D                             | CUSIP: 362463AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3081520 | PA      | $1682097.92     | 0.00%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A3 144A        | CUSIP: 39571NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22100000 | PA      | $22477521.04    | 0.01%             | 2060-03-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.1408* 03/31/26-28Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $274905.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1630 FN 11/47 FIXED 4                          | CUSIP: 3140H2Y44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1747764 | PA      | $1670509.37     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-1531364.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-C                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 C M1             | CUSIP: 64352VNZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4298052 | PA      | $4184312.19     | 0.00%             | 2035-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL5                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL5 B1 144A         | CUSIP: 52474TAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134925329 | PA      | $134602439.05   | 0.06%             | 2058-08-26      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-59                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 59 1A1           | CUSIP: 12668AEV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22113399 | PA      | $21294493.11    | 0.01%             | 2035-11-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0039 FR 08/55 FIXED 5                  | CUSIP: 3142J6BH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12214263 | PA      | $12060115.57    | 0.01%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4                                | SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2            | CUSIP: 81375WFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       406067 | PA      | $382251.02      | 0.00%             | 2036-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF6             | CUSIP: 75970QAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8523250 | PA      | $2059699.62     | 0.00%             | 2037-06-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 1A1           | CUSIP: 12668ATN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16519135 | PA      | $12767495.65    | 0.01%             | 2035-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260428                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $4089.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ3965 FR 04/55 FIXED 5.5                | CUSIP: 3142GUMP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28963573 | PA      | $29538021.25    | 0.01%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING LN ACQUI TRUST 2003-C1                                             | CHASE FUNDING LOAN ACQUISITION CFLAT 2003 C1 1A4           | CUSIP: 161542CN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       419210 | PA      | $418842.67      | 0.00%             | 2032-12-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                                   | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS               | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        72924 | PA      | $96408.52       | 0.00%             | 2044-06-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL12                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP12 A2 144A        | CUSIP: 12655FAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    735075397 | PA      | $687018813.93   | 0.31%             | 2060-10-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK8837 FN 08/48 FIXED 4                          | CUSIP: 3140HNZB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       129240 | PA      | $124223.03      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0200 FN 10/29 FIXED 4.5                        | CUSIP: 31417YGJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9174 | PA      | $9185.44        | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.59500 08/19/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $867916.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 437734 FN 09/28 FIXED 6.5                        | CUSIP: 31380EHK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          192 | PA      | $198.85         | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6405 FN 12/47 FIXED 4                          | CUSIP: 3140GVDK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69652 | PA      | $66717.19       | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY5529 FR 06/55 FIXED 5                  | CUSIP: 31426QEB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1329299 | PA      | $1312265.43     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46272 FG 02/47 FIXED 3                  | CUSIP: 3132WK6J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12041851 | PA      | $10866782.29    | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/33 1.125                                | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    265518464 | PA      | $255820362.27   | 0.11%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/31 0.125                                | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     24486280 | PA      | $23028513.07    | 0.01%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/31 3.625                         | CUSIP: 097023DC6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     40180000 | PA      | $38229656.37    | 0.02%             | 2031-02-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CHARLES RIVER RE LTD                                                             | CHARLES RIVER RE LTD SR UNSECURED 144A 05/31 VAR           | CUSIP: 159873AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      2700000 | PA      | $2779380.00     | 0.00%             | 2031-05-10      | Floating      | 11.15%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-99864.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-HE2                                                             | GSAMP TRUST GSAMP 2007 HE2 A2C                             | CUSIP: 362440AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10655719 | PA      | $7886818.84     | 0.00%             | 2047-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 4A1                  | CUSIP: 126670JZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1947241 | PA      | $1810270.34     | 0.00%             | 2036-02-20      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0639 FN 03/48 FIXED 4                          | CUSIP: 3140H1V98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       365684 | PA      | $350426.53      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F022642<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    210150000 | PA      | $176723015.63   | 0.08%             | 2056-04-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-HYB1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2025 HYB1 A1A 144A             | CUSIP: 816938AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12285922 | PA      | $12288312.48    | 0.01%             | 2055-10-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP BRC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $175046.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHH ALTERNATIVE MORTGAGE TRUST 2007-3                                            | PHH ALTERNATIVE MORTGAGE TRUST PHHAM 2007 3 A4             | CUSIP: 69337MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       585776 | PA      | $574810.26      | 0.00%             | 2037-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-7                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 7 1A             | CUSIP: 41161PGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14180 | PA      | $13635.55       | 0.00%             | 2034-11-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF3276 FR 11/52 FIXED 5.5                | CUSIP: 3133BQT97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       206714 | PA      | $208758.65      | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CMLTI 2025-RP3                                                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP3 PT 144A       | CUSIP: 17332PAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410694270 | PA      | $337952388.01   | 0.15%             | 2064-11-25      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-5                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 5 2A1A           | CUSIP: 41161PNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7073661 | PA      | $6585424.42     | 0.00%             | 2045-07-19      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A6           | CUSIP: 45660LQL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1290006 | PA      | $936567.26      | 0.00%             | 2035-08-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8606 FN 04/48 FIXED 3.5                        | CUSIP: 3140HAR44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11087 | PA      | $10285.85       | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA A 144A                       | CUSIP: ACI2QV4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    536751975 | PA      | $710898494.88   | 0.32%             | 2055-05-28      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                                    | GREYWOLF CLO LTD GWOLF 2020 3RA A2R2 144A                  | CUSIP: 39809CBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     32300000 | PA      | $32360409.72    | 0.01%             | 2033-04-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.435 03/17/26-01/02/31 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-195658.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08771 FG 07/47 FIXED 4                  | CUSIP: 3128MJ2D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5561 | PA      | $5336.52        | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AL29 CREDIT SUISSE GROUP AG          | CUSIP: 952NPL005<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     25350000 | PA      | $8872500.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A6A              | CUSIP: 12638PAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20417691 | PA      | $5551817.21     | 0.00%             | 2037-04-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903011 FN 12/36 FIXED 6                          | CUSIP: 31411BGU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13009 | PA      | $13615.54       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW2285 FN 08/52 FIXED 4                          | CUSIP: 3140MTRF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       942145 | PA      | $891579.70      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF5054 FN 11/55 FIXED 5                          | CUSIP: 3140BVTL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7870858 | PA      | $7784207.11     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4425 FN 01/49 FIXED 4.5                        | CUSIP: 3140JL4K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       130957 | PA      | $127779.88      | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.85000 08/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-362641.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF12                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF12 A1            | CUSIP: 32027GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4780998 | PA      | $4558613.34     | 0.00%             | 2036-09-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ1228 FR 06/55 FIXED 5                  | CUSIP: 31426XLJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1643680 | PA      | $1622719.74     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR12                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR12 1A1          | CUSIP: 22541N4S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       233188 | PA      | $231739.38      | 0.00%             | 2033-04-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                                                        | FANNIE MAE FNR 2019 62 SN                                  | CUSIP: 3136B62S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16760116 | PA      | $2128636.95     | 0.00%             | 2049-11-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-148884.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WATR 2025-2                                                                      | WATR ISSUER TRUST WATR 2025 2 R 144A                       | CUSIP: 94260AAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7527805 | PA      | $13311152.78    | 0.01%             | 2050-09-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA1988 FR 04/27 FIXED 5.5                | CUSIP: 31329KF58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10264 | PA      | $10317.13       | 0.00%             | 2027-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DAVIS SQUARE FUNDING LTD 2005-5A                                                 | DAVIS SQUARE FUNDING LTD DVSQ 2005 5A B 144A               | CUSIP: 239156AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     52400000 | PA      | $13513016.80    | 0.01%             | 2040-10-08      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-710434.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7358 FN 04/55 FIXED 6.5                        | CUSIP: 3140B8E80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       810330 | PA      | $838319.22      | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX9971 FR 04/55 FIXED 5                  | CUSIP: 31426HCH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       618731 | PA      | $611176.47      | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DUKE FUNDING LTD 2005-HG3A                                                       | DUKE FUNDING LTD DUKEF 2005 HG3A A2 144A                   | CUSIP: 2644EPAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    102000000 | PA      | $10200.00       | 0.00%             | 2049-08-02      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG          | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     24950000 | PA      | $8732500.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1270705.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08835 FG 09/48 FIXED 3.5                | CUSIP: 3128MJ4V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31675230 | PA      | $29463034.14    | 0.01%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU4077 FN 06/53 FIXED 5.5                        | CUSIP: 3140M5Q73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       283998 | PA      | $288044.66      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR             | CUSIP: 903724CB6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      6422799 | PA      | $3378392.27     | 0.00%             | 2035-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                     | ALAMO RE LTD UNSECURED 144A 06/26 VAR                      | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     34840000 | PA      | $35519380.00    | 0.02%             | 2026-06-08      | Floating      | 15.39%                | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 08/29 11                        | CUSIP: 990ACHBA6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        | 825000000000 | PA      | $208007839.61   | 0.09%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-44                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 44 1A1           | CUSIP: 12667G3L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1140530 | PA      | $757766.91      | 0.00%             | 2035-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| TAUPE FUNDING TRUST I 2024-1A                                                    | TAUPE FUNDING TRUST TAUPE 2024 1A B 144A                   | CUSIP: 876692AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12606500 | PA      | $12747448.86    | 0.01%             | 2031-08-20      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08681 FG 12/45 FIXED 3.5                | CUSIP: 3128MJXK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11977 | PA      | $11257.95       | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.55000 04/16/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2019528.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                                 | GAZPROM PJSC (GAZ FN) SR UNSECURED REGS 06/27 3            | CUSIP: ACI1NC340<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |     12000000 | PA      | $10368000.00    | 0.00%             | 2027-06-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.54542 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $221595.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q42618 FG 08/46 FIXED 3                  | CUSIP: 3132WF4C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23012 | PA      | $20778.20       | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 1A             | CUSIP: 23246LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16262380 | PA      | $15722498.18    | 0.01%             | 2047-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUS 2005-47CB                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 47CB A12         | CUSIP: 12668AAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1189941 | PA      | $589908.69      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. 01/27 1                                          | CUSIP: ACI2QBKK2<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     21407899 | PA      | $25070586.91    | 0.01%             | 2027-01-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2024-B                                            | HYUNDAI AUTO RECEIVABLES TRUST HART 2024 B A3              | CUSIP: 44934QAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     57200000 | PA      | $57548222.16    | 0.03%             | 2029-03-15      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR5                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR5 2A1                   | CUSIP: 362341MD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1260196 | PA      | $616627.49      | 0.00%             | 2035-10-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XVIII LTD / PREFERRED TERM SECURITIES XVIII INC        | PREFERRED TERM XVIII SECURED 144A 09/35 VAR                | CUSIP: 74042WAC8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     20534689 | PA      | $18481220.47    | 0.01%             | 2035-09-23      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CMLTI 2026-RP1                                                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2026 RP1 SA 144A       | CUSIP: 17332WAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2102579 | PA      | $2102579.00     | 0.00%             | 2065-02-25      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-447318.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH2943 FR 10/53 FIXED 6.5                | CUSIP: 3133CFHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29062 | PA      | $30379.13       | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 C 144A         | CUSIP: 69544MAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3619791 | PA      | $3634807.14     | 0.00%             | 2032-06-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 4A1                 | CUSIP: 46628KAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       395211 | PA      | $337133.91      | 0.00%             | 2036-05-25      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF1656 FN 10/55 FIXED 5                          | CUSIP: 3140BRZW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1098367 | PA      | $1089398.72     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4230 FR 04/54 FIXED 6.5                | CUSIP: 3133WAVX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1288951 | PA      | $1333471.77     | 0.00%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43746 FG 10/46 FIXED 3                  | CUSIP: 3132WHEU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       337784 | PA      | $303823.72      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2023 RPL1 PT 144A      | CUSIP: 36266QAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314173093 | PA      | $275354996.66   | 0.12%             | 2062-02-27      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 B1             | CUSIP: 576433UQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30537 | PA      | $29414.62       | 0.00%             | 2034-12-21      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R2                                    | MORGAN STANLEY REREMIC TRUST MSRR 2015 R2 2B 144A          | CUSIP: 61690HAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14227091 | PA      | $11373803.88    | 0.01%             | 2046-12-27      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A4           | CUSIP: 92927XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10714968 | PA      | $8827636.62     | 0.00%             | 2037-06-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 RF2 A 144A        | CUSIP: 86359DEX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       174641 | PA      | $158499.10      | 0.00%             | 2035-04-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY5272 FN 06/53 FIXED 6                          | CUSIP: 3140NM2E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       300416 | PA      | $309716.93      | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.40000 02/12/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $4087108.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260421                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-702600.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY4                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY4 1A1                   | CUSIP: 17025RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       633687 | PA      | $576296.38      | 0.00%             | 2047-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-15                                                        | FANNIE MAE FNR 2008 15 BS                                  | CUSIP: 31396YC83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       228549 | PA      | $243520.56      | 0.00%             | 2038-03-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3538 FN 11/55 FIXED 5                          | CUSIP: 3140BT4Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       758663 | PA      | $749688.77      | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.41500 08/04/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $977353.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3147                                                                 | FREDDIE MAC FHR 3147 LS                                    | CUSIP: 31396NKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2355470 | PA      | $274905.54      | 0.00%             | 2036-04-15      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-3                                              | RIO OIL FINANCE TRUST SR SECURED 144A 01/27 9.75           | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4239848 | PA      | $4335626.01     | 0.00%             | 2027-01-06      | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-743402.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $2042121.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0452 FN 09/47 FIXED 3.5                        | CUSIP: 3140Q7QE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20112740 | PA      | $18767805.87    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 2A1                  | CUSIP: 126670JV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       545409 | PA      | $517528.78      | 0.00%             | 2036-02-20      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-11                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 11 A8            | CUSIP: 93934FJC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2420088 | PA      | $2073192.96     | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                                | CIM TRUST CIM 2024 R1 M1 144A                              | CUSIP: 17179VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23875000 | PA      | $22039604.60    | 0.01%             | 2064-06-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-26565.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G07849 FG 05/44 FIXED 3.5                | CUSIP: 3128MABS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        90053 | PA      | $84958.49       | 0.00%             | 2044-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                           | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A        | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5994763 | PA      | $5998572.61     | 0.00%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/33 6.4              | CUSIP: 694308KM8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      4948000 | PA      | $5254380.90     | 0.00%             | 2033-06-15      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 05/35 VAR                                     | CUSIP: 05571AAY1<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |      8600000 | PA      | $8800843.54     | 0.00%             | 2035-05-30      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4873 FN 03/46 FIXED 3.5                        | CUSIP: 3140F0MX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       112030 | PA      | $105026.23      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM41 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-348382.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  MAY26C 128 EXP 04/24/2026                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -1119 | NC      | $-142273.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-26A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 26A 5A            | CUSIP: 86359AT78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       379060 | PA      | $350179.03      | 0.00%             | 2033-09-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A X 144A                                | CUSIP: ACI2J9837<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2972483 | PA      | $3922234.00     | 0.00%             | 2050-11-28      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| REGAL TRUST IV 1999-1                                                            | REGAL TRUST IV REGAL 1999 1 B1 144A                        | CUSIP: 758842AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13290 | PA      | $12765.49       | 0.00%             | 2031-09-29      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2015-BA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2015 BA A3 144A           | CUSIP: 63939KAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6201841 | PA      | $6211585.47     | 0.00%             | 2040-07-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-C                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 C 4A2             | CUSIP: 059522BD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1161878 | PA      | $1030765.71     | 0.00%             | 2036-05-20      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3065 FN 12/47 FIXED VAR                        | CUSIP: 3140J7MP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3940352 | PA      | $3641703.21     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/54 4.5                                  | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1910600000 | PA      | $1785366131.07  | 0.79%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2006-2                                          | MASTR ASSET SECURITIZATION TRU MASTR 2006 2 1A11           | CUSIP: 55274QAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       975930 | PA      | $526860.35      | 0.00%             | 2036-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 2A1           | CUSIP: 12667GN33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1423661 | PA      | $1242258.17     | 0.00%             | 2035-08-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB0711 FN 06/51 FIXED 1.5                        | CUSIP: 3140QKYH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       158084 | PA      | $122571.24      | 0.00%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2024-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2024 2 A3               | CUSIP: 26207AAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20462990 | PA      | $20473458.70    | 0.01%             | 2028-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECS XVII LTD                                                     | PREFERRED TERM SECS XVII SECURED 144A 06/35 VAR            | CUSIP: 74042EAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     10965000 | PA      | $10224862.50    | 0.00%             | 2035-06-23      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK8732 FN 12/48 FIXED 4.5                        | CUSIP: 3140HNV25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1121271 | PA      | $1102823.69     | 0.00%             | 2048-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-A                                                        | CENTEX HOME EQUITY CXHE 2005 A M3                          | CUSIP: 152314MK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       850996 | PA      | $843829.05      | 0.00%             | 2035-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A1 144A        | CUSIP: 21050UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4174940 | PA      | $4178289.29     | 0.00%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-15AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 15AR 4A1           | CUSIP: 61756XBK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       809324 | PA      | $707682.12      | 0.00%             | 2037-11-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2270 FN 11/46 FIXED 3.5                        | CUSIP: 3140FMQY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       105192 | PA      | $98113.87       | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ATCLO-2021-17A                                                                   | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 17A AR 144A          | CUSIP: 04942FAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $999864.70      | 0.00%             | 2034-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 11 1A2                    | CUSIP: 36242DFQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       208497 | PA      | $211306.53      | 0.00%             | 2034-09-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-3                                              | UPSTART SECURITIZATION TRUST UPST 2025 3 A2 144A           | CUSIP: 91684FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22481422 | PA      | $22488085.68    | 0.01%             | 2035-09-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR ULTRA FUT JUN26 XCBT 20260618                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -8147 | NC      | $20705859.43    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 B2 144A      | CUSIP: 36263MCE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7301182 | PA      | $6377184.22     | 0.00%             | 2052-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-22056.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTG SEC CORP 2002-HE1                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 HE1 M2            | CUSIP: 22540VUL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84991 | PA      | $80333.73       | 0.00%             | 2032-08-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZL2227 FR 10/41 FIXED 4                  | CUSIP: 3131XHPL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       116448 | PA      | $112530.59      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0049 FN 09/53 FIXED 6.5                        | CUSIP: 3140A0BT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1554024 | PA      | $1633126.35     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2005-BC4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC4 M8             | CUSIP: 1266737G1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3250000 | PA      | $3196859.58     | 0.00%             | 2035-08-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 2A3            | CUSIP: 54251MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8243524 | PA      | $2383941.44     | 0.00%             | 2036-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $3302.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-1F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 1F 4A1                    | CUSIP: 36242DVK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28509 | PA      | $26659.91       | 0.00%             | 2035-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-94.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2960 G2 07/45 FIXED 3                       | CUSIP: 36179RJD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       149658 | PA      | $135906.23      | 0.00%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR13                                                         | BCAP LLC TRUST BCAP 2009 RR13 20A2 144A                    | CUSIP: 05532KAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       668461 | PA      | $589605.45      | 0.00%             | 2037-06-26      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84293 FG 05/48 FIXED 3.5                | CUSIP: 3132L9XW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       364040 | PA      | $338502.56      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS8                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS8 A4            | CUSIP: 74924RAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15272356 | PA      | $15036945.98    | 0.01%             | 2036-10-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260409                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $92.55          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A1 144A       | CUSIP: 17310VAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3299290 | PA      | $3244552.59     | 0.00%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $460436.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20261028                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $500239.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-9                                                   | GSR MORTGAGE LOAN TRUST GSR 2004 9 2A1                     | CUSIP: 36242DBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20008 | PA      | $18992.23       | 0.00%             | 2034-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX0387 FN 11/52 FIXED 4                          | CUSIP: 3140N4ND5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1636103 | PA      | $1549489.51     | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 27 LTD                                                                   | KKR FINANCIAL CLO LTD KKR 27A A1R2 144A                    | CUSIP: 48253YBL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     34200000 | PA      | $34209452.54    | 0.02%             | 2035-01-15      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                   | WINSTON RE LTD UNSECURED 144A 02/28 VAR                    | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |      1800000 | PA      | $1841760.00     | 0.00%             | 2028-02-21      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-6                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 6 A1A              | CUSIP: 008684AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19246174 | PA      | $16879359.98    | 0.01%             | 2046-12-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A2 144A        | CUSIP: 21050UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60690000 | PA      | $61556738.17    | 0.03%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| US CAPITAL FUNDING VI LTD/US CAPITAL FUNDING VI CORP                             | US CAP FDG VI LTD/CORP ASSET BACKED 144A 07/43 VAR         | CUSIP: 903428AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     38141554 | PA      | $34518106.15    | 0.02%             | 2043-07-10      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD9674 FN 07/55 FIXED 5                          | CUSIP: 3140BAXC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       206410 | PA      | $204057.73      | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-CES6                                        | J P MORGAN MTG TR 2025 04/56 1                             | CUSIP: 46664GAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    260269309 | PA      | $278980980.41   | 0.12%             | 2056-04-25      | Variable      | 8.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.36895 07/06/26-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1640515.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003734 G2 07/35 FIXED 4.5                     | CUSIP: 36202EEF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2113 | PA      | $2102.67        | 0.00%             | 2035-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8016 FR 11/34 FIXED 3                  | CUSIP: 3132D53Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59303 | PA      | $57163.29       | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $184665.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.1* 03/30/21-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2005057.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7715 FN 12/26 FIXED 3                          | CUSIP: 3138E0SD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3093 | PA      | $3076.21        | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 790044 FN 08/34 FIXED 6                          | CUSIP: 31405HWD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59505 | PA      | $61712.70       | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH0807 FN 05/47 FIXED 4                          | CUSIP: 3140GN3R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15338 | PA      | $14676.87       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC5725 FN 11/54 FIXED 5                          | CUSIP: 3140ATLF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       401798 | PA      | $396865.96      | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-MS9                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS9 2A           | CUSIP: 939336N66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2764 | PA      | $2782.74        | 0.00%             | 2033-04-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2863 FN 05/45 FIXED 4                          | CUSIP: 3138YUFD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12624 | PA      | $12170.90       | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-33280.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6388 FN 02/48 FIXED 4                          | CUSIP: 3140H8C29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87035 | PA      | $83330.81       | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0760 FN 10/47 FIXED 4                          | CUSIP: 3140H1Z29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57468 | PA      | $55069.69       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROSSROADS ASSET TRUST 2025-A                                                    | CROSSROADS ASSET TRUST XROAD 2025 A A2 144A                | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3005897 | PA      | $3022332.35     | 0.00%             | 2032-02-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A5             | CUSIP: 59020USM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       469708 | PA      | $452142.20      | 0.00%             | 2035-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-24A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 24A 3A2           | CUSIP: 86359AG98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43518 | PA      | $43079.81       | 0.00%             | 2033-07-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080109 G2 08/27 FLOATING VAR                  | CUSIP: 36225CDP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          126 | PA      | $126.13         | 0.00%             | 2027-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9419 FN 07/31 FIXED VAR                        | CUSIP: 3138ERPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8149 | PA      | $8069.97        | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BC6907 G2 08/47 FIXED 3.5                     | CUSIP: 3617BAU84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1378512 | PA      | $1282992.97     | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1399669.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $3410743.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                              | SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A           | CUSIP: 80557CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4643162 | PA      | $4182753.64     | 0.00%             | 2037-12-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY1707 FR 04/55 FIXED 5                  | CUSIP: 31426K3R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12186585 | PA      | $12041681.86    | 0.01%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9440 FN 03/53 FIXED 6                          | CUSIP: 3140NEP25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8809824 | PA      | $9057080.51     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2005 HE3 M5                | CUSIP: 61744CSK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1710332 | PA      | $1688172.46     | 0.00%             | 2035-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CERTIFICATES WMALT SERIES 2007-2         | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 2 2A1            | CUSIP: 93936HAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4063447 | PA      | $3994042.34     | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 AIOS 144A     | CUSIP: 17329NAP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1248156774 | PA      | $9060931.70     | 0.00%             | 2065-03-01      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-14N                                                         | LEHMAN XS TRUST LXS 2006 14N 3A2                           | CUSIP: 52522CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1612893 | PA      | $1931613.82     | 0.00%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH6392 FN 02/41 FIXED 4                          | CUSIP: 3138A8C61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25109 | PA      | $24264.43       | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256556 FN 01/27 FIXED 6                          | CUSIP: 31371M5R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2010 | PA      | $2049.32        | 0.00%             | 2027-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-3                                                 | AEGIS ASSET BACKED SECURITIES AABST 2004 3 M1              | CUSIP: 00764MCF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       424442 | PA      | $520135.22      | 0.00%             | 2034-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC 11/62 0                                 | CUSIP: ACI2P8113<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       703000 | PA      | $3861.54        | 0.00%             | 2062-11-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR1 3A1           | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13413563 | PA      | $11271851.84    | 0.01%             | 2036-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-289575.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B         | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11702427 | PA      | $11590949.37    | 0.01%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2B           | CUSIP: 81377GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32384970 | PA      | $10441918.37    | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD4030 FN 02/55 FIXED 5                          | CUSIP: 3140B4PQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       502921 | PA      | $496625.67      | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7883 G2 02/52 FIXED 3.5                     | CUSIP: 36179WXL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18362 | PA      | $17012.57       | 0.00%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3796 FN 10/29 FIXED 3                          | CUSIP: 31418DGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       140326 | PA      | $138433.27      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC4 M1             | CUSIP: 12667NAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12103442 | PA      | $11718286.21    | 0.01%             | 2036-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0863 FN 01/55 FIXED 7                          | CUSIP: 3140B05Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       659317 | PA      | $700827.11      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2128602.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2D               | CUSIP: 61755AAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9172805 | PA      | $6999345.49     | 0.00%             | 2037-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN HERITAGE AUTO RECEIVABLES TRUST 2024-1A                                 | AMERICAN HERITAGE AUTO RECEIVA AHART 2024 1A A2 144A       | CUSIP: 026944AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3887305 | PA      | $3892370.35     | 0.00%             | 2028-03-15      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/21/23-3Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1189273.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.19643 03/31/26-28Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-529984.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84062 FG 03/48 FIXED 3.5                | CUSIP: 3132L9QP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5371774 | PA      | $5005528.85     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S1 A5            | CUSIP: 16163FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1301221 | PA      | $495405.44      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0207 FN 03/48 FIXED 4                          | CUSIP: 3140HDGR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       869966 | PA      | $833666.58      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1           | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6156 | PA      | $5264.15        | 0.00%             | 2036-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-2                                              | RBSSP RESECURITIZATION TRUST RBSSP 2010 2 14A2 144A        | CUSIP: 74929CDB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        73766 | PA      | $72822.46       | 0.00%             | 2045-08-26      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-3                                | BEAR STEARNS ASSET BACKED SECU BSABS 2005 3 M2             | CUSIP: 073877DP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3558617 | PA      | $3607563.25     | 0.00%             | 2035-09-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/34 1.75                                 | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    543590124 | PA      | $541502308.49   | 0.24%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR 01/50 7.69                | CUSIP: 71654QDD1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     16197000 | PA      | $14036687.87    | 0.01%             | 2050-01-23      | Fixed         | 7.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6777 FN 05/46 FIXED 3.5                        | CUSIP: 3140F2Q78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        66018 | PA      | $61739.71       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260414                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $607794.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS7 A4            | CUSIP: 748940AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        97124 | PA      | $70161.04       | 0.00%             | 2036-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 3A1                 | CUSIP: 46631JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2054122 | PA      | $1554248.27     | 0.00%             | 2037-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XXIV 2016-24A                                                         | APIDOS CLO APID 2016 24A A1AL 144A                         | CUSIP: 03759CAS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       337343 | PA      | $337342.96      | 0.00%             | 2030-10-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1469 FR 12/55 FIXED 5                  | CUSIP: 3142JPT35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6294640 | PA      | $6225219.57     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.18249 04/04/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-32521474.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 B1 144A      | CUSIP: 36265TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15787000 | PA      | $14084746.20    | 0.01%             | 2061-06-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-2                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 2 1A               | CUSIP: 12668NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51489729 | PA      | $46357464.14    | 0.02%             | 2037-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA2                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA2 A1            | CUSIP: 25150UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12997422 | PA      | $11986491.60    | 0.01%             | 2047-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-423402.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA7139 FN 01/46 FIXED 3                          | CUSIP: 3140EB4Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34870 | PA      | $31473.39       | 0.00%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ9057 FR 11/55 FIXED 5                  | CUSIP: 31427KB38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9811255 | PA      | $9685080.21     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9983 FN 01/45 FIXED 4                          | CUSIP: 3138YCCV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       608063 | PA      | $586557.17      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-13962329.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4184 FN 01/45 FIXED 4                          | CUSIP: 3138WDUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32074 | PA      | $30896.51       | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6516 FR 01/53 FIXED 6.5                | CUSIP: 3133BUGZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       205861 | PA      | $213831.98      | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2915 FN 02/27 FIXED 3                          | CUSIP: 31418CGZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15953 | PA      | $15860.62       | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G3627 FH 06/37 FLOATING VAR             | CUSIP: 3128QUA43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          413 | PA      | $422.77         | 0.00%             | 2037-06-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 04/42 2.875                      | CUSIP: ACI1Z3VF1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     26100000 | PA      | $18919063.90    | 0.01%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-57822.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ6637 FR 11/55 FIXED 5                  | CUSIP: 31427GLT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14897001 | PA      | $14705881.76    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2718 FN 05/47 FIXED 4                          | CUSIP: 3140GRAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29622 | PA      | $28386.16       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0835 FN 04/46 FIXED 4                          | CUSIP: 3140EU4V8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1533964 | PA      | $1474715.85     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE9879 FN 11/55 FIXED 5                          | CUSIP: 3140BN6R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9657945 | PA      | $9534339.76     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $982078.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A            | CUSIP: 93364EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24541439 | PA      | $23462228.85    | 0.01%             | 2037-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4321 G2 03/47 FIXED 3.5                     | CUSIP: 36179SYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       174631 | PA      | $164328.70      | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 15 A1                     | CUSIP: 12669GQ53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       191229 | PA      | $90985.89       | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-4R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 4R 4A4 144A         | CUSIP: 12645KCY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5619665 | PA      | $5470389.66     | 0.00%             | 2037-08-27      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK7590 FR 01/29 FIXED 3                  | CUSIP: 3131XBNF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       691610 | PA      | $684260.97      | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2185 FN 06/47 FIXED 4                          | CUSIP: 3140GQNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       705263 | PA      | $674383.32      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2870 FN 03/50 FIXED VAR                        | CUSIP: 3140X6FL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16099024 | PA      | $14461404.39    | 0.01%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                             | EUROSAIL PLC ESAIL 2007 3X A3C REGS                        | CUSIP: B23DWGII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       238781 | PA      | $316065.80      | 0.00%             | 2045-06-13      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2021-1 CLASS A PASS THROUGH TRUST                                | BRITISH AIR 21 1 A PPT PASS THRU CE 144A 09/36 2.9         | CUSIP: 11042CAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     10809698 | PA      | $9938424.85     | 0.00%             | 2036-09-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW8859 FN 09/52 FIXED 4                          | CUSIP: 3140N1ZZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62742 | PA      | $59392.53       | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260409                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-1039648.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $2555178.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0791 FN 04/46 FIXED 3.5                        | CUSIP: 3140EU2Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173029 | PA      | $162345.73      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08760 FG 04/47 FIXED 3                  | CUSIP: 3128MJZ29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5820576 | PA      | $5243525.16     | 0.00%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $730684.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                              | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M4                | CUSIP: 70069FCY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2716655 | PA      | $2697231.59     | 0.00%             | 2034-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1A 144A         | CUSIP: 83208DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700426558 | PA      | $705963044.71   | 0.31%             | 2055-03-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES2                                              | TOWD POINT MORTGAGE TRUST TPMT 2025 CES2 A1 144A           | CUSIP: 89183KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24268077 | PA      | $24286768.24    | 0.01%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2005-BC1                                          | SPECIALTY UNDERWRITING + RESID SURF 2005 BC1 M4            | CUSIP: 84751PEU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3626454 | PA      | $3651269.83     | 0.00%             | 2035-12-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE4                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE4 1A3          | CUSIP: 07386RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6316454 | PA      | $6254189.70     | 0.00%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.85000 01/08/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $204046.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-5AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 5AR 4A1            | CUSIP: 61748HLF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29918 | PA      | $19137.90       | 0.00%             | 2035-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CC0117 FN 03/55 FIXED 6                          | CUSIP: 3140Y6DX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42512199 | PA      | $44134985.02    | 0.02%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2008-1                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2008 1 A1              | CUSIP: 05955AAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9100756 | PA      | $8643491.43     | 0.00%             | 2048-09-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF0862 FN 11/55 FIXED 5                          | CUSIP: 3140BQ5Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7480884 | PA      | $7383181.05     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-2                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 2 A2C            | CUSIP: 59024QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23117305 | PA      | $16967750.72    | 0.01%             | 2037-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 924742 FN 05/37 FIXED 6                          | CUSIP: 31412GLX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82191 | PA      | $84722.05       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 2A3                 | CUSIP: 46628KAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       576093 | PA      | $485606.12      | 0.00%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890762 FN 10/31 FIXED VAR                        | CUSIP: 31410LTT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        88499 | PA      | $85465.91       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 06/21/23-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $164059884.10   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7644 FN 12/55 FIXED 5                          | CUSIP: 3140BYP65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5786351 | PA      | $5711090.35     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA YCRT 144A                    | CUSIP: ACI12VL90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         9500 | PA      | $17816.39       | 0.00%             | 2055-05-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2005-3                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2005 3 M4              | CUSIP: 004375DX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1660074 | PA      | $1619676.88     | 0.00%             | 2035-09-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-5                                                 | AEGIS ASSET BACKED SECURITIES AABST 2004 5 M2              | CUSIP: 00764MDH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5543947 | PA      | $5119772.71     | 0.00%             | 2034-12-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LURA FUNDING DESIGNATED ACTIVITY COMPANY 2026-1A                                 | LURA FUNDING DAC LURA 2026 1A G 144A                       | CUSIP: ACI394RB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      6878000 | PA      | $7561185.86     | 0.00%             | 2079-08-27      | Floating      | 5.88%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8258 FR 10/52 FIXED 5                  | CUSIP: 3132DWE74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1737688 | PA      | $1723964.30     | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-1                                                | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 1 A2 144A             | CUSIP: 33843VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2213991 | PA      | $2215001.45     | 0.00%             | 2028-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256738 FN 05/27 FIXED 6.5                        | CUSIP: 31371NEK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          684 | PA      | $707.75         | 0.00%             | 2027-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA3301 FN 10/53 FIXED 6                          | CUSIP: 3140A3U35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83354 | PA      | $85204.79       | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-WMC1                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 WMC1 M1           | CUSIP: 59020UQV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1502643 | PA      | $1484996.10     | 0.00%             | 2035-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6600 FN 12/55 FIXED 5                          | CUSIP: 3140BXKN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1540647 | PA      | $1521449.97     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN1374 FR 01/35 FIXED 3                  | CUSIP: 3133G7Q30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45055 | PA      | $43406.13       | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $52075100.23    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $104277.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 4 13A1                 | CUSIP: 073871AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7694110 | PA      | $6981383.75     | 0.00%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A3              | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7100000 | PA      | $7144245.78     | 0.00%             | 2028-11-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3825 FR 09/53 FIXED 6.5                | CUSIP: 3132E0HA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27394074 | PA      | $28375469.91    | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO XIII DAC 13A                                                          | ARBOUR CLO ARBR 13A AR 144A                                | CUSIP: ACI38J3K2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     67700000 | PA      | $78015367.72    | 0.03%             | 2038-08-15      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO5                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 3A4           | CUSIP: 75114HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       555851 | PA      | $424693.77      | 0.00%             | 2046-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A B 144A                                 | CUSIP: ACI12K022<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     82543000 | PA      | $106818255.90   | 0.05%             | 2045-02-22      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2724 FN 05/47 FIXED 4.5                        | CUSIP: 3140GRA20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10335 | PA      | $10205.13       | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4442 FN 08/46 FIXED 3.5                        | CUSIP: 3140FB5C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       309665 | PA      | $289213.56      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890696 FN 09/30 FIXED VAR                        | CUSIP: 31410LRR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3838 | PA      | $3761.81        | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QO1                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO1 A1            | CUSIP: 75115YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6611690 | PA      | $6165962.02     | 0.00%             | 2047-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-2                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 2 1A               | CUSIP: 1266713T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3130096 | PA      | $3086046.05     | 0.00%             | 2034-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3061 FN 07/27 FIXED 3                          | CUSIP: 31418CMK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79010 | PA      | $78402.55       | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL4                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL4 PT 144A         | CUSIP: 52472GAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139242692 | PA      | $125877106.49   | 0.06%             | 2058-01-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A1 144A      | CUSIP: 17312GAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9145974 | PA      | $8225418.02     | 0.00%             | 2037-05-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-231523.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A4 144A        | CUSIP: 39571VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17238744 | PA      | $17230069.10    | 0.01%             | 2060-06-25      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 AIOS 144A     | CUSIP: 17330EAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    840455070 | PA      | $2281373.27     | 0.00%             | 2061-08-01      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8524 FR 04/55 FIXED 5.5                | CUSIP: 3132DWPH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33799311 | PA      | $33988120.47    | 0.02%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.681 03/18/26-01/02/31 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $355286.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $1689408.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995724 FN 04/39 FIXED VAR                        | CUSIP: 31416CD52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       312121 | PA      | $327592.58      | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8999 FN 10/47 FIXED 4                          | CUSIP: 3140GX7M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       158649 | PA      | $151947.29      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0481 FN 08/30 FIXED 4.5                        | CUSIP: 31417YRB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4713 | PA      | $4719.68        | 0.00%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9972 FN 07/47 FIXED 4                          | CUSIP: 3138WLCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19462 | PA      | $18655.89       | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-20                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 20 A7                     | CUSIP: 126694FN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       350446 | PA      | $200802.47      | 0.00%             | 2027-12-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP ULO                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-5298523.02    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9829 FN 06/47 FIXED 3.5                        | CUSIP: 3138WK4P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43690 | PA      | $40786.41       | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED 144A 10/30 6.875               | CUSIP: 02090DAB4<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     26921065 | PA      | $25775398.70    | 0.01%             | 2030-10-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $537785.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $66239.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2                 | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        96527 | PA      | $93575.62       | 0.00%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3885 FN 01/56 FIXED 5                          | CUSIP: 3140BGJ79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2816624 | PA      | $2780098.71     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| XBP GLOBAL HOLDINGS INC                                                          | XBP GLOBAL HOLDINGS INC COMMON STOCK USD.0001              | CUSIP: 98400V200<br>LEI: 984500BE0P94C4CD8C71 | Long             | EC               | CORP              | US        |        94691 | NS      | $416640.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 1 A7                      | CUSIP: 170255AR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       476449 | PA      | $195138.20      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6875 FN 04/47 FIXED 3.5                        | CUSIP: 3140FST94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       404415 | PA      | $376053.34      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPT CORP 2006-AR3                                                | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR3 A1A            | CUSIP: 65537EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1741377 | PA      | $1585900.64     | 0.00%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5445 FN 08/54 FIXED 6                          | CUSIP: 31418FBP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12977252 | PA      | $13246701.41    | 0.01%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-67CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 67CB A1          | CUSIP: 12668AJ89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3912386 | PA      | $2828715.28     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ6045 FR 10/55 FIXED 5                  | CUSIP: 31427DWF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       368729 | PA      | $363935.96      | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-RP3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP3 PT 144A       | CUSIP: 17291MAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    697076026 | PA      | $582617118.65   | 0.26%             | 2062-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| TRAPEZA CDO IX LTD 2005-9A                                                       | TRAPEZA CDO LLC TRAP 2005 9A A1 144A                       | CUSIP: 89413AAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11301935 | PA      | $11132405.91    | 0.00%             | 2040-01-27      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-1233103.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-5                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 5 1A             | CUSIP: 59025RAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24214435 | PA      | $14822263.65    | 0.01%             | 2037-10-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-AR1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 AR1 1A           | CUSIP: 12668A4P7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4129803 | PA      | $3793297.90     | 0.00%             | 2035-12-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0552 G2 08/55 FIXED 3.5                     | CUSIP: 3618N5TJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    545012050 | PA      | $500401194.72   | 0.22%             | 2055-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-OP2                                                | SECURITIZED ASSET BACKED RECEI SABR 2005 OP2 M3            | CUSIP: 81375WGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       963000 | PA      | $860953.97      | 0.00%             | 2035-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX3780 FR 01/55 FIXED 7                  | CUSIP: 31425YFW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       727989 | PA      | $765443.44      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS5                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS5 A1            | CUSIP: 74923JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       462842 | PA      | $383072.67      | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-15079932.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-28CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 28CB A14         | CUSIP: 02147TAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4546789 | PA      | $2106482.86     | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR11                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR11 A1          | CUSIP: 94984CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       178179 | PA      | $169172.02      | 0.00%             | 2036-08-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-7                                                     | LEHMAN MORTGAGE TRUST LMT 2007 7 2A9                       | CUSIP: 52519BAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       979232 | PA      | $930054.53      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-1                                       | GS MORTGAGE BACKED SECURITIES GSMBS 2026 1 PT 144A         | CUSIP: 36274KDJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    404732934 | PA      | $402173075.09   | 0.18%             | 2055-11-25      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 1 2A2A            | CUSIP: 17307GPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       666505 | PA      | $644133.47      | 0.00%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| RAD CLO 10 LTD 2021-10A                                                          | RAD CLO LTD RAD 2021 10A A 144A                            | CUSIP: 48662LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14510000 | PA      | $14528769.99    | 0.01%             | 2034-04-23      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C            | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       206076 | PA      | $47469.07       | 0.00%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 26-1                                                   | TOWD POINT MORTGAGE TRUST TPMT 2026 1 A1A 144A             | CUSIP: 891959AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65459635 | PA      | $64624062.64    | 0.03%             | 2066-01-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7774 FR 02/53 FIXED 5.5                | CUSIP: 3133BVT70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       547382 | PA      | $552309.92      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.59204 03/31/26-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $891860.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2006-2                                          | MASTR ASSET SECURITIZATION TRU MASTR 2006 2 1A4            | CUSIP: 55274QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123109 | PA      | $65147.88       | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL4                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL4 A1 144A        | CUSIP: 126405AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14577491 | PA      | $13170121.43    | 0.01%             | 2060-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9601 G2 04/54 FIXED 3.5                     | CUSIP: 36179YU28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23785 | PA      | $21958.27       | 0.00%             | 2054-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5601 FN 08/45 FIXED 4.5                        | CUSIP: 3138WFGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67746 | PA      | $66872.40       | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2C               | CUSIP: 61755AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11409284 | PA      | $8704377.70     | 0.00%             | 2037-05-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2003-9A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 9A 1A1            | CUSIP: 86359ARC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       433799 | PA      | $393844.78      | 0.00%             | 2033-03-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC-2005-WCW1                                              | PARK PLACE SECURITIES INC PPSI 2005 WCW1 M4                | CUSIP: 70069FKH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $3623876.00     | 0.00%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.54666 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $540952.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 4 A3             | CUSIP: 802919AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46779009 | PA      | $46866691.84    | 0.02%             | 2029-01-16      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-173351.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4141 FN 09/49 FIXED 3                          | CUSIP: 3140QBS74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     54466779 | PA      | $48715762.51    | 0.02%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MGTE PROD INC 2005-EFC7                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC7 AI4          | CUSIP: 76112BR77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17962865 | PA      | $16551175.74    | 0.01%             | 2035-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2025-4A LTD                                                      | ATLANTIC AVENUE LTD MCCP 2025 4A A 144A                    | CUSIP: 04822PAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     90700000 | PA      | $90912975.39    | 0.04%             | 2038-10-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1                  | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       454703 | PA      | $430396.99      | 0.00%             | 2036-02-20      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2005                                         | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 8 A13            | CUSIP: 05949CHA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       630596 | PA      | $550061.29      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A5            | CUSIP: 25151RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1727670 | PA      | $1562856.96     | 0.00%             | 2047-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC3298 FN 05/46 FIXED 4                          | CUSIP: 3140EXUY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19623 | PA      | $18800.23       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08732 FG 11/46 FIXED 3                  | CUSIP: 3128MJY61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2753040 | PA      | $2485822.73     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-13901512.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE4                                               | MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A1             | CUSIP: 576449AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       286796 | PA      | $81817.69       | 0.00%             | 2036-11-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2554742.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX0895 FN 10/44 FIXED 4                          | CUSIP: 3138Y17H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       203520 | PA      | $196480.68      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S3                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S3 A5            | CUSIP: 46628VAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18822521 | PA      | $15546758.80    | 0.01%             | 2036-08-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| CENDANT MORT CAPITAL LLC CDMC MORT PAS THR CE SE 03 6 2003-6                     | CENDANT MORTGAGE CORPORATION CDMC 2003 6 A5                | CUSIP: 15132EEB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34194 | PA      | $32931.37       | 0.00%             | 2033-07-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | REPUBLIC OF COLOMBIA SR UNSECURED 01/29 5.375              | CUSIP: 195325ET8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    202400000 | PA      | $200780800.00   | 0.09%             | 2029-01-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-126277.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A C 144A         | CUSIP: 210928AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30254741 | PA      | $31232625.77    | 0.01%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3871                                                                 | FREDDIE MAC FHR 3871 JB                                    | CUSIP: 3137AC7C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10460449 | PA      | $10772134.86    | 0.00%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $484376.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX-2021-LBA                                                                      | BX TRUST BX 2021 LBA AV 144A                               | CUSIP: 05609BAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12385663 | PA      | $12385240.24    | 0.01%             | 2036-02-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF4540 FN 01/56 FIXED 5                          | CUSIP: 3140BVBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16163336 | PA      | $15955053.69    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A2A                | CUSIP: 59020UJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7185 | PA      | $6874.82        | 0.00%             | 2029-11-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXX DAC 30A                                               | CORDATUS CLO PLC CORDA 30A AR 144A                         | CUSIP: ACI354435<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     14000000 | PA      | $16172286.18    | 0.01%             | 2037-05-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-366659.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                    | RMAC SECURITIES PLC RMACS 2007 NS1X A2B REGS               | CUSIP: B231LDII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     15196634 | PA      | $14766493.13    | 0.01%             | 2044-06-12      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                    | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  12055300000 | PA      | $270329736.66   | 0.12%             | 2028-05-17      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A                                    | UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A        | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1152388 | PA      | $1149735.64     | 0.00%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX9067 FR 02/55 FIXED 5                  | CUSIP: 31426GCD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1045014 | PA      | $1031804.27     | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OBX 2025-R1 TRUST                                                                | ONSLOW BAY FINANCIAL LLC OBX 2025 R1 A1 144A               | CUSIP: 67123GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63248731 | PA      | $62872742.45    | 0.03%             | 2062-09-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2270 FN 04/46 FIXED 4.5                        | CUSIP: 3140EWQY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54326 | PA      | $53308.36       | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC7                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC7 3A2           | CUSIP: 86358ECW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          915 | PA      | $901.20         | 0.00%             | 2033-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX2549 FR 12/54 FIXED 5.5                | CUSIP: 31425WZP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87328 | PA      | $88679.43       | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AURA A 144A       | CUSIP: 95004VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54900000 | PA      | $54853417.35    | 0.02%             | 2042-10-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0942 FN 12/40 FIXED 4                          | CUSIP: 3138A2BL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77168 | PA      | $74507.73       | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3564 FN 11/55 FIXED VAR                        | CUSIP: 3140W36A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35048923 | PA      | $35750280.38    | 0.02%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260422                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-5737128.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE1 M1           | CUSIP: 07384YPX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       930355 | PA      | $958238.75      | 0.00%             | 2034-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 21 A8                     | CUSIP: 12543PAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       185522 | PA      | $74348.10       | 0.00%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-8                                                    | GSAA HOME EQUITY TRUST GSAA 2006 8 2A1                     | CUSIP: 362348AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5950011 | PA      | $1193052.14     | 0.00%             | 2036-05-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4673 FN 06/47 FIXED 4                          | CUSIP: 3140FQFP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11504 | PA      | $11023.55       | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A C 144A                                 | CUSIP: ACI12K0V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     26742000 | PA      | $22688658.73    | 0.01%             | 2045-02-22      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA7                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA7 2A1          | CUSIP: 32051GSQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1369814 | PA      | $1222469.50     | 0.00%             | 2035-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-5                                                           | LEHMAN XS TRUST LXS 2006 5 2A3                             | CUSIP: 525221JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5168549 | PA      | $5115274.60     | 0.00%             | 2036-04-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2005-NC2                                              | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC2 M6            | CUSIP: 144531BZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8993615 | PA      | $8806022.01     | 0.00%             | 2035-05-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SL                                               | NEPTUNE QUASAR PPN                                         | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |            1 | PA      | $0.00           | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP4058 FN 08/27 FIXED 3                          | CUSIP: 3138M7QL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6760 | PA      | $6704.00        | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ6549 FN 09/45 FIXED 4                          | CUSIP: 3138YYH30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50827 | PA      | $48811.58       | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2963 FN 05/45 FIXED 4                          | CUSIP: 3138YGJH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26574 | PA      | $25606.51       | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-G                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 G 1A1             | CUSIP: 05950MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3109447 | PA      | $3111036.38     | 0.00%             | 2036-07-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-4                                                              | IMPAC CMB TRUST IMM 2004 4 2A2                             | CUSIP: 45254NJF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       413531 | PA      | $476476.83      | 0.00%             | 2034-09-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84296 FG 05/48 FIXED 3.5                | CUSIP: 3132L9XZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3665 | PA      | $3408.59        | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 1A               | CUSIP: 12669LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22369271 | PA      | $20990947.73    | 0.01%             | 2037-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $54031684.05    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ7182 FN 08/45 FIXED 4.5                        | CUSIP: 3138YY6U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58142 | PA      | $57147.86       | 0.00%             | 2045-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.698 03/23/26-01/02/31 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $88375.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 A2 144A        | CUSIP: 12662NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40232499 | PA      | $30220388.16    | 0.01%             | 2061-05-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8501 FR 01/55 FIXED 7                  | CUSIP: 3132DWNS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3365325 | PA      | $3539454.54     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A7                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A7 2A4R                | CUSIP: 46629DAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       217654 | PA      | $181174.85      | 0.00%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I 2007-SA4                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA4 3A1           | CUSIP: 74959AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4072500 | PA      | $2461321.73     | 0.00%             | 2037-10-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2207447.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD5012 FR 03/54 FIXED 5                  | CUSIP: 3132DSR95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       382605 | PA      | $379021.15      | 0.00%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA2921 FN 09/55 FIXED VAR                        | CUSIP: 3140W3G78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12060628 | PA      | $12288498.42    | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A2            | CUSIP: 43710BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1094470 | PA      | $745491.54      | 0.00%             | 2037-04-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0993 G2 03/56 FIXED 3.5                     | CUSIP: 3618N6C70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44565033 | PA      | $40906807.54    | 0.02%             | 2056-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA E 144A                       | CUSIP: ACI2QV5W9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     28025000 | PA      | $36762064.49    | 0.02%             | 2055-05-28      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2021-4 LTD                                                            | CANYON CAPITAL CLO LTD CANYC 2021 4A AR 144A               | CUSIP: 13877PAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7000000 | PA      | $7000447.02     | 0.00%             | 2034-10-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ2836 FR 11/54 FIXED 5                  | CUSIP: 3142GTEJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       143515 | PA      | $141681.83      | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2024-2A                                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2024 2A A3 144A       | CUSIP: 73328NAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35399120 | PA      | $35421017.46    | 0.02%             | 2027-10-20      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| MESA TRUST ASSET BK CERT 2001-5                                                  | MESA TRUST ASSET BACKED CERTIF MESA 2001 5 M1 144A         | CUSIP: 68400XAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       635140 | PA      | $548401.70      | 0.00%             | 2031-11-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 C B               | CUSIP: 83407XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17045000 | PA      | $16962807.31    | 0.01%             | 2034-10-25      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE6                                                             | GSAMP TRUST GSAMP 2006 HE6 A2                              | CUSIP: 36245AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4010837 | PA      | $3479418.06     | 0.00%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q58632 FG 09/48 FIXED 3.5                | CUSIP: 3132Y2SW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1002517 | PA      | $931978.37      | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260417                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-826812.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-E                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 7A1             | CUSIP: 05946XXT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10828 | PA      | $10005.71       | 0.00%             | 2035-06-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3471                                                          | FREDDIE MAC FHR 3471 Z                                     | CUSIP: 31397WW68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       879265 | PA      | $889007.76      | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES6                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES6 A1 144A           | CUSIP: 891947AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26885256 | PA      | $27001018.98    | 0.01%             | 2064-11-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA2568 FR 01/50 FIXED 4.5                | CUSIP: 3133KHZ90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3736812 | PA      | $3660192.99     | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM42 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1010207.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1114 FN 04/47 FIXED VAR                        | CUSIP: 3140J5GY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73751 | PA      | $70719.40       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2003-9A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 9A 2A1            | CUSIP: 86359ARE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27129 | PA      | $26565.32       | 0.00%             | 2033-03-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9343 FN 03/47 FIXED 3.5                        | CUSIP: 3140FVLZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       135579 | PA      | $126232.80      | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4300 FN 01/42 FIXED 3.5                        | CUSIP: 31417AX61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2310 | PA      | $2187.46        | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 6A1                   | CUSIP: 36242D4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       452836 | PA      | $333184.79      | 0.00%             | 2035-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9408 FN 07/47 FIXED 4                          | CUSIP: 3140FVN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39012 | PA      | $37464.62       | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                         | IHEARTCOMMUNICATIONS INC 2024 TERM LOAN                    | CUSIP: 45174UAJ7<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |      1213427 | PA      | $1067245.25     | 0.00%             | 2029-05-01      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ8085 FR 11/54 FIXED 5                  | CUSIP: 3133CY6W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6455405 | PA      | $6382553.10     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BD4083 G2 05/48 FIXED 4                       | CUSIP: 3617BKRC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       458560 | PA      | $432855.69      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LURA FUNDING DESIGNATED ACTIVITY COMPANY 2026-1A                                 | LURA FUNDING DAC LURA 2026 1A F 144A                       | CUSIP: ACI394TC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      6019000 | PA      | $6758090.49     | 0.00%             | 2079-08-27      | Floating      | 5.12%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4404 FN 08/52 FIXED 5                          | CUSIP: 3140QP3N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18633 | PA      | $18531.76       | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $161558.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0778 FN 11/32 FIXED 3                          | CUSIP: 3140Q72L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33733 | PA      | $32581.45       | 0.00%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5623 FN 01/48 FIXED 4.5                        | CUSIP: 3140H7G92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       139897 | PA      | $137574.87      | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A            | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4967522 | PA      | $4613279.40     | 0.00%             | 2046-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A E 144A                         | CUSIP: ACI2SNZ77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10274000 | PA      | $13582593.40    | 0.01%             | 2066-05-16      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 2A1            | CUSIP: 576433UE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3212947 | PA      | $3177152.64     | 0.00%             | 2034-04-21      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA INVESTMENT HOLDINGS LIMITED                                         | VIRGIN MEDIA INV HLDGS LTD 2025 GBP TERM LOAN              | CUSIP: BA000VZK6<br>LEI: 549300ZM1VNUHR0FX008 | Long             | LON              | CORP              | GB        |     33498728 | PA      | $42565373.99    | 0.02%             | 2030-08-01      | Floating      | 6.98%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS10                                             | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS10 M2           | CUSIP: 76110WG42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30643 | PA      | $30647.56       | 0.00%             | 2034-11-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S2 1A9           | CUSIP: 16163BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3125604 | PA      | $1117476.42     | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2446 G2 12/44 FIXED 4                       | CUSIP: 36179QWF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9835 | PA      | $9447.27        | 0.00%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-3                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 3 M1             | CUSIP: 69121PAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4468996 | PA      | $3941967.67     | 0.00%             | 2036-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO 2003-37A                                          | STRUCTURED ASSET SECURITIES CO SASC 2003 37A 3A7           | CUSIP: 86359BBZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       143098 | PA      | $140625.23      | 0.00%             | 2033-12-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                   | CUSIP: 73110JAB8<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |     73700000 | PA      | $76205800.00    | 0.03%             | 2027-01-07      | Floating      | 16.79%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5408 FR 01/53 FIXED 5.5                | CUSIP: 3133BTAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3131702 | PA      | $3165393.91     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A1B          | CUSIP: 46630XAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       548511 | PA      | $547748.55      | 0.00%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR14 1A3          | CUSIP: 93363PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1351437 | PA      | $1230707.71     | 0.00%             | 2036-11-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-1                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 12 2A1 144A       | CUSIP: 17314CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5315519 | PA      | $2554815.32     | 0.00%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA Z 144A                       | CUSIP: ACI2QV5K5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     35031000 | PA      | $39715539.33    | 0.02%             | 2055-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 4A1                  | CUSIP: 125438AQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1575173 | PA      | $1613115.58     | 0.00%             | 2047-04-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $183127.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD5425 FN 05/55 FIXED 6.5                        | CUSIP: 3140B6A39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       818481 | PA      | $850416.62      | 0.00%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2A                                         | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2023 2A A2 144A       | CUSIP: 68269HAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18764000 | PA      | $18891051.04    | 0.01%             | 2036-09-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T A 144A      | CUSIP: 46652WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33500000 | PA      | $31498472.15    | 0.01%             | 2042-03-05      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A B                      | CUSIP: ACI2Q4L43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     66160000 | PA      | $76553111.66    | 0.03%             | 2067-08-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-33091.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ7715 FR 11/54 FIXED 5                  | CUSIP: 3133CYSC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5433942 | PA      | $5366900.91     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260428                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $178501.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2024-HYB2 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB2 A1 144A             | CUSIP: 67118RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53653602 | PA      | $53443747.13    | 0.02%             | 2053-04-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-7                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 7 A2                      | CUSIP: 81744FCW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91089 | PA      | $83537.15       | 0.00%             | 2034-08-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2007-HE2                                     | MASTR ASSET BACKED SECURITIES MABS 2007 HE2 A1             | CUSIP: 57646LAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15343083 | PA      | $13702358.36    | 0.01%             | 2037-08-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 2A1            | CUSIP: 78473NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1328018 | PA      | $1144071.05     | 0.00%             | 2037-02-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2747 FN 09/46 FIXED 3.5                        | CUSIP: 31418CBR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55916 | PA      | $52327.26       | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5279473000 | PA      | $5457716402.84  | 2.43%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTGE SEC BCM 2000 A                                           | BOMBARDIER CAPITAL MORTGAGE SE BCM 2000 A A2               | CUSIP: 09774XBN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16138542 | PA      | $873321.07      | 0.00%             | 2030-06-15      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S2 1A3                 | CUSIP: 46630WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10898243 | PA      | $4123972.49     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                                  | AVON FINANCE AVON 4A C 144A                                | CUSIP: ACI2JTNL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     14835000 | PA      | $19708692.61    | 0.01%             | 2049-12-28      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2023-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2023 RP2 SA 144A       | CUSIP: 17331PAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       111979 | PA      | $111277.72      | 0.00%             | 2062-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-5231.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2024-2 DAC 24-2A                                             | GROSVENOR PLACE CLO BV GROSV 2024 2A A 144A                | CUSIP: ACI2RYX19<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     78600000 | PA      | $90882115.34    | 0.04%             | 2039-01-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-2 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2019 2 AA PTT PASS THRU CE 11/33 2.7            | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7726847 | PA      | $7117857.47     | 0.00%             | 2033-11-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA 11/27 VAR                               | CUSIP: 05964HAX3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     95200000 | PA      | $96400547.21    | 0.04%             | 2027-11-07      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 2B3 144A       | CUSIP: 12597GAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57175842 | PA      | $42426590.27    | 0.02%             | 2059-09-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF3140 FR 11/52 FIXED 6                  | CUSIP: 3133BQPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       484673 | PA      | $500052.13      | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83886 FG 01/48 FIXED 3.5                | CUSIP: 3132L9J71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41537 | PA      | $38705.28       | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5711 G2 01/49 FIXED 4.5                     | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69444 | PA      | $68410.37       | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7948 FN 07/43 FIXED 4                          | CUSIP: 3138WVZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       600710 | PA      | $581031.71      | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A2           | CUSIP: 44328AAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14512995 | PA      | $4957193.64     | 0.00%             | 2036-10-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-2 SP DUB                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-788180.86     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2007-1                                              | MASTR SPECIALIZED LOAN TRUST MASD 2007 1 A 144A            | CUSIP: 57645KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8959144 | PA      | $3465731.09     | 0.00%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2834 FR 10/55 FIXED 5.5                | CUSIP: 31427QEG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41715420 | PA      | $42454551.20    | 0.02%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-1A                                                   | LENDMARK FUNDING TRUST LFT 2024 1A A 144A                  | CUSIP: 52603DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20100000 | PA      | $20262870.30    | 0.01%             | 2032-06-21      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 12/27 VAR                   | CUSIP: 225401BC1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     95300000 | PA      | $96575720.11    | 0.04%             | 2027-12-22      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1             | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6689213 | PA      | $2021232.63     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 4A1                   | CUSIP: 362341FP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       136554 | PA      | $135884.31      | 0.00%             | 2035-07-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-4A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2025 4A A2              | CUSIP: 30167KAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25564486 | PA      | $25584290.80    | 0.01%             | 2028-03-15      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM4                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM4 A2A           | CUSIP: 81377XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       133286 | PA      | $34864.24       | 0.00%             | 2036-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260417                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-746833.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 410927 FH 11/35 FLOATING VAR             | CUSIP: 31337BA46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27523 | PA      | $28498.87       | 0.00%             | 2035-11-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US ULTRA BOND CBT JUN26 XCBT 20260618                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        63876 | NC      | $-237959816.40  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2002-HE1                                         | ASSET BACKED SECURITIES CORP H ABSHE 2002 HE1 M1           | CUSIP: 04541GCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15475 | PA      | $17847.09       | 0.00%             | 2032-03-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA7078 FR 06/39 FIXED 3.5                | CUSIP: 31329Q2K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36418 | PA      | $34947.85       | 0.00%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7868 FN 09/46 FIXED 4                          | CUSIP: 3138WHW65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2823498 | PA      | $2711237.98     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ8168 FR 11/54 FIXED 5                  | CUSIP: 3133D0CD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1913752 | PA      | $1889209.86     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-7                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 3A4               | CUSIP: 22942KAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       643764 | PA      | $227018.56      | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD2787 FN 06/55 FIXED 5                          | CUSIP: 3140B3CZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3935440 | PA      | $3885761.21     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2026-CES2                                              | TOWD POINT MORTGAGE TRUST TPMT 2026 CES2 A1A 144A          | CUSIP: 89190MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23493455 | PA      | $23205665.18    | 0.01%             | 2066-02-25      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-AF2                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AF2 AV2C          | CUSIP: 59023NAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8840660 | PA      | $4995055.25     | 0.00%             | 2037-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2024-1                            | FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2024 1 A2 144A         | CUSIP: 35105AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4608182 | PA      | $4618615.82     | 0.00%             | 2029-01-16      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1487 FN 02/48 FIXED 3.5                        | CUSIP: 3140HEUM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       194328 | PA      | $180852.97      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.41000 07/31/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $941746.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08841 FG 10/48 FIXED 3.5                | CUSIP: 3128MJ5B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4538679 | PA      | $4220750.96     | 0.00%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-1F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 1F 3A1                    | CUSIP: 3622MPAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        36121 | PA      | $20971.19       | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260821                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $626071.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC3176 FN 03/46 FIXED 3.5                        | CUSIP: 3140EXQ63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1630231 | PA      | $1528732.12     | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BT8052 FN 01/53 FIXED 6                          | CUSIP: 3140LW5N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        66658 | PA      | $68632.47       | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC2                                           | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC2 M1               | CUSIP: 61746RHS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1300259 | PA      | $1329478.05     | 0.00%             | 2034-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL4 A1 144A      | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19309909 | PA      | $18871688.14    | 0.01%             | 2061-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5              | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     51959000 | PA      | $46580239.65    | 0.02%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A8                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A8 A1             | CUSIP: 17313MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1293968 | PA      | $1203957.14     | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ0419 FR 07/54 FIXED 7                  | CUSIP: 3133CQPC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       422457 | PA      | $444637.14      | 0.00%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-469247.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0701 FN 12/40 FIXED VAR                        | CUSIP: 31419AX77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       114529 | PA      | $113408.21      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 6A1            | CUSIP: 61749LAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        67426 | PA      | $66541.64       | 0.00%             | 2036-06-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M3                                                    | ARGENT SECURITIES INC. ARSI 2006 M3 A2B                    | CUSIP: 03076MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7059418 | PA      | $2145020.47     | 0.00%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-3407037.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-168863.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1477 FR 12/55 FIXED 5                  | CUSIP: 3142JPUB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136497493 | PA      | $134725301.27   | 0.06%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                          | FREDDIE MAC FHR 4579 SD                                    | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8524058 | PA      | $404203.99      | 0.00%             | 2038-01-15      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2004-AC3                                            | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC3 A2           | CUSIP: 073879BN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       120686 | PA      | $116885.90      | 0.00%             | 2034-06-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ4674 FN 11/26 FIXED 3                          | CUSIP: 3138AWFQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2308 | PA      | $2294.48        | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.49500 10/30/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2741800.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A4          | CUSIP: 83612TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4448570 | PA      | $3002520.73     | 0.00%             | 2037-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895564 FN 05/36 FIXED 6                          | CUSIP: 31410R5Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6476 | PA      | $6626.12        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 2A1            | CUSIP: 007036TD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3553560 | PA      | $2792470.19     | 0.00%             | 2036-01-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A Z 144A                          | CUSIP: ACI2M18R7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    123515000 | PA      | $80113459.11    | 0.04%             | 2035-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                                     | LEHMAN MORTGAGE TRUST LMT 2007 8 2A2                       | CUSIP: 52521YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4650438 | PA      | $1765854.71     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.05250 01/07/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $611645.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC SERIES 2009-4R                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 4R 1A15 144A        | CUSIP: 12641NBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3786328 | PA      | $2684700.50     | 0.00%             | 2036-04-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52305 FG 11/47 FIXED 3                  | CUSIP: 3132XUR31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7188 | PA      | $6438.69        | 0.00%             | 2047-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-2A                                        | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 2A A2 144A        | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2184006 | PA      | $2187723.80     | 0.00%             | 2028-06-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-30402940.78   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2255                                                                 | FREDDIE MAC FHR 2255 Z                                     | CUSIP: 3133TPN54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26172 | PA      | $27417.84       | 0.00%             | 2030-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUT+5.89/-0.0200 3/20/21-8Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $64670362.66    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                              | ELEVATION CLO LTD AWPT 2018 3A BR2 144A                    | CUSIP: 28623VAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13400000 | PA      | $13321857.36    | 0.01%             | 2035-01-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QA2                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA2 1A1           | CUSIP: 761118TN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5289994 | PA      | $3400797.76     | 0.00%             | 2036-02-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-20                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 20 A6                     | CUSIP: 126694FD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       151057 | PA      | $88160.64       | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 2A2           | CUSIP: 74922KAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       436017 | PA      | $296528.38      | 0.00%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 313649 FN 08/27 FIXED VAR                        | CUSIP: 31374GL62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          137 | PA      | $141.92         | 0.00%             | 2027-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $14886800.46    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                             | COLLEGE AVE STUDENT LOANS CASL 2023 B C 144A               | CUSIP: 19425MAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13929144 | PA      | $14509017.21    | 0.01%             | 2054-06-25      | Fixed         | 7.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.54300 08/04/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1111271.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256535 FN 11/26 FIXED 5                          | CUSIP: 31371M4U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          114 | PA      | $113.90         | 0.00%             | 2026-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-519989.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ9614 FR 12/55 FIXED 5                  | CUSIP: 31427KVG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       554686 | PA      | $547544.44      | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M3             | CUSIP: 68389FJK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5889000 | PA      | $5202949.76     | 0.00%             | 2035-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $1071456.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                             | COLLEGE AVE STUDENT LOANS CASL 2023 B A1B 144A             | CUSIP: 19425MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48670890 | PA      | $49005444.36    | 0.02%             | 2054-06-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | REPUBLIC OF TURKIYE SR UNSECURED 10/28 6.125               | CUSIP: 900123CQ1<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     76500000 | PA      | $76778541.86    | 0.03%             | 2028-10-24      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20270127                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $6158821.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                            | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75           | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     56348902 | PA      | $56097867.64    | 0.02%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $313191.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A2 144A        | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11376501 | PA      | $11417752.91    | 0.01%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 6 31A1                 | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3928044 | PA      | $2152621.89     | 0.00%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1824 FN 04/46 FIXED 4.5                        | CUSIP: 3140EWA21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       432571 | PA      | $424407.18      | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL7 SA 144A      | CUSIP: 36273CAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        83636 | PA      | $82291.36       | 0.00%             | 2064-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-WF4                                             | STRUCTURED ASSET SECURITIES CO SASC 2005 WF4 M8            | CUSIP: 863576DN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3197000 | PA      | $3181233.04     | 0.00%             | 2035-11-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1068 FN 04/48 FIXED VAR                        | CUSIP: 3140X4FJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18727288 | PA      | $17945563.65    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-1293588.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-7AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 7AR 1A             | CUSIP: 61748HCD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       371859 | PA      | $365957.64      | 0.00%             | 2034-09-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-LTV1                                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2025 LTV1 PT 144A           | CUSIP: 46659FAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    196839896 | PA      | $198834376.32   | 0.09%             | 2055-10-25      | Variable      | 7.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9574 FN 05/47 FIXED 3.5                        | CUSIP: 3138WKT88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5572088 | PA      | $5208705.81     | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2007-1                                                   | CSAB MORTGAGE BACKED TRUST CSAB 2007 1 1A2                 | CUSIP: 12629EAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13341533 | PA      | $2764852.56     | 0.00%             | 2037-05-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                          | MANHATTAN WEST OMW 2020 1MW X 144A                         | CUSIP: 563136AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    807900000 | PA      | $1684431.11     | 0.00%             | 2039-09-10      | Variable      | 0.20%                 | No            |                  2 | On Loan: No      |
| ENT AUTO RECEIVABLES TRUST 2023-1A                                               | ENT AUTO RECEIVABLES TRUST ENT 2023 1A A4 144A             | CUSIP: 293601AG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4000000 | PA      | $4066797.60     | 0.00%             | 2029-11-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2023-C                                            | HYUNDAI AUTO RECEIVABLES TRUST HART 2023 C A3              | CUSIP: 44918CAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7607114 | PA      | $7664436.67     | 0.00%             | 2028-10-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 3.00000 03/21/17-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-19588776.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 B5 144A      | CUSIP: 36263MCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1377420 | PA      | $1105677.21     | 0.00%             | 2052-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A2 144A         | CUSIP: 21050QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98647000 | PA      | $100069391.09   | 0.04%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2 TRUST                                                             | GCAT GCAT 2024 NQM2 A1 144A                                | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13435175 | PA      | $13536797.80    | 0.01%             | 2059-06-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD6999 FR 11/54 FIXED 7                  | CUSIP: 3132DUX44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1466527 | PA      | $1542981.16     | 0.00%             | 2054-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA12                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA12 CB3          | CUSIP: 761118NA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       761226 | PA      | $702293.66      | 0.00%             | 2035-12-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-8                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 8 21A1                 | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8444464 | PA      | $7037967.24     | 0.00%             | 2035-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0026 FR 07/55 FIXED 5                  | CUSIP: 3142J6A45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    175465381 | PA      | $173268989.39   | 0.08%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC1756 FN 10/54 FIXED 5.5                        | CUSIP: 3140AN5S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49683 | PA      | $49960.16       | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3689 FN 11/55 FIXED 5                          | CUSIP: 3140BUC34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       856608 | PA      | $845894.44      | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MRTG PA-TH 2006-AR10                                           | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR10 A3A         | CUSIP: 93935YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2247372 | PA      | $1894246.17     | 0.00%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA 2025 TERM LOAN B11                        | CUSIP: BA000QF29<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     16372373 | PA      | $16310976.18    | 0.01%             | 2028-04-30      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 2A2          | CUSIP: 92925GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25767 | PA      | $23057.77       | 0.00%             | 2036-12-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-2A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 2A A3 144A           | CUSIP: 505920AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5802946 | PA      | $5825171.63     | 0.00%             | 2028-08-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83445 FG 09/47 FIXED 3.5                | CUSIP: 3132L8ZJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94556 | PA      | $87952.42       | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-BAR1                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2007 BAR1 A3           | CUSIP: 25151TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14099120 | PA      | $6564902.58     | 0.00%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE7676 FN 07/55 FIXED 5                          | CUSIP: 3140BLQ62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       993628 | PA      | $981190.60      | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                                           | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A              | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5459 | PA      | $5438.56        | 0.00%             | 2031-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BF9484 G2 04/48 FIXED 4                       | CUSIP: 3617GGRD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5611660 | PA      | $5291169.77     | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 4A1          | CUSIP: 02150QAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1217569 | PA      | $1205146.34     | 0.00%             | 2037-06-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 2A9           | CUSIP: 45660L3Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2572874 | PA      | $971954.99      | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ4091 FN 10/26 FIXED 3.5                        | CUSIP: 3138AVRM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11065 | PA      | $11020.81       | 0.00%             | 2026-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2023-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2023 1 A2 144A              | CUSIP: 89181JAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8504105 | PA      | $7333771.77     | 0.00%             | 2063-01-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR14 2A3          | CUSIP: 93363PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       327148 | PA      | $289151.09      | 0.00%             | 2036-11-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3039 FN 10/55 FIXED VAR                        | CUSIP: 3140W3LV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9931212 | PA      | $10100838.55    | 0.00%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BECKETT MORTGAGES 2026-1 DAC 26-1A                                               | BECKETT MORTGAGES BECKS 2026 1A A 144A                     | CUSIP: ACI38PPQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    349950000 | PA      | $404540345.82   | 0.18%             | 2071-07-20      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2025-3 LTD 2025-3A                                    | PALMER SQUARE LOAN FUNDING LTD PSTAT 2025 3A A1 144A       | CUSIP: 696918AA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     22000000 | PA      | $22009247.26    | 0.01%             | 2034-01-15      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| DRYDEN 95 CLO LTD                                                                | DRYDEN SENIOR LOAN FUND DRSLF 2021 95A AR 144A             | CUSIP: 262487AJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100200000 | PA      | $100222146.20   | 0.04%             | 2034-08-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2012-5                                                    | SLM STUDENT LOAN TRUST SLMA 2012 5 A3                      | CUSIP: 78447EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17700379 | PA      | $17627223.31    | 0.01%             | 2075-01-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260410                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $29334.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 849058 FN 01/36 FIXED 6                          | CUSIP: 31408EJB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2437 | PA      | $2557.67        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY5                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY5 2A1                   | CUSIP: 12544BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       445784 | PA      | $408797.04      | 0.00%             | 2037-09-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR3                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR3 1A1B                | CUSIP: 23332UBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4231 | PA      | $3976.99        | 0.00%             | 2044-07-19      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS10                                             | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS10 M3           | CUSIP: 76110WG59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       801674 | PA      | $802870.44      | 0.00%             | 2034-11-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TRUST 2005 3                                             | MASTR ALTERNATIVE LOANS TRUST MALT 2005 3 6A3              | CUSIP: 576434N42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       225283 | PA      | $127419.32      | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-2                        | GM FINANCIAL SECURITIZED TERM GMCAR 2023 2 A3              | CUSIP: 362583AD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6110931 | PA      | $6116508.57     | 0.00%             | 2028-02-16      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0293 FN 01/30 FIXED 4.5                        | CUSIP: 31417YKF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6310 | PA      | $6335.21        | 0.00%             | 2030-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $355296.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK7497 FN 04/42 FIXED 3.5                        | CUSIP: 3138ECKK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38014 | PA      | $35953.90       | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A5                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A5 1A1            | CUSIP: 12566WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6038946 | PA      | $5532074.53     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ5271 FR 10/55 FIXED 5                  | CUSIP: 31427C2D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13641289 | PA      | $13466981.09    | 0.01%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX9968 FR 04/55 FIXED 5                  | CUSIP: 31426HCE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1654394 | PA      | $1633175.63     | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3            | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6873596 | PA      | $6235115.73     | 0.00%             | 2047-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3938 FN 12/47 FIXED 3.5                        | CUSIP: 3140H5LU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       487667 | PA      | $455258.58      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC0409 FN 09/54 FIXED 5                          | CUSIP: 3140AMN31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       403799 | PA      | $398754.65      | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-2 CLASS AA PASS THROUGH TRUST                             | AMER AIRLN 15 2 AA PTT PASS THRU CE 03/29 3.6              | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2588442 | PA      | $2559063.19     | 0.00%             | 2029-03-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54511 FG 02/48 FIXED 3.5                | CUSIP: 3132XXAM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       119094 | PA      | $111023.27      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0136 FN 02/48 FIXED 4                          | CUSIP: 3140HDEJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       301820 | PA      | $289769.28      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-56299.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC4721 FN 10/54 FIXED 5.5                        | CUSIP: 3140ASG77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2488665 | PA      | $2502833.32     | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-19904.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2001-1                                                | CONSECO FINANCE SECURITIZATION CNF 2001 1 A5               | CUSIP: 20846QGC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5111325 | PA      | $5181646.46     | 0.00%             | 2031-07-01      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54557 FG 03/48 FIXED 3.5                | CUSIP: 3132XXB32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120023 | PA      | $111988.93      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3            | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6079810 | PA      | $3262858.95     | 0.00%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2005-2                                           | MASTR SEASONED SECURITIZATION MSSTR 2005 2 4A1             | CUSIP: 55265WDM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2394 | PA      | $2316.31        | 0.00%             | 2032-10-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GOAL CAPITAL FUNDING TRUST-2015-1                                                | GOAL CAPITAL FUNDING TRUST GOAL 2015 1 A 144A              | CUSIP: 38021FAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4754915 | PA      | $4697077.79     | 0.00%             | 2041-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2005-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 FRE1 M2          | CUSIP: 46626LCD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6100000 | PA      | $5484583.20     | 0.00%             | 2035-10-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH0943 FN 12/40 FIXED 4                          | CUSIP: 3138A2BM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6531 | PA      | $6314.47        | 0.00%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6020 FN 10/45 FIXED 4                          | CUSIP: 3138WFVN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       785731 | PA      | $756357.00      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8554 FR 03/53 FIXED 5.5                | CUSIP: 3133BWQF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2977662 | PA      | $2994688.31     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-2                                                     | LEHMAN MORTGAGE TRUST LMT 2005 2 5A4                       | CUSIP: 52520MCL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3084146 | PA      | $1827504.99     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 3A6           | CUSIP: 74923HAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4865869 | PA      | $4200661.56     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260417                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $1786787.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.7* 07/28/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $17018277.22    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2425 FN 09/48 FIXED 4                          | CUSIP: 3140Q9VT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       278023 | PA      | $266083.88      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $2819121.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-4A LLC                                                                 | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2025 4A A2 144A         | CUSIP: 76089MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29600000 | PA      | $29698496.96    | 0.01%             | 2034-04-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 09/34 6.25                       | CUSIP: ACI2TMX47<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     76400000 | PA      | $89729581.91    | 0.04%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6862 FN 08/53 FIXED 5                          | CUSIP: 3140QSTU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15348368 | PA      | $15217407.49    | 0.01%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WATR 2026-1                                                                      | WATR 2026 1 B 144A                                         | CUSIP: 990ADAAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23455000 | PA      | $23485474.14    | 0.01%             | 2051-04-19      | Fixed         | 5.56%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-4784884.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY4216 FR 05/55 FIXED 5                  | CUSIP: 31426NVJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42484 | PA      | $42135.35       | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A16                                  | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A16 A3            | CUSIP: 45660L2V0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11214718 | PA      | $4615484.55     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                                      | GSR MORTGAGE LOAN TRUST GSR 2003 2F 1A1                    | CUSIP: 36228FMM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33518 | PA      | $33284.46       | 0.00%             | 2032-03-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL5                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL5 B3 144A        | CUSIP: 12655JAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143653035 | PA      | $75727860.99    | 0.03%             | 2076-11-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-2                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2005 2 M4                   | CUSIP: 66987WCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9694185 | PA      | $9491058.74     | 0.00%             | 2035-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC7 A3           | CUSIP: 07384YPK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1868311 | PA      | $1438812.46     | 0.00%             | 2034-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8961 FN 08/47 FIXED 4                          | CUSIP: 3140GX5X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179262 | PA      | $172040.44      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                                     | ACE SECURITIES CORP. ACE 2007 WM1 A2A                      | CUSIP: 004424AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7276732 | PA      | $2975750.33     | 0.00%             | 2036-11-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                                           | QUERCUS RE DAC BONDS 144A 01/31 VAR                        | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |      3800000 | PA      | $4540688.24     | 0.00%             | 2031-01-06      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                            | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A3            | CUSIP: 57645MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36147875 | PA      | $11521882.16    | 0.01%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                                | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A1F 144A        | CUSIP: 57643QBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14482175 | PA      | $6575420.04     | 0.00%             | 2035-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL7                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL7 B3 144A        | CUSIP: 12597AAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118734054 | PA      | $64509517.61    | 0.03%             | 2059-01-27      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08773 FG 08/47 FIXED 3                  | CUSIP: 3128MJ2F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       756751 | PA      | $681917.58      | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR11                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR11 1A           | CUSIP: 93363TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3180133 | PA      | $2702523.51     | 0.00%             | 2046-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 D A1B 144A         | CUSIP: 78454XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    137268748 | PA      | $139894040.11   | 0.06%             | 2058-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-3313238.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-OPT1                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 OPT1 M2           | CUSIP: 144531FP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8262087 | PA      | $7808313.96     | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5596 FN 08/45 FIXED 3.5                        | CUSIP: 3138WFGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69378 | PA      | $65111.29       | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A3 144A        | CUSIP: 39571VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13800000 | PA      | $13965266.04    | 0.01%             | 2060-06-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 25A1                 | CUSIP: 07386HTE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       498677 | PA      | $481510.47      | 0.00%             | 2035-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-26435.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC4                                          | STRUCTURED ASSET SECURITIES CO SASC 2007 BC4 A2            | CUSIP: 86365DAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5750000 | PA      | $5394632.18     | 0.00%             | 2037-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                          | BCAP LLC TRUST BCAP 2011 R11 10A8 144A                     | CUSIP: 05533FDC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       106438 | PA      | $103313.59      | 0.00%             | 2035-11-26      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5514 FN 05/46 FIXED 4                          | CUSIP: 3140F1DU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28015 | PA      | $26913.45       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 11 A2                     | CUSIP: 12544LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3697760 | PA      | $1078156.21     | 0.00%             | 2037-08-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                                            | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A            | CUSIP: 36829JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2314 | PA      | $974.42         | 0.00%             | 2036-08-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INV CORP 2004-5                                              | FIELDSTONE MORTGAGE INVESTMENT FMIC 2004 5 M4              | CUSIP: 31659TCS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4403375 | PA      | $2888308.58     | 0.00%             | 2035-02-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ2                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ2 M4                | CUSIP: 70069FHX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21907247 | PA      | $21004473.14    | 0.01%             | 2035-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-76504.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW6703 FN 07/44 FIXED 4                          | CUSIP: 3138XWNV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2469 | PA      | $2379.70        | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV3616 FN 12/28 FIXED 3                          | CUSIP: 3138XFAS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65566 | PA      | $64719.94       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-18                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 18 A2                     | CUSIP: 126694EJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1686594 | PA      | $783270.82      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A1            | CUSIP: 25151RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2122993 | PA      | $2071396.65     | 0.00%             | 2047-01-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PARIBAS REPO                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    412962240 | PA      | $412962240.00   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                        | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5       | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    969400000 | PA      | $975701100.00   | 0.43%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ1                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ1 A4            | CUSIP: 83612JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17690923 | PA      | $17152459.26    | 0.01%             | 2036-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR7 5A1           | CUSIP: 86359LQS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19608 | PA      | $18476.29       | 0.00%             | 2046-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7772 FN 08/47 FIXED 3.5                        | CUSIP: 3140GWT60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65978 | PA      | $61538.44       | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                                    | GSAA HOME EQUITY TRUST GSAA 2007 5 2A2A                    | CUSIP: 3622ECAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3181929 | PA      | $1380558.77     | 0.00%             | 2047-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 1A3          | CUSIP: 02150JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1170251 | PA      | $532839.64      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A4           | CUSIP: 12465MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4973975 | PA      | $2304061.50     | 0.00%             | 2036-11-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC3411 FN 10/54 FIXED 5                          | CUSIP: 3140AQYH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74917 | PA      | $73992.52       | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE4                                                     | ACE SECURITIES CORP. ACE 2007 HE4 A1                       | CUSIP: 00442LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19474616 | PA      | $2887618.15     | 0.00%             | 2037-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/34 1.875                                | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4158364446 | PA      | $4180387726.28  | 1.86%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG8413 FR 08/53 FIXED 6                  | CUSIP: 3133C9K28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3048622 | PA      | $3126199.16     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 1A1          | CUSIP: 45661KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2949547 | PA      | $2203586.18     | 0.00%             | 2036-06-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2088 FN 09/26 FIXED VAR                        | CUSIP: 3138EJKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           56 | PA      | $55.51          | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4775 FN 10/45 FIXED 3.5                        | CUSIP: 3138YWJV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4453 | PA      | $4172.27        | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-12                                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 12 3A1             | CUSIP: 61755GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       272268 | PA      | $85050.35       | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08757 FG 04/47 FIXED 3.5                | CUSIP: 3128MJZX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2142019 | PA      | $2005265.08     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCH1                                              | PARK PLACE SECURITIES INC PPSI 2005 WCH1 M5                | CUSIP: 70069FFM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5311321 | PA      | $5157116.41     | 0.00%             | 2036-01-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                              | SAXON ASSET SECURITIES TRUST SAST 2007 3 2A4               | CUSIP: 80557BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4148000 | PA      | $3634326.61     | 0.00%             | 2047-09-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A1 144A         | CUSIP: 62951MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       321733 | PA      | $294673.08      | 0.00%             | 2034-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR1 2A1A                | CUSIP: 23332UCM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       386231 | PA      | $385021.87      | 0.00%             | 2045-02-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-14N                                                         | LEHMAN XS TRUST LXS 2006 14N 1A1B                          | CUSIP: 52522CAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        66191 | PA      | $67470.52       | 0.00%             | 2046-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H21                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H21 AF             | CUSIP: 38376RYX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1966137 | PA      | $1973527.44     | 0.00%             | 2066-09-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BQ0015 FN 07/50 FIXED 4                          | CUSIP: 3140KKAR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       234898 | PA      | $224542.42      | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX0081 FN 10/52 FIXED 4                          | CUSIP: 3140N4CT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7058971 | PA      | $6690360.95     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995750 FN 05/29 FIXED VAR                        | CUSIP: 31416CEX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16726 | PA      | $16702.50       | 0.00%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD5857 FR 01/53 FIXED 5                  | CUSIP: 3132DTQJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       138315 | PA      | $137123.18      | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-R2                                                     | PAGAYA AI DEBT SELECTION TRUST PAID 2025 R2 A 144A         | CUSIP: 69544VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36089821 | PA      | $36139870.37    | 0.02%             | 2032-10-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F042640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    831612461 | PA      | $802705645.12   | 0.36%             | 2056-04-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.13 SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $244918.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARI FLEET LEASE TRUST 2025-A                                                     | ARI FLEET LEASE TRUST ARIFL 2025 A A2 144A                 | CUSIP: 04033CAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22019045 | PA      | $22052540.36    | 0.01%             | 2034-01-17      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1J0589 FH 08/37 FLOATING VAR             | CUSIP: 3128LUUN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           27 | PA      | $27.96          | 0.00%             | 2037-08-01      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ1                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ1 M6                | CUSIP: 70069FGF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17052000 | PA      | $16127955.53    | 0.01%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A3           | CUSIP: 93364EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16426307 | PA      | $14884297.47    | 0.01%             | 2037-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-3                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 3 M4              | CUSIP: 86358ERY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17440000 | PA      | $16663579.92    | 0.01%             | 2035-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55304 FG 04/48 FIXED 3.5                | CUSIP: 3132XX3N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4688152 | PA      | $4368513.82     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-8                                               | HOME EQUITY ASSET TRUST HEAT 2005 8 M3                     | CUSIP: 437084QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14725167 | PA      | $17277647.49    | 0.01%             | 2036-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9580 FN 04/47 FIXED 3.5                        | CUSIP: 3138WKUE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       651767 | PA      | $612372.71      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8497 FR 11/55 FIXED 5                  | CUSIP: 31427JNP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7951233 | PA      | $7849256.38     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3392 FN 01/48 FIXED VAR                        | CUSIP: 3140J7XW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       190193 | PA      | $182843.78      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR18                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR18 2A1B         | CUSIP: 45660LWE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6598710 | PA      | $3256498.32     | 0.00%             | 2036-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG9232 G2 05/48 FIXED 4                       | CUSIP: 3617GUHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       407127 | PA      | $383572.09      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $33604950.84    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0853 FN 12/47 FIXED 3.5                        | CUSIP: 3140Q75P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15042 | PA      | $14103.82       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHESTER A CESTR 1 AA B 144A                                | CUSIP: ACI1BFKH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    125536000 | PA      | $166597270.93   | 0.07%             | 2046-03-17      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 2B1 144A       | CUSIP: 12597GAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57175750 | PA      | $57564064.82    | 0.03%             | 2059-09-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A5             | CUSIP: 86359BNX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5852 | PA      | $5833.36        | 0.00%             | 2034-04-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $353.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-OPT1                                            | MASTR ASSET BACKED SECURITIES MABS 2005 OPT1 M4            | CUSIP: 57643LHS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7177679 | PA      | $6791990.56     | 0.00%             | 2035-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $885034.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A21                | CUSIP: 466247B28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       600647 | PA      | $253683.79      | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4               | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    137300000 | PA      | $37486344.44    | 0.02%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $6031623.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2182 FN 11/55 FIXED 5                          | CUSIP: 3140BSM87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     68749577 | PA      | $67871079.07    | 0.03%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                                   | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                    | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2919699 | PA      | $2663443.69     | 0.00%             | 2037-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH6373 G2 06/48 FIXED 4                       | CUSIP: 3617H4CJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1405337 | PA      | $1326807.86     | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                            | MERCURY AGGREGATOR L P TRANCHE 2 TERM LOAN                 | CUSIP: BA000FDW9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      9516655 | PA      | $0.10           | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MTGE 20                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 5 2A             | CUSIP: 07384MS78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          268 | PA      | $253.71         | 0.00%             | 2034-07-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII1 144A     | CUSIP: 760985Y88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1888705 | PA      | $1884992.05     | 0.00%             | 2034-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4319 FN 01/49 FIXED 4                          | CUSIP: 3140JLYR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       291647 | PA      | $279287.52      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3508 FN 11/55 FIXED 5                          | CUSIP: 3140BT3S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3921832 | PA      | $3871519.26     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BB7917 G2 07/47 FIXED 3.5                     | CUSIP: 3617AYYN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       584898 | PA      | $544144.42      | 0.00%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3840 FN 11/55 FIXED 5                          | CUSIP: 3140BGHS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3389098 | PA      | $3345530.07     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WATR 2025-2                                                                      | WATR ISSUER TRUST WATR 2025 2 C 144A                       | CUSIP: 94260AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9040000 | PA      | $8943973.23     | 0.00%             | 2050-09-16      | Fixed         | 5.24%                 | No            |                  3 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A1A           | CUSIP: 251510MD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1379779 | PA      | $1262686.18     | 0.00%             | 2036-02-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2003-H                                               | MLCC MORTGAGE INVESTORS INC MLCC 2003 H A2                 | CUSIP: 5899296N3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49359 | PA      | $42810.66       | 0.00%             | 2029-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-NQM1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 NQM1 PT 144A      | CUSIP: 36272FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272459818 | PA      | $275549076.60   | 0.12%             | 2064-03-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                           | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A3 144A        | CUSIP: 88164AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8300000 | PA      | $8275376.39     | 0.00%             | 2050-06-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVC SEC 2005-CB8                                            | CREDIT BASED ASSET SERVICING A CBASS 2005 CB8 AF4          | CUSIP: 12489WQF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4236577 | PA      | $4192809.89     | 0.00%             | 2035-12-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2D               | CUSIP: 617538AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4016074 | PA      | $2018734.96     | 0.00%             | 2036-12-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0967 FN 06/44 FIXED 4.5                        | CUSIP: 3138XCCD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       159689 | PA      | $157630.42      | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1                  | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1980803 | PA      | $834511.31      | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A              | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     13146000 | PA      | $17127706.02    | 0.01%             | 2049-12-21      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-F                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 F A1A 144A         | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31667096 | PA      | $31900999.12    | 0.01%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-9492413.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 10CB 1A5         | CUSIP: 12667GBA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8335035 | PA      | $6547707.04     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5109 FN 08/53 FIXED 6.5                        | CUSIP: 31418EVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2221947 | PA      | $2298693.64     | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q62642 FG 03/49 FIXED 3.5                | CUSIP: 3132VN5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       264078 | PA      | $245347.58      | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7601 FN 07/46 FIXED 4                          | CUSIP: 3138WHNT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46122 | PA      | $44312.10       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6216 FN 03/48 FIXED 4                          | CUSIP: 3140H74A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20196 | PA      | $19351.37       | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.20000 05/06/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4920780.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB2                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB2 M1             | CUSIP: 126673S94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5338223 | PA      | $5285812.20     | 0.00%             | 2035-09-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-A                                                        | CENTEX HOME EQUITY CXHE 2002 A AV                          | CUSIP: 152314EQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13872 | PA      | $13831.72       | 0.00%             | 2032-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.67000 01/08/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $650233.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0998 FN 12/47 FIXED 3.5                        | CUSIP: 3140H2DC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       255171 | PA      | $236919.94      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRIME PROPERTY FUND LLC                                                          | PRIME PROPERTY 7YR SR UNSEC                                | CUSIP: 954VLVII9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34500000 | PA      | $34310890.67    | 0.02%             | 2031-09-30      | Fixed         | 5.44%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB9966 FN 02/55 FIXED 5                          | CUSIP: 3140QWCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23413062 | PA      | $23336051.34    | 0.01%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.81000 01/02/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-187531.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2026-1A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2026 1A A2              | CUSIP: 30168HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31000000 | PA      | $30989977.70    | 0.01%             | 2028-09-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTGE SEC BCM 2001 A                                           | BOMBARDIER CAPITAL MORTGAGE SE BCM 2001 A M1               | CUSIP: 09774XBV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1383367 | PA      | $1416228.99     | 0.00%             | 2030-12-15      | Variable      | 7.93%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR               | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    113562988 | PA      | $85853618.93    | 0.04%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-I                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 I 2A1            | CUSIP: 05949CHQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1743980 | PA      | $1655913.32     | 0.00%             | 2035-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2772 FN 10/46 FIXED 3.5                        | CUSIP: 31418CCJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33956 | PA      | $31770.00       | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA6 NB1           | CUSIP: 76110HH28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       116136 | PA      | $46826.51       | 0.00%             | 2034-12-26      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO7976 FN 06/27 FIXED 3                          | CUSIP: 3138LY2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20138 | PA      | $19985.36       | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7004 FR 11/54 FIXED 7                  | CUSIP: 3132DUX93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       346619 | PA      | $364446.92      | 0.00%             | 2054-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1605258.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-11                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 11 1A1            | CUSIP: 863579RP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       786343 | PA      | $654248.83      | 0.00%             | 2035-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR5                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR5 1A1           | CUSIP: 45669EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14299413 | PA      | $9492552.52     | 0.00%             | 2037-05-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC2                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC2 A2            | CUSIP: 86358EAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        57646 | PA      | $65928.25       | 0.00%             | 2033-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-3.83          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8054 FR 07/35 FIXED 3                  | CUSIP: 3132D55P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       138804 | PA      | $133368.64      | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A2           | CUSIP: 12668AHF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2403950 | PA      | $2239039.15     | 0.00%             | 2035-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                                         | NATIONAL FOOTBAL LEAGUE 4.5YR                              | CUSIP: 902EZU906<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38400000 | PA      | $38858598.53    | 0.02%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A3 144A       | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7532092 | PA      | $7567679.60     | 0.00%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| AFC HOME EQUITY LOAN TRUST 1997-3                                                | AFC HOME EQUITY LOAN TRUST AFC 1997 3 2A                   | CUSIP: 00105HDC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4936 | PA      | $4937.17        | 0.00%             | 2027-09-27      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A X 144A                       | CUSIP: ACI2V5FD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       932669 | PA      | $1231066.36     | 0.00%             | 2056-08-28      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2022 5A A 144A        | CUSIP: 05377RFV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7288333 | PA      | $7294985.46     | 0.00%             | 2027-04-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA D 144A                       | CUSIP: ACI2N0NG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     36945000 | PA      | $48717878.55    | 0.02%             | 2054-05-28      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9884 FN 07/47 FIXED 4                          | CUSIP: 3138WK6W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7528 | PA      | $7214.32        | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKIN MORTGAGE LOAN TRUST 2005-FFH2                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH2 M3 144A       | CUSIP: 32027NTW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2351436 | PA      | $2293831.67     | 0.00%             | 2035-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.4 10/15/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-13326555.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1A 144A         | CUSIP: 83207QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    128236375 | PA      | $130225398.55   | 0.06%             | 2053-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                                         | LEHMAN XS TRUST LXS 2006 16N A321                          | CUSIP: 52522DAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7610833 | PA      | $7226977.95     | 0.00%             | 2046-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A6            | CUSIP: 32028GAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3900000 | PA      | $3423781.53     | 0.00%             | 2036-11-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-562026.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8067 FR 02/53 FIXED 6                  | CUSIP: 3133BV6C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       865622 | PA      | $887590.24      | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |            1 | NC      | $1908476.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2368 FN 03/47 FIXED 4.5                        | CUSIP: 3140FMT22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       158852 | PA      | $154480.32      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE7710 FN 08/55 FIXED 5                          | CUSIP: 3140BLR87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1380722 | PA      | $1363079.01     | 0.00%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6960 FN 03/46 FIXED 4                          | CUSIP: 3140F2WW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2019839 | PA      | $1940362.28     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A2B         | CUSIP: 073888BE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1804428 | PA      | $1804779.58     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD1489 FN 09/46 FIXED 4                          | CUSIP: 3140F8UP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29828 | PA      | $28532.78       | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLT 2021-RPL1 MORTGAGE LOAN TRUST                                               | COLT FUNDING LLC COLT 2021 RPL1 A1 144A                    | CUSIP: 12598PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19618635 | PA      | $18104818.12    | 0.01%             | 2061-09-25      | Variable      | 1.67%                 | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                                              | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR               | CUSIP: 539694AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      7400000 | PA      | $7400000.00     | 0.00%             | 2033-04-11      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2006-11                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 11 1A1            | CUSIP: 86362HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1254205 | PA      | $1265653.56     | 0.00%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH6440 FR 12/53 FIXED 6.5                | CUSIP: 3133CKEM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2311230 | PA      | $2394587.87     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2015-8R                                            | NOMURA RESECURITIZATION TRUST NMRR 2015 8R 1A2 144A        | CUSIP: 65541AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5848095 | PA      | $3270503.71     | 0.00%             | 2036-10-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL0585 FR 03/55 FIXED 5.5                | CUSIP: 31427MUK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48603 | PA      | $48874.76       | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.37500 10/15/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3792065.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 4A1                   | CUSIP: 36242DH97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46071 | PA      | $44398.54       | 0.00%             | 2035-04-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P1 A4 144A       | CUSIP: 14688NAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23200000 | PA      | $23508044.96    | 0.01%             | 2030-03-11      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4980 FN 04/53 FIXED 6                          | CUSIP: 31418ERA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       771950 | PA      | $790734.31      | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $80179.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ1927 FR 07/54 FIXED 5                  | CUSIP: 3142GSD96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3788473 | PA      | $3741735.20     | 0.00%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6772 FN 07/53 FIXED 6.5                        | CUSIP: 3140QSQ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       851004 | PA      | $888659.96      | 0.00%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR12                                                         | BCAP LLC TRUST BCAP 2009 RR12 2A2 144A                     | CUSIP: 05532GAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       350187 | PA      | $337443.70      | 0.00%             | 2035-03-26      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA0679 FN 02/55 FIXED VAR                        | CUSIP: 3140W0XH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103323 | PA      | $102037.71      | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3521 G2 03/46 FIXED 3.5                     | CUSIP: 36179R4E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20129 | PA      | $18875.07       | 0.00%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A4             | CUSIP: 61752UAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16541377 | PA      | $8463996.23     | 0.00%             | 2037-04-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1897 FN 05/53 FIXED 5.5                        | CUSIP: 3140NJDB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1296161 | PA      | $1307544.21     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A5                     | CUSIP: 12544RAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       197664 | PA      | $83215.01       | 0.00%             | 2037-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6521 FN 12/55 FIXED 5                          | CUSIP: 3140BXG75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3333864 | PA      | $3291863.32     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7810 FN 08/46 FIXED 4                          | CUSIP: 3138WHVC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       878612 | PA      | $843952.34      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                                      | REPUBLIC OF PANAMA EUR TERM LOAN                           | CUSIP: BA000GRH5<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | CORP              | IE        |    144800000 | PA      | $167546109.35   | 0.07%             | 2027-03-05      | Floating      | 3.89%                 | No            |                  3 | On Loan: No      |
| GSAMP TRUST 2005-SD1                                                             | GSAMP TRUST GSAMP 2005 SD1 M2 144A                         | CUSIP: 36242DWE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4477647 | PA      | $4344950.83     | 0.00%             | 2034-12-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY ALT MTGE LN 2006-ALT1                                                | NEW CENTURY ALTERNATIVE MORTGA NCAMT 2006 ALT1 AF6         | CUSIP: 643528AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1009718 | PA      | $187801.10      | 0.00%             | 2036-07-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB5508 FN 06/54 FIXED 5.5                        | CUSIP: 3140AFDN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       224841 | PA      | $226097.03      | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV6027 FN 08/55 FIXED 5                          | CUSIP: 3140MKVV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1181362 | PA      | $1166267.06     | 0.00%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8805 FR 07/26 FIXED 6                  | CUSIP: 3132A9YA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2634 | PA      | $2685.45        | 0.00%             | 2026-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928220 FN 04/37 FIXED 6.5                        | CUSIP: 31412LG53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7915 | PA      | $8359.06        | 0.00%             | 2037-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $18863333.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8790 FN 02/48 FIXED 4                          | CUSIP: 3140HAXU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121228 | PA      | $116157.99      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEXICAN UDIBONOS BONDS 11/28 4                             | CUSIP: ACI0TJTX9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    103647342 | PA      | $5739262.66     | 0.00%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO2651 FN 06/49 FIXED 4                          | CUSIP: 3140JW5M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1828775 | PA      | $1774369.67     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.71500 08/07/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $792843.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF4850 FN 11/55 FIXED 5                          | CUSIP: 3140BVL81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3803927 | PA      | $3754482.20     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR             | CUSIP: 903724CC4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      6702287 | PA      | $3458380.09     | 0.00%             | 2036-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 SA 144A       | CUSIP: 17329HAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       291851 | PA      | $290353.90      | 0.00%             | 2060-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF0953 FN 10/55 FIXED 5                          | CUSIP: 3140BRBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       985832 | PA      | $980848.07      | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CZK BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $-2298.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $161998.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3            | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7123510 | PA      | $1874452.74     | 0.00%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2522 G2 01/45 FIXED 4                       | CUSIP: 36179QYT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4763987 | PA      | $4576875.17     | 0.00%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 2A1            | CUSIP: 41161PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11821395 | PA      | $6284819.97     | 0.00%             | 2045-06-19      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                              | CAPE LOOKOUT RE LTD UNSECURED 144A 03/33 VAR               | CUSIP: 13947LAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     12050000 | PA      | $12050000.00    | 0.01%             | 2033-03-21      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                             | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 M2             | CUSIP: 86358EPD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1948058 | PA      | $2140480.32     | 0.00%             | 2034-11-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2004-BC4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 BC4 M1             | CUSIP: 126673KY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18386 | PA      | $26861.39       | 0.00%             | 2034-11-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B B 144A           | CUSIP: 83206NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     68640019 | PA      | $66926496.50    | 0.03%             | 2055-02-16      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7037 FN 04/46 FIXED 4.5                        | CUSIP: 3138WGZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87935 | PA      | $86801.64       | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.0000 03/19/12-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $1316859.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5991 FN 01/53 FIXED 5.5                        | CUSIP: 3140QRUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5747186 | PA      | $5796585.74     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7609 FN 12/55 FIXED 5                          | CUSIP: 3140BYN34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12296727 | PA      | $12138334.66    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1481 FN 03/27 FIXED VAR                        | CUSIP: 3138EHUF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26401 | PA      | $26222.75       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5164 FN 03/47 FIXED 4                          | CUSIP: 3140FQW29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2836261 | PA      | $2713951.83     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE P/T CERTIFICATES 2007-OA1                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA1 A1A           | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11149287 | PA      | $10472194.26    | 0.00%             | 2047-02-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ2351 FR 09/55 FIXED 5                  | CUSIP: 31426YTH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       996957 | PA      | $989491.93      | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMM 2022-HC MORTGAGE TRUST                                                      | COMM MORTGAGE TRUST COMM 2022 HC A 144A                    | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2200000 | PA      | $2136619.10     | 0.00%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER CLO LTD 2017-3A                                            | WIND RIVER CLO LTD WINDR 2017 3A AR2 144A                  | CUSIP: 97316LAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    134200000 | PA      | $134377684.83   | 0.06%             | 2035-04-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1682314.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED REGS 07/33 1.985                    | CUSIP: ACI1Z3QS9<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     26300000 | PA      | $26114933.86    | 0.01%             | 2033-07-13      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                                | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A        | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     38000000 | PA      | $38018388.96    | 0.02%             | 2039-03-19      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 PT 144A        | CUSIP: 12653HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37104376 | PA      | $29267427.09    | 0.01%             | 2057-07-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-85CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 85CB 1A1         | CUSIP: 12668BEE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18337018 | PA      | $6612917.41     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC3                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC3 2A3          | CUSIP: 021464AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3079298 | PA      | $2778958.59     | 0.00%             | 2036-05-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8383 FN 03/47 FIXED 4                          | CUSIP: 3140FUJ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9955 | PA      | $9539.48        | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4851                                                          | FREDDIE MAC FHR 4851 PO                                    | CUSIP: 3137FKAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25345043 | PA      | $16230311.63    | 0.01%             | 2057-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3190 FN 11/27 FIXED 3                          | CUSIP: 31418CRL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14890 | PA      | $14759.46       | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $786470.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-NC4                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 NC4 M1                | CUSIP: 61744CCH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1760440 | PA      | $1819582.24     | 0.00%             | 2034-04-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC8                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC8 2A            | CUSIP: 86358EDV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2250252 | PA      | $2199919.40     | 0.00%             | 2033-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                    | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     72900000 | PA      | $1640510.41     | 0.00%             | 2026-05-20      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2838 FR 10/55 FIXED 5.5                | CUSIP: 31427QEL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36089223 | PA      | $36905624.66    | 0.02%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                          | COREWEAVE CMPTE ACQU CO II LLC 2024 DELAYED DRAW TERM LOAN | CUSIP: BA0004JK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4250429 | PA      | $4380235.26     | 0.00%             | 2029-05-30      | Floating      | 9.70%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6592 FN 12/46 FIXED 4                          | CUSIP: 3140FEKE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3379 | PA      | $3228.47        | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3A          | CUSIP: 46628SAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4694971 | PA      | $1185382.18     | 0.00%             | 2036-07-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| DFC HEL TRUST 2001-2                                                             | DFC HEL TRUST DFCHT 2001 2 M1                              | CUSIP: 233205AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1109614 | PA      | $1063946.15     | 0.00%             | 2031-12-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-7                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2023 7 A1 144A               | CUSIP: 03466DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27195129 | PA      | $27061995.02    | 0.01%             | 2067-11-25      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8020 FR 09/27 FIXED 3                  | CUSIP: 3132A84D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10906 | PA      | $10813.17       | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS3208 FR 04/41 FIXED 4                  | CUSIP: 3132A3R51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3722 | PA      | $3596.94        | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX5                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX5 A4           | CUSIP: 74924QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8559081 | PA      | $7794963.65     | 0.00%             | 2036-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA8274 FR 12/52 FIXED 6.5                | CUSIP: 3133KQFP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2969139 | PA      | $3074165.63     | 0.00%             | 2052-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-55724.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2006-2                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 2 M3              | CUSIP: 83611MNK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14096919 | PA      | $13869628.95    | 0.01%             | 2036-03-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-79                                                               | FANNIE MAE FNR 1997 79 PL                                  | CUSIP: 31359RAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          421 | PA      | $421.40         | 0.00%             | 2027-12-18      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR3                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR3 1A1A          | CUSIP: 17306SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1374555 | PA      | $1306848.05     | 0.00%             | 2036-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6070 FN 01/48 FIXED 3.5                        | CUSIP: 3140H7W86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       285466 | PA      | $265434.00      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A3           | CUSIP: 92922FE95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19327 | PA      | $19569.21       | 0.00%             | 2045-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2C               | CUSIP: 617505AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2907793 | PA      | $1387697.81     | 0.00%             | 2036-11-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-1                                                 | IMPAC SECURED ASSETS CORP. IMSA 2006 1 1A2B                | CUSIP: 45254TTL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4076 | PA      | $3542.30        | 0.00%             | 2036-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| KENTMERE PLC 3A                                                                  | KENTMERE KMR 3A R 144A                                     | CUSIP: ACI2RTSJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3309000 | PA      | $3765413.51     | 0.00%             | 2051-01-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2022-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2022 4 A1 144A              | CUSIP: 89180YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85000985 | PA      | $80998297.20    | 0.04%             | 2062-09-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 2 3A1            | CUSIP: 07401EAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1313037 | PA      | $1179522.47     | 0.00%             | 2046-12-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI5343 FR 05/54 FIXED 5                  | CUSIP: 3133WB5C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       494284 | PA      | $488160.79      | 0.00%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-9                                                    | GSAA HOME EQUITY TRUST GSAA 2005 9 M3                      | CUSIP: 362341GP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4304000 | PA      | $4296340.17     | 0.00%             | 2035-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC4                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC4 M5           | CUSIP: 76112BC81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6821861 | PA      | $6760318.07     | 0.00%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2B             | CUSIP: 14319FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       165968 | PA      | $165992.88      | 0.00%             | 2027-09-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7129 FN 02/47 FIXED 4                          | CUSIP: 3140FS4P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2300167 | PA      | $2199084.48     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $93793.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RAMP SERIES 2005-RS7                                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS7 M3            | CUSIP: 76112BWY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6267671 | PA      | $6207185.22     | 0.00%             | 2035-07-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6072 FN 11/44 FIXED VAR                        | CUSIP: 3138ENXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29298 | PA      | $28920.65       | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC1963 FN 09/54 FIXED 5.5                        | CUSIP: 3140APFD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       254481 | PA      | $255902.74      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/32 5.9              | CUSIP: 694308KG1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     20000000 | PA      | $20730209.60    | 0.01%             | 2032-06-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $1145660.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXV LTD 2021-25A                                                    | SYMPHONY CLO LTD SYMP 2021 25A AR 144A                     | CUSIP: 87167WDC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    117400000 | PA      | $117465389.45   | 0.05%             | 2034-04-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $106413.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2908 FN 08/27 FIXED VAR                        | CUSIP: 3138EKGS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25384 | PA      | $25227.93       | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| POST CLO 2022-1 LTD                                                              | POST CLO LTD POST 2022 1A AR 144A                          | CUSIP: 73742YAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     94400000 | PA      | $94420873.73    | 0.04%             | 2035-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| INDIGO CREDIT MANAGEMENT II DAC 2A                                               | INDIGO CREDIT MANAGEMENT INDI 2A A 144A                    | CUSIP: ACI2RZY31<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     93500000 | PA      | $108056098.21   | 0.05%             | 2038-07-15      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD0421 FN 06/46 FIXED 4                          | CUSIP: 3140F7PF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20948 | PA      | $20099.44       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL6                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL6 B3 144A        | CUSIP: 12654UAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    410250868 | PA      | $173669448.76   | 0.08%             | 2058-07-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5944 FN 01/56 FIXED 5                          | CUSIP: 31418FTA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1688588994 | PA      | $1666535278.90  | 0.74%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-108859.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2020-2A                                         | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2020 2A A 144A        | CUSIP: 682696AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10645381 | PA      | $10502351.21    | 0.00%             | 2035-09-14      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $21429191.97    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-2          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 2 1A10           | CUSIP: 93934FMA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       703967 | PA      | $644568.01      | 0.00%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8686 FR 02/53 FIXED 5.5                | CUSIP: 3133BWUK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       701163 | PA      | $712742.28      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M5             | CUSIP: 64352VKE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3758370 | PA      | $3786335.17     | 0.00%             | 2035-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A2 144A      | CUSIP: 17312GAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22491243 | PA      | $15953157.86    | 0.01%             | 2037-05-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE8458 FN 08/55 FIXED 5                          | CUSIP: 3140BMMG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7085345 | PA      | $6994990.54     | 0.00%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A C 144A          | CUSIP: 83407UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7392000 | PA      | $7514237.81     | 0.00%             | 2034-03-27      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q41914 FG 07/46 FIXED 3.5                | CUSIP: 3132WFDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1377505 | PA      | $1287641.85     | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-9                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 9 1AF6             | CUSIP: 12666RAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3829 | PA      | $4446.71        | 0.00%             | 2046-10-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ5275 FR 10/54 FIXED 5                  | CUSIP: 3133CV2G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1483176 | PA      | $1472182.70     | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR1                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR1 5A           | CUSIP: 76112BKQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1735 | PA      | $1603.88        | 0.00%             | 2035-03-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8090 FN 09/46 FIXED 3.5                        | CUSIP: 3140FF7C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1220223 | PA      | $1141913.68     | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-4                                                              | IMPAC CMB TRUST IMM 2005 4 1M3                             | CUSIP: 45254NPJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22209 | PA      | $21122.20       | 0.00%             | 2035-05-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC1 A1 144A           | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29034654 | PA      | $28272999.19    | 0.01%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 X 144A        | CUSIP: 17329NAQ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1651211879 | PA      | $53145905.52    | 0.02%             | 2065-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2026-NPL1                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL1 A1 144A      | CUSIP: 69383TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113924199 | PA      | $113086787.96   | 0.05%             | 2056-01-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-DUNE                                           | GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE A 144A         | CUSIP: 36258BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2446472 | PA      | $2443916.18     | 0.00%             | 2036-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)                                        | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR           | CUSIP: 00846NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    105720000 | PA      | $66207150.00    | 0.03%             | 2067-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A B 144A               | CUSIP: 193938AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15743907 | PA      | $15931423.67    | 0.01%             | 2055-05-25      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-4                                            | CONSECO FINANCE SECURITIZATION CNF 2000 4 A6               | CUSIP: 20846QDV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40754429 | PA      | $4888726.00     | 0.00%             | 2032-05-01      | Fixed         | 8.31%                 | No            |                  2 | On Loan: No      |
| EDUCATION FUNDING TRUST 2018-A-GS TRUST                                          | EDUCATION FUNDING TRUST EFT 2018 AGS D 144A                | CUSIP: 28140WAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25286759 | PA      | $25228176.75    | 0.01%             | 2050-02-01      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3513 FN 07/47 FIXED 3.5                        | CUSIP: 3140FN3X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24895 | PA      | $23127.65       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 4.214    | CUSIP: 38122ND66<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     26895000 | PA      | $20396506.38    | 0.01%             | 2050-06-01      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA D 144A         | CUSIP: 21050UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8608469 | PA      | $8651574.37     | 0.00%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/1.0000 06/16/22-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $3941945.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2023-4A                                                   | MARLETTE FUNDING TRUST MFT 2023 4A A 144A                  | CUSIP: 57108UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4575276 | PA      | $4601832.27     | 0.00%             | 2033-12-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC6894 FN 11/54 FIXED 5.5                        | CUSIP: 3140AUUU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1987897 | PA      | $1999214.48     | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A       | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1917269.50     | 0.00%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL12                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP12 B3 144A        | CUSIP: 12655FAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235569981 | PA      | $104220635.53   | 0.05%             | 2060-10-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5022 FR 11/39 FIXED 3                  | CUSIP: 3133KYSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       815902 | PA      | $762402.20      | 0.00%             | 2039-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-13                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 13 2A12          | CUSIP: 41161PWC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       440738 | PA      | $184061.76      | 0.00%             | 2036-02-19      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ7887 FN 03/49 FIXED 4.5                        | CUSIP: 3140H9XR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1304095 | PA      | $1279229.47     | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY6 A4           | CUSIP: 02151JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1449354 | PA      | $1234468.60     | 0.00%             | 2047-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BF1602 G2 05/48 FIXED 4                       | CUSIP: 3617G7X75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       451772 | PA      | $426451.31      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260629                                 | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 310110161000 | PA      | $213541873.00   | 0.09%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                              | SPACE COAST CREDIT UNION SCCU 2023 1A A3 144A              | CUSIP: 805922AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9771630 | PA      | $9822469.65     | 0.00%             | 2028-10-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1851 FN 06/48 FIXED 4                          | CUSIP: 3140Q9BV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11008 | PA      | $10540.58       | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6829 FN 03/46 FIXED 3.5                        | CUSIP: 3138WGST2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12542 | PA      | $11754.84       | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ2 A4            | CUSIP: 83611XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11940802 | PA      | $8723111.50     | 0.00%             | 2037-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-L                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 L 2A1            | CUSIP: 05948XQ95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       263956 | PA      | $264884.69      | 0.00%             | 2034-01-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP BOA                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $41344839.95    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-733200.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT1                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT1 M1           | CUSIP: 00075QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33224034 | PA      | $29499254.39    | 0.01%             | 2036-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| TRNTS-2021-17A                                                                   | TRINITAS CLO LTD TRNTS 2021 17A AR 144A                    | CUSIP: 89642JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     74000000 | PA      | $74090264.46    | 0.03%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-5X                                                             | EUROSAIL PLC ESAIL 2007 5X A1A REGS                        | CUSIP: B29H4QII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     15357954 | PA      | $19881750.77    | 0.01%             | 2045-09-13      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7626 FN 08/47 FIXED 4                          | CUSIP: 3140GWPL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       722709 | PA      | $692552.95      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-5A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 5A B4B 144A        | CUSIP: 64829XBV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5988652 | PA      | $5783125.36     | 0.00%             | 2057-12-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10                                | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS10 MI2          | CUSIP: 76112BDW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       418419 | PA      | $425622.64      | 0.00%             | 2034-10-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1535 FN 02/48 FIXED 3.5                        | CUSIP: 3140Q8V51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2652401 | PA      | $2471755.69     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2921 FN 10/48 FIXED 3                          | CUSIP: 3140QAG79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       170398 | PA      | $152111.63      | 0.00%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE2                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE2 M4            | CUSIP: 04542BNM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11184826 | PA      | $10751912.14    | 0.00%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6673 FR 01/53 FIXED 6                  | CUSIP: 3133BUMW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3073206 | PA      | $3155124.19     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACREC 2026-FL4 LLC                                                               | ACREC LLC ACREC 2026 FL4 A 144A                            | CUSIP: 004970AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     82600000 | PA      | $82558526.54    | 0.04%             | 2043-01-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5473 FN 09/54 FIXED 7                          | CUSIP: 31418FCK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       726321 | PA      | $764115.63      | 0.00%             | 2054-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXI LTD / PREFERRED TERM SECURITIES XXI INC            | PREFERRED TERM SECS XXI SECURED 144A 03/38 VAR             | CUSIP: 74042JAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     25152852 | PA      | $23266387.70    | 0.01%             | 2038-03-22      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 WF1 M2            | CUSIP: 86359BV81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       579455 | PA      | $579619.03      | 0.00%             | 2035-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190328 FN 12/32 FIXED VAR                        | CUSIP: 31368HLH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39619 | PA      | $40727.82       | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3286 FN 02/28 FIXED 3                          | CUSIP: 31418CUL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4647 | PA      | $4601.96        | 0.00%             | 2028-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $212110.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NRPL-2024-RPL1                                                                   | NRPL TRUST SERIES NRPL 2024 RPL1 PT 144A                   | CUSIP: 62956EAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172367450 | PA      | $152656387.14   | 0.07%             | 2063-11-25      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3937 FR 01/56 FIXED 5.5                | CUSIP: 31427RLT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    114544918 | PA      | $117281697.04   | 0.05%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0034 FR 06/55 FIXED 5.5                | CUSIP: 3142J6BC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47588 | PA      | $47857.33       | 0.00%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 2A4             | CUSIP: 23243HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30723419 | PA      | $29144908.20    | 0.01%             | 2047-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3284                                                                 | FREDDIE MAC FHR 3284 BI                                    | CUSIP: 31397FL34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       637750 | PA      | $58024.17       | 0.00%             | 2037-03-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 872239 FN 04/36 FIXED 6                          | CUSIP: 31409JBG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5542 | PA      | $5712.10        | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-2A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 2A A4 144A           | CUSIP: 505920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5700000 | PA      | $5762383.08     | 0.00%             | 2029-07-16      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 07/27 37.84                  | CUSIP: ACI2YWLW0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  13360000000 | PA      | $292678111.18   | 0.13%             | 2027-07-14      | Fixed         | 37.84%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN0882 FN 11/48 FIXED 4                          | CUSIP: 3140JG6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18735 | PA      | $17941.51       | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC4833 FN 10/54 FIXED 5                          | CUSIP: 3140ASLP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       609467 | PA      | $604465.38      | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RONDA RMBS DAC 2025-1A                                                           | RONDA RMBS DESIGNATED ACTIVITY RONDA 2025 1A G 144A        | CUSIP: ACI34XF30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     63034000 | PA      | $21787342.43    | 0.01%             | 2075-10-28      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2002-21A                                         | STRUCTURED ASSET SECURITIES CO SASC 2002 21A 1A3           | CUSIP: 86359ABR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15488 | PA      | $15668.24       | 0.00%             | 2032-11-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.9271 05/08/25-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-6047087.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-2031932.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 1A1            | CUSIP: 07384MA85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       112129 | PA      | $107135.46      | 0.00%             | 2034-02-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A C 144A         | CUSIP: 21055PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30429212 | PA      | $31412367.42    | 0.01%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 2A2          | CUSIP: 83613AAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2923137 | PA      | $2513263.72     | 0.00%             | 2037-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2006-7                                                     | TERWIN MORTGAGE TRUST TMTS 2006 7 2A3 144A                 | CUSIP: 88156PAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17133856 | PA      | $7493215.92     | 0.00%             | 2037-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2005 NC2 M5                | CUSIP: 61744CPL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4049366 | PA      | $3926634.17     | 0.00%             | 2035-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB2                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB2 A 144A        | CUSIP: 054987AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    361411308 | PA      | $359034486.37   | 0.16%             | 2046-11-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL3                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL3 B4 144A        | CUSIP: 12596RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141126911 | PA      | $113374388.80   | 0.05%             | 2054-12-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 3A5                   | CUSIP: 362341FN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       714124 | PA      | $399117.02      | 0.00%             | 2035-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTAGE SEC INC 2004-R2                                                 | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R2 M6             | CUSIP: 03072SPN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       981150 | PA      | $982786.22      | 0.00%             | 2034-04-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3154 FN 08/44 FIXED 4                          | CUSIP: 3138WCQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33748 | PA      | $32527.83       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2894 FN 09/45 FIXED 4                          | CUSIP: 3138YUGC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4277960 | PA      | $4120677.81     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-NC1                                                     | ACE SECURITIES CORP. ACE 2003 NC1 M1                       | CUSIP: 004421CQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1023709 | PA      | $974537.62      | 0.00%             | 2033-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ7884 FR 11/55 FIXED 5                  | CUSIP: 31427HXN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44043128 | PA      | $43479205.60    | 0.02%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                                      | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX A 144A         | CUSIP: 36257CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40305687 | PA      | $36488541.15    | 0.02%             | 2034-05-10      | Fixed         | 2.86%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                              | CAPE LOOKOUT RE LTD UNSECURED 144A 03/32 VAR               | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     42300000 | PA      | $44156970.00    | 0.02%             | 2032-03-13      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1910575.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $2443545.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S3 1A18          | CUSIP: 16163HAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500904 | PA      | $199348.71      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S1                                                              | GSAMP TRUST GSAMP 2006 S1 A2A                              | CUSIP: 3623413A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       178257 | PA      | $12513.18       | 0.00%             | 2035-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1231 FN 05/53 FIXED 6                          | CUSIP: 3140NHLM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1329947 | PA      | $1360713.57     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A11           | CUSIP: 86361HAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3340022 | PA      | $2743450.11     | 0.00%             | 2036-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $25.04          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW3                                              | PARK PLACE SECURITIES INC PPSI 2005 WCW3 M3                | CUSIP: 70069FLY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $3855722.40     | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0869 FN 07/45 FIXED 4                          | CUSIP: 3138YR6F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50592 | PA      | $48763.59       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60808 FG 10/46 FIXED 3                  | CUSIP: 31335A3R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5919 | PA      | $5358.95        | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2006-2                                                   | BNC MORTGAGE LOAN TRUST BNCMT 2006 2 A5                    | CUSIP: 055683AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40973000 | PA      | $21981420.39    | 0.01%             | 2036-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ2536 FR 09/55 FIXED 5.5                | CUSIP: 31426YZA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1248748 | PA      | $1255693.29     | 0.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A           | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22104037 | PA      | $20577890.43    | 0.01%             | 2046-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6922 FN 04/46 FIXED 3.5                        | CUSIP: 3138WGVQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51971 | PA      | $48721.98       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7190 FN 05/46 FIXED 4                          | CUSIP: 3138WG7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6021 | PA      | $5768.70        | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260422                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-1451758.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI6156 FN 07/41 FIXED 4                          | CUSIP: 3138AKZW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1349008 | PA      | $1304152.45     | 0.00%             | 2041-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3665 FN 12/52 FIXED 5.5                        | CUSIP: 3140N8CB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       737058 | PA      | $743468.49      | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5852 FN 10/55 FIXED 5                          | CUSIP: 31418FQE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    379342851 | PA      | $374505372.46   | 0.17%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR5                                                          | BCAP LLC TRUST BCAP 2011 RR5 16A1 144A                     | CUSIP: 05534AAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2228216 | PA      | $2258734.20     | 0.00%             | 2035-10-26      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                                    | EGYPT GOVERNMENT BOND BONDS 03/28 21.954                   | CUSIP: ACI2VM0V0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |  23763600000 | PA      | $425679157.89   | 0.19%             | 2028-03-04      | Fixed         | 21.95%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175OQ913 PIMCO CAP USD 0.02224 USD SOFR COMPO             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -605500000 | NC      | $-4395445.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL3                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL3 PT 144A      | CUSIP: 36269VAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    541327135 | PA      | $456551895.14   | 0.20%             | 2064-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/45 0.75                                 | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    179441126 | PA      | $129057843.88   | 0.06%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                             | COLLEGE AVE STUDENT LOANS CASL 2023 B B 144A               | CUSIP: 19425MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17695635 | PA      | $18390690.81    | 0.01%             | 2054-06-25      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 1A1          | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117572050 | PA      | $81478770.85    | 0.04%             | 2037-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1                    | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       492286 | PA      | $466576.50      | 0.00%             | 2035-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA2809 FN 10/55 FIXED VAR                        | CUSIP: 3140W3DP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3158419 | PA      | $3118316.65     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-306032348.84  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP JPM                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $52315.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A           | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        33565 | PA      | $31023937.11    | 0.01%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA3033 FR 10/38 FIXED 4                  | CUSIP: 31329LLN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49764 | PA      | $48758.10       | 0.00%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-13                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 13 2A11          | CUSIP: 41161PWB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3510242 | PA      | $1428007.04     | 0.00%             | 2036-02-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-18                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 18 2A1                    | CUSIP: 12544JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3313385 | PA      | $975303.79      | 0.00%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP CBK                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-855.46        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20300812                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $635556.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8193 FN 10/31 FIXED 2.5                        | CUSIP: 3138WJC71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41209 | PA      | $39734.56       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-560598.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS REAL ESTATE CAPITAL TRUST 2006-1                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 1 A3              | CUSIP: 61749QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6113619 | PA      | $2356607.66     | 0.00%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE0086 FN 06/55 FIXED 5                          | CUSIP: 3140BCCY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15661919 | PA      | $15463057.62    | 0.01%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-17                                                   | GSAA HOME EQUITY TRUST GSAA 2006 17 A2                     | CUSIP: 362257AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16304690 | PA      | $3777454.32     | 0.00%             | 2036-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| BUCKINGHAM CDO LTD 2006-3A                                                       | BUCKINGHAM CDO LTD BUCK 2006 3A LT 144A                    | CUSIP: 11838WAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    990065348 | PA      | $693045.74      | 0.00%             | 2051-09-05      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD6319 FR 09/54 FIXED 5.5                | CUSIP: 3132DUAU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       347181 | PA      | $349175.68      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-IM3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 IM3 A4             | CUSIP: 126670JE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23312551 | PA      | $20872239.41    | 0.01%             | 2036-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.28000 09/16/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $8409951.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-8657.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-22R                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 22R 1A1          | CUSIP: 02147LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48691 | PA      | $25601.06       | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR3                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR3 A2            | CUSIP: 25151AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2609340 | PA      | $2425353.93     | 0.00%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-12                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 12 5A1            | CUSIP: 2254W0MM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       650372 | PA      | $150366.53      | 0.00%             | 2036-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-3                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 3 M9               | CUSIP: 29445FCF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       995412 | PA      | $887474.28      | 0.00%             | 2034-12-25      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1833 FN 10/46 FIXED 3.5                        | CUSIP: 3140FMBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       214136 | PA      | $200892.16      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE2                                              | MORGAN STANLEY CAPITAL INC MSAC 2005 HE2 M6                | CUSIP: 61744CNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2614192 | PA      | $2344594.43     | 0.00%             | 2035-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A F 144A              | CUSIP: ACI2PHM10<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9397882 | PA      | $12450466.46    | 0.01%             | 2048-06-20      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 6A1            | CUSIP: 225470RY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2538716 | PA      | $1492487.80     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08702 FG 04/46 FIXED 3.5                | CUSIP: 3128MJX88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       288220 | PA      | $270251.75      | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $1471.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.66500 01/24/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-690637.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $716189.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA0880 FR 12/55 FIXED 5                  | CUSIP: 3142JN6S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2359530 | PA      | $2333481.41     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                                | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 11/26 6         | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     67067000 | PA      | $23077754.70    | 0.01%             | 2026-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 03/29 3.2                           | CUSIP: 097023CD5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     10000000 | PA      | $9647186.90     | 0.00%             | 2029-03-01      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MB0306 FN 03/55 FIXED 5                          | CUSIP: 3138MTKU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1579572 | PA      | $1559516.62     | 0.00%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4737 FN 08/46 FIXED 4                          | CUSIP: 3140FCHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64756 | PA      | $61877.91       | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-WL2                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL2 2A4          | CUSIP: 542514SD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23300326 | PA      | $21567488.07    | 0.01%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 X 144A        | CUSIP: 17329AAQ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    619525153 | PA      | $24799529.92    | 0.01%             | 2060-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-4                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 4 5A1               | CUSIP: 126379AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2110051 | PA      | $323864.09      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2006-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2006 1 1A1A                    | CUSIP: 81743QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1318241 | PA      | $727010.29      | 0.00%             | 2046-09-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 26-NPL3                                     | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL3 A1 144A      | CUSIP: 69383QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72051705 | PA      | $71515063.72    | 0.03%             | 2056-02-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/0.4000 06/15/22-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $50921736.69    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 4A1           | CUSIP: 12668AHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2962904 | PA      | $2785971.52     | 0.00%             | 2035-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-8                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 8 1A1                     | CUSIP: 12545AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7989322 | PA      | $3248356.15     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 M2 144A        | CUSIP: 12662NAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28457250 | PA      | $20182448.00    | 0.01%             | 2061-05-25      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2019-RPL3                                                            | CSMCM TRUST CERTIFICATES CSMCM 2019 RPL3 CERT 144A         | CUSIP: 12596PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6480811 | PA      | $5341909.27     | 0.00%             | 2060-10-27      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER?CRE                                     | CUSIP: ACI2QBKX4<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     11699820 | PA      | $13458366.63    | 0.01%             | 2027-03-01      | Fixed         | 6.76%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2005-RS5                                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS5 M6            | CUSIP: 76112BQB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4750000 | PA      | $4973877.01     | 0.00%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6338 FN 04/46 FIXED 4                          | CUSIP: 3140F2BG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       247483 | PA      | $236648.16      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5473 FN 07/45 FIXED 4                          | CUSIP: 3138WFCK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14183 | PA      | $13664.84       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $9017.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM 2024-AFC1 TRUST                                                            | PRKCM TRUST PRKCM 2024 AFC1 A1 144A                        | CUSIP: 69380WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12694971 | PA      | $12794789.50    | 0.01%             | 2059-03-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A D 144A          | CUSIP: 83407UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5461000 | PA      | $5577513.71     | 0.00%             | 2034-03-27      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TR 2004-7                                                | MASTR ALTERNATIVE LOANS TRUST MALT 2004 7 1A1              | CUSIP: 576434TC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       526547 | PA      | $532348.06      | 0.00%             | 2034-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-CES3                                        | JP MORGAN MORTGAGE TRUST JPMMT 2025 CES3 PT 144A           | CUSIP: 46659XAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111653770 | PA      | $119197645.70   | 0.05%             | 2055-10-25      | Fixed         | 9.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $8840551.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-6 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 6 A1 144A         | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28907479 | PA      | $28867037.22    | 0.01%             | 2028-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8687 FR 02/53 FIXED 6                  | CUSIP: 3133BWUL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1019630 | PA      | $1055847.73     | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1H1396 FH 05/37 FLOATING VAR             | CUSIP: 3128NGGD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          344 | PA      | $353.83         | 0.00%             | 2037-05-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-S2                                                | STRUCTURED ASSET SECURITIES CO SASC 2005 NC2 M6            | CUSIP: 86359DCS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7853000 | PA      | $7709681.18     | 0.00%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A8          | CUSIP: 32052FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       917104 | PA      | $218313.64      | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5475 FN 02/47 FIXED 3.5                        | CUSIP: 3140FRCM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44439 | PA      | $41411.69       | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRUST 2006-W1                     | STRUCTURED ASSET SECURITIES CO SASC 2006 W1A A5 144A       | CUSIP: 86361CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2945860 | PA      | $2763601.74     | 0.00%             | 2046-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1                 | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2663 | PA      | $2670.30        | 0.00%             | 2031-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                                            | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A A1 144A       | CUSIP: 16678RAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51195 | PA      | $50821.52       | 0.00%             | 2035-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM6                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2025 NQM6 A1 144A       | CUSIP: 64832KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11995121 | PA      | $11974497.94    | 0.01%             | 2065-10-25      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A21          | CUSIP: 92922FD47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1139420 | PA      | $1146402.65     | 0.00%             | 2045-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS0928 FR 09/35 FIXED 6                  | CUSIP: 3132A1A53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12067 | PA      | $12500.21       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0021 FR 05/55 FIXED 5                  | CUSIP: 3142J6AX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13103913 | PA      | $12938537.84    | 0.01%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8453 FR 11/55 FIXED 5                  | CUSIP: 31427JMB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2878097 | PA      | $2842777.81     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 2A4           | CUSIP: 542512AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22067014 | PA      | $7559563.17     | 0.00%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2005-OPT2                                              | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 OPT2 M5           | CUSIP: 144531CN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3075653 | PA      | $3012246.89     | 0.00%             | 2035-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 3A11           | CUSIP: 007036TE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18129 | PA      | $16732.02       | 0.00%             | 2036-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-8                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2024 8 A1 144A               | CUSIP: 03465QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15077728 | PA      | $15096098.75    | 0.01%             | 2069-05-27      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI3491 FR 04/54 FIXED 5                  | CUSIP: 3133W92Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       345300 | PA      | $340951.59      | 0.00%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-2                                                | BELLA VISTA MORTGAGE TRUST BVMBS 2005 2 2A1                | CUSIP: 07820QCD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        88039 | PA      | $55962.96       | 0.00%             | 2045-05-20      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $458237.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3650 FN 11/55 FIXED 5                          | CUSIP: 3140BUBU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       957641 | PA      | $946622.49      | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 7 2A4              | CUSIP: 232422AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1311627 | PA      | $1286167.46     | 0.00%             | 2046-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $2026.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY11 A1          | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5890691 | PA      | $5704418.29     | 0.00%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6373 FN 10/27 FIXED 3                          | CUSIP: 31417DCK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27294 | PA      | $27059.08       | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.87400 03/05/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-548915.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R9                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R9 M4             | CUSIP: 03072SUR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1656600 | PA      | $1595270.46     | 0.00%             | 2034-10-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7518 FR 06/50 FIXED 3                  | CUSIP: 3132DVK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    126214807 | PA      | $112940859.29   | 0.05%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY3302 FR 05/55 FIXED 5                  | CUSIP: 31426MU42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       116717 | PA      | $115673.23      | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20261014                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1008757.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 1A1B                 | CUSIP: 1266943V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1598134 | PA      | $1429622.54     | 0.00%             | 2036-05-20      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST 2005-4                                             | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 4 6A1              | CUSIP: 61748HKL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1060407 | PA      | $546829.93      | 0.00%             | 2035-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-OPT4                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT4 M1           | CUSIP: 04542BHD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1300444 | PA      | $1330883.73     | 0.00%             | 2034-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-11327228.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-R4                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 R4 1A4 144A               | CUSIP: 12669FFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11850877 | PA      | $11276086.79    | 0.01%             | 2034-01-25      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9            | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     27259000 | PA      | $26149082.21    | 0.01%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC            | PREFERRED TERM XXIV SR SECURED 144A 03/37 VAR              | CUSIP: 74043CAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     45472124 | PA      | $41038591.66    | 0.02%             | 2037-03-22      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-D                                 | NAVIENT STUDENT LOAN TRUST NAVSL 2019 D A2B 144A           | CUSIP: 63941CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3079650 | PA      | $3083042.97     | 0.00%             | 2059-12-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7204 FR 11/54 FIXED 5.5                | CUSIP: 3132DVAD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4611877 | PA      | $4719609.36     | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260417                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $8706.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2005-1                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2005 1 M7               | CUSIP: 29445FCU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4623006 | PA      | $4284220.05     | 0.00%             | 2035-04-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP MYI                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $108910.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-C                                                        | CENTEX HOME EQUITY CXHE 2004 C M1                          | CUSIP: 152314KR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28009 | PA      | $27676.33       | 0.00%             | 2034-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $12742.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4418 FN 10/49 FIXED 3                          | CUSIP: 3140QB4C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     44827064 | PA      | $40192100.16    | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC2                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC2 A6           | CUSIP: 86358GAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13748177 | PA      | $5401080.09     | 0.00%             | 2036-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR5                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR5 3A1          | CUSIP: 32051GXT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37354 | PA      | $0.38           | 0.00%             | 2035-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A     | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71209375 | PA      | $63871847.11    | 0.03%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MORTGAGE SEC 2002-L                                              | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 L 1A2            | CUSIP: 05948JAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       130823 | PA      | $113263.14      | 0.00%             | 2032-12-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                                   | ARGENT SECURITIES INC. ARSI 2004 W11 M7                    | CUSIP: 040104MM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        88060 | PA      | $104716.99      | 0.00%             | 2034-11-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/31 0.125                                | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    116715984 | PA      | $109086278.89   | 0.05%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2649062.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 3 4A3                  | CUSIP: 07386HSN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       221544 | PA      | $217732.00      | 0.00%             | 2035-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU4479 FN 04/54 FIXED 5.5                        | CUSIP: 3140M56R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        99627 | PA      | $100463.50      | 0.00%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                   | CUSIP: 73110JAD4<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      3500000 | PA      | $3508400.00     | 0.00%             | 2029-01-08      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.50000 10/27/22-27Y* LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-8287556.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8474 FR 11/54 FIXED 5                  | CUSIP: 3132DWMX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    157099512 | PA      | $155149235.85   | 0.07%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB1                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB1 M3             | CUSIP: 126673XU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8200000 | PA      | $7724589.42     | 0.00%             | 2035-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ0110 FR 07/54 FIXED 7                  | CUSIP: 3133CQDP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60163 | PA      | $63257.54       | 0.00%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2024-1A                                               | BOFA AUTO TRUST BAAT 2024 1A A3 144A                       | CUSIP: 09709AAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12554068 | PA      | $12640209.47    | 0.01%             | 2028-11-15      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS2                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS2 M6            | CUSIP: 76112BKG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       466101 | PA      | $409461.60      | 0.00%             | 2035-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 B1 144A       | CUSIP: 17330EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35743750 | PA      | $31065204.10    | 0.01%             | 2061-08-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES2                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES2 A1A 144A        | CUSIP: 74938PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37271757 | PA      | $37524445.01    | 0.02%             | 2044-04-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $2064810.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $542970.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4732 FR 08/47 FIXED 4.5                | CUSIP: 3132A5HH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2663 | PA      | $2622.01        | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $258533.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 4A1         | CUSIP: 02152AAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1864621 | PA      | $1151392.33     | 0.00%             | 2037-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-24634.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                                  | REPUBLIC OF VENEZUELA SR UNSECURED REGS 05/28 9.25         | CUSIP: P17625AB3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    101687000 | PA      | $46776020.00    | 0.02%             | 2028-05-07      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.13000 05/03/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2616097.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-11                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 11 1A1            | CUSIP: 86364YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7954201 | PA      | $6930751.38     | 0.00%             | 2037-12-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5370 FN 05/54 FIXED 7                          | CUSIP: 31418E6G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        97878 | PA      | $102976.33      | 0.00%             | 2054-05-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEX BONOS DESARR FIX RT SR UNSECURED 05/29 8.5             | CUSIP: 929FKUII9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2444800000 | PA      | $136427560.56   | 0.06%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1743 FN 09/40 FIXED VAR                        | CUSIP: 3138EH5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2802344 | PA      | $2941051.63     | 0.00%             | 2040-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.46000 03/13/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-5803126.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $10871.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8533 FR 05/55 FIXED 5.5                | CUSIP: 3132DWPS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     62005640 | PA      | $62352357.73    | 0.03%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.06-2 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-393075.60     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| THORNBURG MORTGAGE SEC TRUST 2005-1                                              | THORNBURG MORTGAGE SECURITIES TMST 2005 1 A1               | CUSIP: 885220GZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        80777 | PA      | $79984.77       | 0.00%             | 2045-04-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3583 FN 11/55 FIXED VAR                        | CUSIP: 3140W36V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28661171 | PA      | $29826768.24    | 0.01%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7299 FN 08/27 FIXED VAR                        | CUSIP: 3138EQDD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          796 | PA      | $792.55         | 0.00%             | 2027-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KINBANE 2024-RPL 2 DAC  24-RPL2A                                                 | KINBANE DAC KINBN 2024 RPL2A A 144A                        | CUSIP: ACI2S5NF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     56068721 | PA      | $64849038.47    | 0.03%             | 2063-01-24      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q45638 FG 01/47 FIXED 3                  | CUSIP: 3132WKHQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3814545 | PA      | $3442309.29     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-WMC3                                              | MASTR ASSET BACKED SECURITIES MABS 2006 WMC3 A4            | CUSIP: 55291KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7736192 | PA      | $2648371.00     | 0.00%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BECKETT MORTGAGES 2026-1 DAC 26-1A                                               | BECKETT MORTGAGES BECKS 2026 1A B 144A                     | CUSIP: ACI38PNW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     16901000 | PA      | $19493786.14    | 0.01%             | 2071-07-20      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 2.45       | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      4200000 | PA      | $3841633.57     | 0.00%             | 2028-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                            | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875          | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7529634 | PA      | $6814318.77     | 0.00%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5119 FN 08/47 FIXED 3.5                        | CUSIP: 3140GTVM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20367 | PA      | $19005.56       | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260409                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-944082.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A4                | CUSIP: 61755CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14609277 | PA      | $13407338.00    | 0.01%             | 2037-05-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0443 FN 10/39 FIXED VAR                        | CUSIP: 31419AP50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5709 | PA      | $6055.90        | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $3177368.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $706215.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA4                                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA4 2A1           | CUSIP: 74958CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       946249 | PA      | $804615.57      | 0.00%             | 2036-11-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51328 FG 10/47 FIXED 3.5                | CUSIP: 3132XTPN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57099 | PA      | $53323.93       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-108859.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2959 FN 01/47 FIXED 4                          | CUSIP: 3140FNJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2646362 | PA      | $2531984.69     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-24040536.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-PT-A                              | NAVIENT STUDENT LOAN TRUST NAVSL 2019 PTA PT 144A          | CUSIP: 63941PAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     94379485 | PA      | $89576814.67    | 0.04%             | 2045-11-15      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-2                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 2 A2B            | CUSIP: 59024QAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13090290 | PA      | $9550295.77     | 0.00%             | 2037-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A G                   | CUSIP: ACI2PHM02<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11278000 | PA      | $14914925.30    | 0.01%             | 2048-06-20      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC1                                            | MORGAN STANLEY CAPITAL INC MSAC 2005 NC1 M1                | CUSIP: 61744CMK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       774168 | PA      | $781934.62      | 0.00%             | 2035-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2026-5C40                                                   | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2026 5C40 A3          | CUSIP: 05557AAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40200000 | PA      | $41062016.64    | 0.02%             | 2059-02-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB4448 FN 08/54 FIXED 5.5                        | CUSIP: 3140AD5J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       525540 | PA      | $528476.21      | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                                   | FREMONT HOME LOAN TRUST FHLT 2006 B 2A2                    | CUSIP: 35729QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4535043 | PA      | $1398582.40     | 0.00%             | 2036-08-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE5060 FN 09/55 FIXED 5                          | CUSIP: 3140BHTS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1069001 | PA      | $1055554.21     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7782 FN 03/53 FIXED 5.5                        | CUSIP: 3140NCUG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1295648 | PA      | $1306572.86     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR6                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR6 2A1           | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3663151 | PA      | $3035748.57     | 0.00%             | 2035-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6821 G2 08/50 FIXED 3.5                     | CUSIP: 36179VSJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       572259 | PA      | $532097.53      | 0.00%             | 2050-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 2A1              | CUSIP: 92977YBP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       350308 | PA      | $344754.32      | 0.00%             | 2035-10-20      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MTGE 20                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 5 4A             | CUSIP: 07384MS94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15975 | PA      | $15928.63       | 0.00%             | 2034-07-25      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2007 AR2 1A1                   | CUSIP: 3622N6AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       889256 | PA      | $466295.90      | 0.00%             | 2037-05-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TURKEY EM SP JPM                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-3166816.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-C                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 C A1                 | CUSIP: 589929S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       188364 | PA      | $174664.94      | 0.00%             | 2028-06-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 13T1 A11         | CUSIP: 12668BZM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1303841 | PA      | $606105.25      | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.89000 03/03/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-347657.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 21 A13                    | CUSIP: 12543PAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1961229 | PA      | $820427.67      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-AHL2                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 AHL2 M2           | CUSIP: 76110W5J1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7962660 | PA      | $7775412.42     | 0.00%             | 2035-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5666 FR 01/53 FIXED 6                  | CUSIP: 3133BTJK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1193293 | PA      | $1222986.40     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A2                | CUSIP: 61755CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11706259 | PA      | $10743346.38    | 0.00%             | 2037-05-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB1 AE 144A       | CUSIP: 05494AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1064128973 | PA      | $1051517395.18  | 0.47%             | 2056-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| TIKEHAU CLO V BV 5A                                                              | TIKEHAU TIKEH 5A AR 144A                                   | CUSIP: ACI2YQ816<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     74250000 | PA      | $85797402.46    | 0.04%             | 2038-10-15      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1248 FN 05/53 FIXED 6                          | CUSIP: 3140NHL63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2498244 | PA      | $2565838.58     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7222 FN 12/55 FIXED 5                          | CUSIP: 3140BYAY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8725932 | PA      | $8613531.97     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-430112.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323380 FN 10/28 FIXED VAR                        | CUSIP: 31374TFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          204 | PA      | $210.73         | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB6                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB6 A2                   | CUSIP: 12669GBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       834164 | PA      | $809036.70      | 0.00%             | 2034-11-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-H                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 H 2A5            | CUSIP: 05949CGA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       117760 | PA      | $106077.31      | 0.00%             | 2035-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08813 FG 05/48 FIXED 3.5                | CUSIP: 3128MJ3X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51016 | PA      | $47537.98       | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RZD CAPITAL PUBLIC LIMITED COMPANY                                               | RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487        | CUSIP: B3SXQ5II3<br>LEI: 635400VKMH1VQDFMW392 | Long             | DBT              | CORP              | IE        |     60389000 | PA      | $55951635.64    | 0.02%             | 2031-03-25      | Fixed         | 7.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5365 FN 07/45 FIXED 3.5                        | CUSIP: 3138WE6B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8296 | PA      | $7794.36        | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY7622 FN 07/53 FIXED 6                          | CUSIP: 3140NQPG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       246870 | PA      | $252352.50      | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4902 G2 12/47 FIXED 4.5                     | CUSIP: 36179TNT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        92530 | PA      | $91324.38       | 0.00%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1272884.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-248634.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-452571.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 1A1           | CUSIP: 12668AGN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5735838 | PA      | $5450640.83     | 0.00%             | 2035-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-24CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 24CB 1A1         | CUSIP: 12667FVN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5395035 | PA      | $5580657.89     | 0.00%             | 2034-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XII LTD 2021-12A                                                     | VIBRANT CLO LTD VIBR 2021 12A A1A2 144A                    | CUSIP: 92558WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     78300000 | PA      | $78395586.29    | 0.03%             | 2034-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| RAMP TRUST 2004-RS2                                                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS2 MII2          | CUSIP: 760985R45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       370057 | PA      | $342686.15      | 0.00%             | 2034-02-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004341 G2 01/39 FIXED 4.5                     | CUSIP: 36202EZE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1855 | PA      | $1842.83        | 0.00%             | 2039-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                              | INTESA SANPAOLO SPA 144A 11/33 7.2                         | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     44166000 | PA      | $49519394.87    | 0.02%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 7A11            | CUSIP: 007036QR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1895856 | PA      | $1850183.32     | 0.00%             | 2035-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4116                                                          | FREDDIE MAC FHR 4116 PS                                    | CUSIP: 3137AVMW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       960373 | PA      | $75998.26       | 0.00%             | 2042-01-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-RPL1                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 RPL1 PT 144A      | CUSIP: 61781WAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    224897897 | PA      | $193987997.18   | 0.09%             | 2065-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3612 FN 02/47 FIXED VAR                        | CUSIP: 3140J8AN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46975 | PA      | $45158.11       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR8                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR8 2A2A          | CUSIP: 45660N2J3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3650 | PA      | $3432.75        | 0.00%             | 2034-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1568 FN 01/42 FIXED VAR                        | CUSIP: 3138EHW65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1929 | PA      | $1909.97        | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4299 FN 03/30 FIXED VAR                        | CUSIP: 3140J8X57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       526509 | PA      | $522899.28      | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG5388 G2 05/48 FIXED 4                       | CUSIP: 3617GP6Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       640929 | PA      | $604209.26      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO6194 FN 09/49 FIXED 3.5                        | CUSIP: 3140K13C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       293472 | PA      | $271918.43      | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM INC. 2023 TERM LOAN J                            | CUSIP: 89364MCA0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     76382188 | PA      | $76478429.74    | 0.03%             | 2031-02-28      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                    | RMAC SECURITIES PLC RMACS 2007 NS1X A2A REGS               | CUSIP: B1ZPGKII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3354788 | PA      | $4369352.73     | 0.00%             | 2044-06-12      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 304                                                           | FREDDIEMAC STRIP FHS 304 C22                               | CUSIP: 31325UPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3010389 | PA      | $483085.19      | 0.00%             | 2042-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M3                                                    | ARGENT SECURITIES INC. ARSI 2006 M3 A1                     | CUSIP: 03076MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3022223 | PA      | $1711305.18     | 0.00%             | 2036-10-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-7                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 7 M2              | CUSIP: 86358EWD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10250407 | PA      | $10080314.70    | 0.00%             | 2035-08-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY1                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY1 1A1                   | CUSIP: 12544EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1041567 | PA      | $979467.44      | 0.00%             | 2037-04-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A              | CUSIP: ACI0Y9KL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     82667791 | PA      | $109495062.35   | 0.05%             | 2049-12-21      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR3                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A1           | CUSIP: 39538WHF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7187580 | PA      | $6568435.34     | 0.00%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL8 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL8 A1 144A      | CUSIP: 69392EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26081442 | PA      | $26156050.24    | 0.01%             | 2055-08-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BC6871 G2 08/47 FIXED 3.5                     | CUSIP: 3617BAT45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       685127 | PA      | $637652.75      | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.58178 03/31/26-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1464415.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-32                                                        | FANNIE MAE FNR 2007 32 SC                                  | CUSIP: 31396VDZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       407459 | PA      | $43147.80       | 0.00%             | 2037-04-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A B 144A             | CUSIP: 37989AAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13000000 | PA      | $13051292.80    | 0.01%             | 2029-01-16      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A E 144A               | CUSIP: 193938AF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4482283 | PA      | $4641800.43     | 0.00%             | 2055-05-25      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ1366 FR 04/54 FIXED 5                  | CUSIP: 3142GRQU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       547355 | PA      | $540841.31      | 0.00%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A8          | CUSIP: 12667GKH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       562733 | PA      | $419281.87      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A4              | CUSIP: 617463AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19103402 | PA      | $6218875.67     | 0.00%             | 2036-11-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2026-NQM3                              | SANTANDER MORTGAGE ASSET RECEI SAN 2026 NQM3 A1 144A       | CUSIP: 802929AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28900000 | PA      | $28857956.28    | 0.01%             | 2066-03-25      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2145 FN 01/45 FIXED 4                          | CUSIP: 31418BL38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7933655 | PA      | $7644835.56     | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0693 FN 11/47 FIXED 3.5                        | CUSIP: 3140Q7XX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       385723 | PA      | $359451.89      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SENIOR ISSU 10/27 9.75                  | CUSIP: ACI3915T9<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     15656689 | PA      | $22817383.78    | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8166 FN 02/27 FIXED 3                          | CUSIP: 3138XYCC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5312 | PA      | $5283.43        | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.46300 10/23/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2998960.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 932349 FN 01/30 FIXED 5                          | CUSIP: 31412QZN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2121 | PA      | $2133.79        | 0.00%             | 2030-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3058 FN 07/47 FIXED 4                          | CUSIP: 31418CMG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       946200 | PA      | $898727.80      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                          | ACHV ABS TRUST ACHV 2025 1PL B 144A                        | CUSIP: 00112MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3899307 | PA      | $3910214.81     | 0.00%             | 2032-04-26      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A G 144A              | CUSIP: ACI2PMHL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10347163 | PA      | $13653381.27    | 0.01%             | 2048-06-20      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5499 FN 09/47 FIXED 4                          | CUSIP: 3140GUDD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       429116 | PA      | $411034.66      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 3A A3 144A       | CUSIP: 96043CAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28800000 | PA      | $28869690.24    | 0.01%             | 2028-04-17      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB4007 FN 05/54 FIXED 5.5                        | CUSIP: 3140ADNZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1379670 | PA      | $1390395.61     | 0.00%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PYRAMID FUNDING                                                                  | PYRAMID FUNDING 2025 LIMITED PYRAMID CLASS A NOTES         | CUSIP: 938KLCII6<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    210627457 | PA      | $238065402.28   | 0.11%             | 2035-03-28      | Variable      | 5.06%                 | No            |                  3 | On Loan: No      |
| PRPM 2024-RPL3 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RPL3 A1 144A      | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24185604 | PA      | $23639488.62    | 0.01%             | 2054-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHEC LOAN TRUST 2004-2                                                           | CHEC LOAN TRUST CHEC 2004 2 M1                             | CUSIP: 162765AT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        66450 | PA      | $70592.56       | 0.00%             | 2034-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-R1                                               | VERUS SECURITIZATION TRUST VERUS 2024 R1 A1 144A           | CUSIP: 924926AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21695132 | PA      | $21765116.31    | 0.01%             | 2069-09-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| LURA FUNDING DESIGNATED ACTIVITY COMPANY 2026-1A                                 | LURA FUNDING DAC LURA 2026 1A Y 144A                       | CUSIP: ACI394YG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      1820000 | PA      | $26208226.73    | 0.01%             | 2079-08-27      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MEXICO GOVT                                                                      | UNITED MEXICAN STATES SR UNSECURED 05/33 4.625             | CUSIP: ACI2THY21<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     76200000 | PA      | $87303362.14    | 0.04%             | 2033-05-04      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 3A3                 | CUSIP: 466247K36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       449831 | PA      | $406672.91      | 0.00%             | 2036-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3858 FN 02/50 FIXED VAR                        | CUSIP: 3140X7JC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95446800 | PA      | $85555057.20    | 0.04%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-7F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 7F 4A1                    | CUSIP: 362341NF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       237520 | PA      | $230634.57      | 0.00%             | 2035-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                             | GSAMP TRUST GSAMP 2007 FM2 A2B                             | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5665909 | PA      | $3488423.42     | 0.00%             | 2037-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/29 VAR                  | CUSIP: 45870GAK2<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      1850000 | PA      | $1850000.00     | 0.00%             | 2029-06-07      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA8904 FR 04/53 FIXED 6.5                | CUSIP: 3133KQ3M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       561583 | PA      | $585857.57      | 0.00%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-3                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 3 M5             | CUSIP: 64352VLN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6620199 | PA      | $6629057.97     | 0.00%             | 2035-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1B 144A         | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    102626647 | PA      | $102570899.89   | 0.05%             | 2053-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-OP2                                                     | ACE SECURITIES CORP. ACE 2006 OP2 A2D                      | CUSIP: 00441YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19304546 | PA      | $18438498.14    | 0.01%             | 2036-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| CSMCM 2021-RPL8 TRUST                                                            | CSMCM TRUST CERTIFICATES CSMCM 2021 RPL8 CERT 144A         | CUSIP: 12598KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17988937 | PA      | $14468780.57    | 0.01%             | 2061-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY5801 FR 06/55 FIXED 5                  | CUSIP: 31426QNT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3970126 | PA      | $3919498.79     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-13                                                        | FANNIE MAE FNR 2013 13 PH                                  | CUSIP: 3136ACH53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6758983 | PA      | $6540957.80     | 0.00%             | 2042-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0201 G2 02/55 FIXED 3.5                     | CUSIP: 3618N5GK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     76039576 | PA      | $69815510.88    | 0.03%             | 2055-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4406 FN 06/53 FIXED 5.5                        | CUSIP: 3140NL3Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       644887 | PA      | $650693.17      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-3                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 3 A1A 144A             | CUSIP: 89183FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36423896 | PA      | $36277137.33    | 0.02%             | 2065-07-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA4                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA4 A31           | CUSIP: 76110H4J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6711505 | PA      | $4590967.51     | 0.00%             | 2035-04-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-157454.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-NPL12 LLC                                                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL12 A1 144A     | CUSIP: 69383CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    165864628 | PA      | $164838871.27   | 0.07%             | 2055-11-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB9152 FN 09/54 FIXED 6                          | CUSIP: 3140QVE26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48600798 | PA      | $50238975.68    | 0.02%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5082 FN 03/44 FIXED VAR                        | CUSIP: 3138EMUG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156451 | PA      | $154434.66      | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                               | VERUS SECURITIZATION TRUST VERUS 2025 R1 A1 144A           | CUSIP: 92541AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27253085 | PA      | $27339905.05    | 0.01%             | 2065-05-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-8                                                    | GSAA HOME EQUITY TRUST GSAA 2005 8 M1                      | CUSIP: 362341CU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1937158 | PA      | $1936378.75     | 0.00%             | 2035-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-9                                                    | GSAA HOME EQUITY TRUST GSAA 2006 9 A2                      | CUSIP: 362382AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57988706 | PA      | $10371697.62    | 0.00%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1            | CUSIP: 75114NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40045818 | PA      | $8090797.01     | 0.00%             | 2046-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A1A          | CUSIP: 92922FXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2106780 | PA      | $2050416.81     | 0.00%             | 2044-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                                           | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A             | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     76700000 | PA      | $76733303.14    | 0.03%             | 2034-10-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20300516                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $1979776.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A4          | CUSIP: 92922F4D7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2775005 | PA      | $2636660.78     | 0.00%             | 2035-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-RPL1                                    | GSMBS 2026 RPL1 PT 144A                                    | CUSIP: 990ACSUY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    256814851 | PA      | $238917213.45   | 0.11%             | 2075-10-01      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A        | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24790830 | PA      | $22397121.99    | 0.01%             | 2046-12-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 1A1            | CUSIP: 43710EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21766626 | PA      | $8536472.41     | 0.00%             | 2037-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                                   | FREMONT HOME LOAN TRUST FHLT 2005 E M1                     | CUSIP: 35729PND8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44985000 | PA      | $38727833.92    | 0.02%             | 2036-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK2015 FN 04/48 FIXED 4                          | CUSIP: 3140HFGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4078121 | PA      | $3907307.19     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-4                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 4 3A1            | CUSIP: 07387ABR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123603 | PA      | $116389.54      | 0.00%             | 2035-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 763755 FN 02/34 FIXED 6.5                        | CUSIP: 31404BQG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          423 | PA      | $437.67         | 0.00%             | 2034-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA3529 FR 01/56 FIXED 5                  | CUSIP: 3142JR4P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5192525 | PA      | $5125186.27     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1480 FN 04/47 FIXED VAR                        | CUSIP: 3140J5UE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3673722 | PA      | $3525741.16     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5496 FN 10/54 FIXED 5                          | CUSIP: 31418FDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2484989 | PA      | $2454203.83     | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8260 FR 09/52 FIXED 5.5                | CUSIP: 3132DWE90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38531 | PA      | $38881.54       | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB0865 FN 06/51 FIXED 3.5                        | CUSIP: 3140QK6B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13986 | PA      | $12926.43       | 0.00%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-5                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 5 A2 144A         | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11399560 | PA      | $11424566.74    | 0.01%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR5                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR5 2A1           | CUSIP: 22541NB32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       353323 | PA      | $327608.97      | 0.00%             | 2033-01-25      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                                       | HELLENIC REPUBLIC BONDS REGS 01/37 4                       | CUSIP: ACI0Z3HB8<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     78167966 | PA      | $91169035.89    | 0.04%             | 2037-01-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA9                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA9 A1           | CUSIP: 02150YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8553059 | PA      | $7135485.42     | 0.00%             | 2047-06-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3860 FN 12/55 FIXED VAR                        | CUSIP: 3140W4JE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    106624342 | PA      | $108843386.99   | 0.05%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD5573 FN 03/55 FIXED 6.5                        | CUSIP: 3140B6FP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       621122 | PA      | $647639.75      | 0.00%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3388 FN 09/44 FIXED 4                          | CUSIP: 3138WCXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       147513 | PA      | $142204.71      | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES 2005-AR14                                 | WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 AR14 A1          | CUSIP: 94982DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        47632 | PA      | $47117.56       | 0.00%             | 2035-08-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC1                                        | STRUCTURED ASSET SECURITIES CO SASC 2006 BC1 A2            | CUSIP: 86359YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8920236 | PA      | $8634203.82     | 0.00%             | 2036-03-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W8                                                     | FANNIEMAE WHOLE LOAN FNW 2002 W8 A3                        | CUSIP: 31392DQ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10341 | PA      | $10602.14       | 0.00%             | 2042-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VI LTD 2017-6A                                                      | TRINITAS CLO LTD TRNTS 2017 6A AR4 144A                    | CUSIP: 89640YBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     42100000 | PA      | $42132211.13    | 0.02%             | 2034-01-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB0286 FN 03/54 FIXED 5.5                        | CUSIP: 3140A9J84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85824 | PA      | $86311.16       | 0.00%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 4A1           | CUSIP: 92925VAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6566707 | PA      | $5984284.39     | 0.00%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2004-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2004 A1 1A1                 | CUSIP: 466247BL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1717 | PA      | $1577.38        | 0.00%             | 2034-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB8100 FN 09/54 FIXED 5.5                        | CUSIP: 3140AJAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       445761 | PA      | $448251.45      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $3942154.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2005-OPT1                                            | STRUCTURED ASSET SECURITIES CO SASC 2005 OPT1 A3           | CUSIP: 86359DVD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       969048 | PA      | $815122.13      | 0.00%             | 2035-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF2 A1 144A      | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6216324 | PA      | $6095416.50     | 0.00%             | 2054-03-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9116 FN 04/53 FIXED 5.5                        | CUSIP: 3140NEDW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1091180 | PA      | $1100892.88     | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE7                                           | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE7 M1           | CUSIP: 04541GMC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3551522 | PA      | $3607924.23     | 0.00%             | 2034-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60089 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $169662.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                              | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2               | CUSIP: 126673VQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6385178 | PA      | $6305501.95     | 0.00%             | 2035-07-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP3                                                             | RAAC SERIES RAAC 2007 RP3 A 144A                           | CUSIP: 74978BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4859140 | PA      | $4795363.86     | 0.00%             | 2046-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA 11.750 350124                         | CUSIP: 968DPUII1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 500000000000 | PA      | $123967988.24   | 0.06%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/9.02000 12/23/24-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $2247842.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-8520124.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260408                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1856.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                      | NEWGATE FUNDING PLC NGATE 2007 3X BA REGS                  | CUSIP: B2NDQGII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2385248 | PA      | $3054508.84     | 0.00%             | 2050-12-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2005-NC1                                              | HSI ASSET SECURITIZATION CORPO HASC 2005 NC1 M3            | CUSIP: 40430HAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       589244 | PA      | $564603.50      | 0.00%             | 2035-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-242886.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS1 A8            | CUSIP: 761118SG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1721427 | PA      | $1225942.68     | 0.00%             | 2036-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED REGS 02/28 VAR         | CUSIP: G84228FY9<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |      3035000 | PA      | $3089186.07     | 0.00%             | 2028-02-08      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.85500 11/19/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $408098.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF4                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF4 M1             | CUSIP: 362334FV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15638644 | PA      | $15203480.29    | 0.01%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| CNL COMMERCIAL MORTGAGE LOAN TRUST 2003-1 2003-1A                                | CNL COMMERCIAL MORTGAGE LOAN T CNL 2003 1A A1 144A         | CUSIP: 12614MAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        63897 | PA      | $62941.49       | 0.00%             | 2031-05-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF5671 FN 12/55 FIXED 5                          | CUSIP: 3140BWJR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2577425 | PA      | $2545430.12     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF17                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF17 A5            | CUSIP: 32028KAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6222273 | PA      | $5481820.96     | 0.00%             | 2036-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8733 FN 06/44 FIXED 4.5                        | CUSIP: 3138XYV35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2103 | PA      | $2047.56        | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1373 FR 12/55 FIXED 5                  | CUSIP: 3142JPQ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20331162 | PA      | $20066876.14    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM1                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM1 A2C           | CUSIP: 81375WKD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1363239 | PA      | $1346793.74     | 0.00%             | 2035-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS2X                                                    | RMAC SECURITIES PLC RMACS 2006 NS2X A2A REGS               | CUSIP: 990XQGII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       535800 | PA      | $696623.56      | 0.00%             | 2044-06-12      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260520                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $493707.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                                              | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M5                | CUSIP: 70069FEM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3246910 | PA      | $3042403.49     | 0.00%             | 2035-02-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2180 FN 07/46 FIXED 3.5                        | CUSIP: 3140F9M69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75629 | PA      | $70649.97       | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7865 FN 06/28 FIXED 3                          | CUSIP: 3138WVW31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8073 | PA      | $7980.86        | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 123 LIGHTS RE LTD                                                                | 123 LIGHTS RE LTD UNSECURED 144A 09/31 VAR                 | CUSIP: 68302QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      6700000 | PA      | $6916075.00     | 0.00%             | 2031-09-14      | Floating      | 14.51%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $15686.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF10                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF10 M1            | CUSIP: 32027NMJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       379172 | PA      | $378528.91      | 0.00%             | 2034-07-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3174 FR 06/53 FIXED 5.5                | CUSIP: 3132DQQ33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77302 | PA      | $78256.74       | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                                | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                 | CUSIP: 096003AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      4800000 | PA      | $4829280.00     | 0.00%             | 2029-01-08      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2022-INV1                                             | BINOM SECURITIZATION TRUST BINOM 2022 INV1 A1 144A         | CUSIP: 090975AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78354743 | PA      | $76358883.48    | 0.03%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR5                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR5 1A1           | CUSIP: 45660LGQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1206650 | PA      | $1075861.80     | 0.00%             | 2035-05-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1             | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       186214 | PA      | $151354.33      | 0.00%             | 2046-10-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080335 G2 10/29 FLOATING VAR                  | CUSIP: 36225CLR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12140 | PA      | $12196.13       | 0.00%             | 2029-10-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1           | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       926068 | PA      | $913638.52      | 0.00%             | 2036-06-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-778666.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3907 FN 11/44 FIXED 4                          | CUSIP: 3138WDKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11858 | PA      | $11427.34       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-17                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 17 1A2                    | CUSIP: 12544KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        70064 | PA      | $47398.11       | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S1                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S1 1A16          | CUSIP: 46627MEN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1257511 | PA      | $586770.70      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH3540 FR 11/53 FIXED 6.5                | CUSIP: 3133CF4Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1566487 | PA      | $1642565.89     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/32 0.625                                | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1217473487 | PA      | $1149087733.39  | 0.51%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-B                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 B A3                 | CUSIP: 59020UBW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29846 | PA      | $27638.86       | 0.00%             | 2029-05-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6989 FN 06/53 FIXED 5.5                        | CUSIP: 3140QSXT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6445720 | PA      | $6490455.03     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 03/54 1.8                      | CUSIP: ACI2NMK96<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   9930000000 | PA      | $42331000.91    | 0.02%             | 2054-03-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A2          | CUSIP: 93934XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11380004 | PA      | $3951895.34     | 0.00%             | 2036-10-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-RCF1 TRUST 2026-RCF1                                                   | PRESTON RIDGE PARTNERS MORTGAG PRPM 2026 RCF1 A1 144A      | CUSIP: 69383VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26729109 | PA      | $26600015.49    | 0.01%             | 2056-01-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A2            | CUSIP: 75116BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6413266 | PA      | $5243130.92     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP SAL                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $609253.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1369 FN 11/47 FIXED VAR                        | CUSIP: 3140X4QX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69712 | PA      | $60407.59       | 0.00%             | 2047-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SPRINT CAPITAL CORPORATION                                                       | SPRINT CAPITAL CORP COMPANY GUAR 03/32 8.75                | CUSIP: 852060AT9<br>LEI: 549300L17W0GQBR1PO80 | Long             | DBT              | CORP              | US        |     25100000 | PA      | $29858306.90    | 0.01%             | 2032-03-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR2                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR2 1A1A          | CUSIP: 45661EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4155574 | PA      | $3904333.62     | 0.00%             | 2046-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7054 G2 12/50 FIXED 3.5                     | CUSIP: 36179VZT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       119939 | PA      | $111481.75      | 0.00%             | 2050-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2209 FN 08/48 FIXED 4.5                        | CUSIP: 3140Q9N33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1389795 | PA      | $1365003.77     | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A12                                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A12 A1            | CUSIP: 76113XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11798253 | PA      | $4031360.26     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-AHL3                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 AHL3 M1           | CUSIP: 76110W6N1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12641565 | PA      | $12225497.78    | 0.01%             | 2035-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 3A1         | CUSIP: 94984MAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       735006 | PA      | $691178.89      | 0.00%             | 2036-10-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5330 FN 12/37 FIXED VAR                        | CUSIP: 3140J94Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72090 | PA      | $67292.23       | 0.00%             | 2037-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A4            | CUSIP: 146919AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26200000 | PA      | $26176768.46    | 0.01%             | 2030-09-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS STRUCTURED PRODUCTS INC 2007-R8                                     | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R8 6A1A           | CUSIP: 07402PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29892124 | PA      | $9347291.21     | 0.00%             | 2037-07-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC2697 FN 10/54 FIXED 5                          | CUSIP: 3140AP7K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1371183 | PA      | $1356256.60     | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A4           | CUSIP: 16162WQL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123631 | PA      | $110516.05      | 0.00%             | 2036-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LN TR INC 2007-AMC4                                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC4 M1           | CUSIP: 17313BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38634653 | PA      | $36160880.03    | 0.02%             | 2037-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                    | TRANSDIGM INC 2025 TERM LOAN K                             | CUSIP: 89364MCF9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |     19698826 | PA      | $19721184.31    | 0.01%             | 2030-03-22      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4818 FN 10/52 FIXED 6                          | CUSIP: 31418EK82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44202 | PA      | $45398.03       | 0.00%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ4113 FR 09/54 FIXED 5.5                | CUSIP: 3133CUSA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       888083 | PA      | $893044.16      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1322 FN 05/49 FIXED VAR                        | CUSIP: 3140X4PG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24585 | PA      | $24162.25       | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A F 144A                                | CUSIP: ACI2J9647<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9124000 | PA      | $12096538.97    | 0.01%             | 2050-11-28      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-1 DAC 24-1A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 1A AR 144A       | CUSIP: ACI2W0KY9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     37713046 | PA      | $43631899.56    | 0.02%             | 2033-08-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A Z 144A                         | CUSIP: ACI2SNZ44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     45974000 | PA      | $52042970.83    | 0.02%             | 2066-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1107 FN 06/49 FIXED VAR                        | CUSIP: 3140X4GR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7488408 | PA      | $7175802.88     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC COMPANY                                                         | GENERAL ELECTRIC CO SR UNSECURED 03/32 6.75                | CUSIP: 36962GXZ2<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | DBT              | CORP              | US        |          355 | PA      | $396.24         | 0.00%             | 2032-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-10908.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC 2007-3                        | MLCC MORTGAGE INVESTORS INC MLCC 2007 3 2A1                | CUSIP: 59022XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2935136 | PA      | $2555716.59     | 0.00%             | 2037-09-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 5A1          | CUSIP: 45660LF87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2107750 | PA      | $1260480.17     | 0.00%             | 2035-11-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                      | CUSIP: 05494AAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41360000 | PA      | $35780300.29    | 0.02%             | 2056-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290508                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2059905.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 09/28 5.5                        | CUSIP: ACI2JSF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     12000000 | PA      | $14329028.95    | 0.01%             | 2028-09-18      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2002-HF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2002 HF2 M3            | CUSIP: 86359ACR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       763801 | PA      | $711909.53      | 0.00%             | 2032-07-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHESTER A CESTR 1 AA D 144A                                | CUSIP: ACI1BFGR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     71735000 | PA      | $95336533.29    | 0.04%             | 2046-03-17      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING XVII LTD 17A                                            | ALESCO PREFERRED FUNDING LTD ALESC 17A A2 144A             | CUSIP: 01450NAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10000000 | PA      | $9480000.00     | 0.00%             | 2038-09-23      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-900295.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JETBLUE 2020-1 CLASS A PASS THROUGH TRUST                                        | JETBLUE AIRWAYS CORP PASS THRU CE 05/34 4                  | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     47769873 | PA      | $45355043.85    | 0.02%             | 2034-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-2                                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 2 A1                      | CUSIP: 81743PAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13354 | PA      | $13367.61       | 0.00%             | 2033-06-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CC0855 FN 01/55 FIXED 5.5                        | CUSIP: 3140Y65R7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1026302 | PA      | $1032034.91     | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                                 | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E21                | CUSIP: 073866BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8601610 | PA      | $5678124.36     | 0.00%             | 2036-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB8164 FR 02/51 FIXED 2.5                | CUSIP: 3133AFB91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3836024 | PA      | $3257583.09     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GATEWAY CREDIT TENANT LEASE                                                      | GATEWAY LEASE CTL A WHLN03785                              | CUSIP: 963SPPII4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     71072694 | PA      | $47620317.04    | 0.02%             | 2038-03-12      | Fixed         | 5.00%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1           | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2302853 | PA      | $2211051.15     | 0.00%             | 2045-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8468 FR 03/53 FIXED 6                  | CUSIP: 3133BWMR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3156921 | PA      | $3237031.52     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                                          | RIPON MORTGAGES PLC RIPON 1RA X1 144A                      | CUSIP: ACI23M1P3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      2142857 | PA      | $903045.26      | 0.00%             | 2056-08-28      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                                         | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528     | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       102663 | PA      | $102769.54      | 0.00%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $54851.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A2            | CUSIP: 32028GAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9287955 | PA      | $8813217.15     | 0.00%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS12                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS12 A7           | CUSIP: 761118DU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13398 | PA      | $11797.06       | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TR 2003-A10                                                | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A10 A4            | CUSIP: 45660NUG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       256290 | PA      | $255214.16      | 0.00%             | 2033-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-3                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 3 2A2 144A         | CUSIP: 74930NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7085170 | PA      | $5248499.60     | 0.00%             | 2037-02-26      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE4                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE4 1A3          | CUSIP: 07388AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19175338 | PA      | $18740974.30    | 0.01%             | 2036-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2847 FR 06/27 FIXED 3                  | CUSIP: 31329LEU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28404 | PA      | $28188.10       | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2003-A9                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2003 A9 A3             | CUSIP: 45660NSY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       377756 | PA      | $342022.40      | 0.00%             | 2033-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-7N                                                          | LEHMAN XS TRUST LXS 2005 7N 1A1B                           | CUSIP: 525221EN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4576 | PA      | $3820.47        | 0.00%             | 2035-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.8994 03/20/26-01/02/31 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $1396267.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4652 FR 02/46 FIXED 4                  | CUSIP: 3132A5EZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8702 | PA      | $8299.24        | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A7           | CUSIP: 93934FGF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       361568 | PA      | $342804.09      | 0.00%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2359                                                                 | FREDDIE MAC FHR 2359 ZB                                    | CUSIP: 3133TV5T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8921 | PA      | $9505.62        | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A3            | CUSIP: 68402BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2872179 | PA      | $1425042.35     | 0.00%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA 04/26 ZCP                         | CUSIP: ACI2WQ115<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1447600000 | PA      | $85339160.73    | 0.04%             | 2026-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7786 FN 01/54 FIXED 6                          | CUSIP: 3140QTUL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15209958 | PA      | $15716464.95    | 0.01%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                          | CHASEFLEX TRUST CFLX 2007 M1 2F4                           | CUSIP: 16165YAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3471467 | PA      | $2954033.63     | 0.00%             | 2037-08-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1984 FN 03/29 FIXED 3                          | CUSIP: 3138WBF26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30806 | PA      | $30306.64       | 0.00%             | 2029-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A R 144A         | CUSIP: 21056DAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16805731 | PA      | $7350974.67     | 0.00%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX4528 FR 02/55 FIXED 5                  | CUSIP: 31426AA65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        66160 | PA      | $65657.36       | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-R12                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M5            | CUSIP: 03072SXH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5609442 | PA      | $5180623.07     | 0.00%             | 2035-01-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A4         | CUSIP: 02146XAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2932674 | PA      | $1136477.76     | 0.00%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ8983 FR 11/54 FIXED 5                  | CUSIP: 3133D06U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       553671 | PA      | $546593.60      | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3142 FN 10/48 FIXED VAR                        | CUSIP: 3140X6P47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2715074 | PA      | $2591825.80     | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF1659 FN 10/55 FIXED 5                          | CUSIP: 3140BRZZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6325498 | PA      | $6275829.22     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8300 FR 02/53 FIXED 5.5                | CUSIP: 3132DWGH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60849534 | PA      | $61400458.39    | 0.03%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-CP1                                          | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 CP1 2A2          | CUSIP: 68402YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       631671 | PA      | $624495.44      | 0.00%             | 2037-03-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $86404.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 B2 144A       | CUSIP: 17329AAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30128300 | PA      | $25410506.49    | 0.01%             | 2060-09-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR13                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR13 A1           | CUSIP: 45661XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1107198 | PA      | $718962.20      | 0.00%             | 2036-07-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08792 FG 12/47 FIXED 3.5                | CUSIP: 3128MJ3A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2857689 | PA      | $2667565.12     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 13A1           | CUSIP: 07384MH39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       135190 | PA      | $132416.68      | 0.00%             | 2034-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2247 FR 01/55 FIXED 5.5                | CUSIP: 31427PP99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41945297 | PA      | $42895593.84    | 0.02%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 11/33 VAR                        | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      2848000 | PA      | $3185800.11     | 0.00%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8462 FR 09/54 FIXED 5.5                | CUSIP: 3132DWMK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       770371 | PA      | $774674.64      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2549 FN 03/46 FIXED 3.5                        | CUSIP: 31418BZP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18222 | PA      | $17087.19       | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 481420 GN 08/28 FIXED 6.1                        | CUSIP: 36209TYR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11920 | PA      | $12335.40       | 0.00%             | 2028-08-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5467 G2 09/48 FIXED 4.5                     | CUSIP: 36179UCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       804428 | PA      | $792449.05      | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA3 2A1A          | CUSIP: 93364AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1381493 | PA      | $1278501.69     | 0.00%             | 2047-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5853 FN 10/55 FIXED 5.5                        | CUSIP: 31418FQF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       875137 | PA      | $879821.05      | 0.00%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4940 FN 03/42 FIXED 3.5                        | CUSIP: 3138E9P20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14036 | PA      | $13287.93       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-142455.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2007-2                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2007 2 A3              | CUSIP: 9497EYAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4086869 | PA      | $4059544.80     | 0.00%             | 2037-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG REG COMMON STOCK USD.1                        | CUSIP: ACI09N1W4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |       245819 | NS      | $9585317.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ4295 FR 02/55 FIXED 5                  | CUSIP: 3142GUXZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2170504 | PA      | $2143447.24     | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR6 2A2           | CUSIP: 93363BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4365045 | PA      | $3978327.06     | 0.00%             | 2036-08-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $351005.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A YR 144A                          | CUSIP: ACI1746Z4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      1219000 | PA      | $2.12           | 0.00%             | 2054-10-29      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20300514                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $445436.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8309 FR 03/53 FIXED 6                  | CUSIP: 3132DWGS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19182083 | PA      | $19665851.41    | 0.01%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-C                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 C 1A3             | CUSIP: 059522AV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37096 | PA      | $32678.66       | 0.00%             | 2036-05-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-59                                                               | FANNIE MAE FNR 2010 59 SE                                  | CUSIP: 31398RNF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       350039 | PA      | $34162.34       | 0.00%             | 2040-06-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-37607539.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q62130 FG 03/49 FIXED 3.5                | CUSIP: 3132VNLL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2039171 | PA      | $1899396.58     | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-4                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 4 5A1            | CUSIP: 9393366R9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       859311 | PA      | $752168.99      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RONDA RMBS DAC 2025-1A                                                           | RONDA RMBS DESIGNATED ACTIVITY RONDA 2025 1A D 144A        | CUSIP: ACI34XFW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     10962000 | PA      | $12389972.68    | 0.01%             | 2075-10-28      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8532 FN 12/46 FIXED 4                          | CUSIP: 3138WJPS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22919 | PA      | $21957.18       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.00 9/15/23-29Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $41283524.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A5          | CUSIP: 12668BFE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41603 | PA      | $22667.44       | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3                      | DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1             | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21441905 | PA      | $16873374.99    | 0.01%             | 2047-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 12A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 12A A2 144A             | CUSIP: 01450DAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     27000000 | PA      | $25042500.00    | 0.01%             | 2037-07-15      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| CSWF 2021-SOP2                                                                   | CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A       | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       172647 | PA      | $169832.11      | 0.00%             | 2034-06-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2007-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 1A1              | CUSIP: 65106FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10498138 | PA      | $10212608.76    | 0.00%             | 2037-04-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| BOYCE PARK CLO LLC 2022-1A                                                       | BOYCE PARK CLO, LLC BOYCE 2022 1A A1R 144A                 | CUSIP: 103228AN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    104600000 | PA      | $104630867.46   | 0.05%             | 2035-04-21      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-7862082.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CLO V LTD                                                                 | ROMARK CLO LTD RMRK 2021 5A AR 144A                        | CUSIP: 77588PAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    110400000 | PA      | $110330184.14   | 0.05%             | 2035-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9486 FN 04/47 FIXED 4                          | CUSIP: 3138WKRG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51181 | PA      | $49098.23       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-70                                                               | FANNIE MAE FNR 2002 70 QZ                                  | CUSIP: 31392FCA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       771687 | PA      | $787646.91      | 0.00%             | 2032-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR2                                                | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR2 2A1A                | CUSIP: 23332QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17453042 | PA      | $11867548.36    | 0.01%             | 2036-10-19      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT2                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT2 M3           | CUSIP: 83611MGK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8802000 | PA      | $6894746.55     | 0.00%             | 2035-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S4                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S4 A5            | CUSIP: 466302AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35722802 | PA      | $31015743.75    | 0.01%             | 2036-12-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20300509                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $445744.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1            | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3105969 | PA      | $1197194.77     | 0.00%             | 2045-06-19      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2126 FN 10/44 FIXED 4.5                        | CUSIP: 3138Y3LG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9418 | PA      | $9158.28        | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-15                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 15 A6              | CUSIP: 12666UAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       112836 | PA      | $118930.91      | 0.00%             | 2046-10-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-PR1X                                                           | EUROSAIL PLC ESAIL 2007 PR1X A1 REGS                       | CUSIP: B299X1II0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      8208150 | PA      | $10820853.54    | 0.00%             | 2045-09-13      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4328 FN 06/47 FIXED 3.5                        | CUSIP: 3140GSY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       353491 | PA      | $329265.00      | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3814 FN 06/46 FIXED 3.5                        | CUSIP: 3140FBGY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       888916 | PA      | $832416.34      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BI0605 G2 07/48 FIXED 4                       | CUSIP: 3617H9U65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       518097 | PA      | $488115.88      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                              | NOMURA HOLDINGS INC SR UNSECURED 07/28 2.172               | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     51800000 | PA      | $49089017.47    | 0.02%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-67                                                               | FANNIE MAE FNR 2008 67 ZM                                  | CUSIP: 31397MCS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       803559 | PA      | $812611.53      | 0.00%             | 2038-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC5 A1           | CUSIP: 07384YMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20654 | PA      | $25590.24       | 0.00%             | 2033-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                              | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR               | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      8900000 | PA      | $9225740.00     | 0.00%             | 2032-06-07      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-WMC2                                 | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 WMC2 A2C          | CUSIP: 59020U6L4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21194710 | PA      | $3936735.16     | 0.00%             | 2037-03-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY5036 FN 03/45 FIXED 4                          | CUSIP: 3138YJS23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79506 | PA      | $75861.15       | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 15 3A                     | CUSIP: 12669FG80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       474783 | PA      | $436537.87      | 0.00%             | 2034-10-20      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-7                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 7 2A1            | CUSIP: 41161PGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       179880 | PA      | $175296.60      | 0.00%             | 2034-11-19      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2005-R10                                             | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R10 M4            | CUSIP: 03072SS97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14093000 | PA      | $13892062.01    | 0.01%             | 2036-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-RP5                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP5 PT 144A       | CUSIP: 17331EAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    242245763 | PA      | $199888824.78   | 0.09%             | 2076-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI1132 FR 03/54 FIXED 5                  | CUSIP: 3133W7HH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       293031 | PA      | $289408.48      | 0.00%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA3                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA3 3A4           | CUSIP: 74958TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        79668 | PA      | $61965.00       | 0.00%             | 2037-07-27      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    883000000 | PA      | $869128696.93   | 0.39%             | 2056-06-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PORSCHE INNOVATIVE LEASE OWNER TRUST 2024-1A                                     | PORSCHE INNOVATIVE LEASE OWNER PILOT 2024 1A A3 144A       | CUSIP: 73328AAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35313459 | PA      | $35381465.28    | 0.02%             | 2027-11-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M3            | CUSIP: 17307GP85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3900000 | PA      | $3707068.95     | 0.00%             | 2035-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.44 03/17/26-01/02/31 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-192069.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-2                                            | DEUTSCHE ALT A SECURITIES INC DBALT 2005 2 1A3             | CUSIP: 251510DK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1233467 | PA      | $1128900.38     | 0.00%             | 2035-04-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 A5 144A       | CUSIP: 173114AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148653813 | PA      | $140085065.21   | 0.06%             | 2070-03-01      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ7077 FR 10/54 FIXED 5.5                | CUSIP: 3133CX2J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       802029 | PA      | $806508.91      | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M6             | CUSIP: 126673YP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1019248 | PA      | $1011616.51     | 0.00%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2007-19                                          | COUNTRYWIDE HOME LOANS CWHL 2007 19 1A1                    | CUSIP: 12544PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20729326 | PA      | $7448090.35     | 0.00%             | 2037-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH2                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH2 A1 144A        | CUSIP: 12668JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4582214 | PA      | $4131268.00     | 0.00%             | 2037-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2026-CES1                                     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2026 CES1 A1A 144A     | CUSIP: 26846MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21167133 | PA      | $20980993.94    | 0.01%             | 2060-12-25      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4318 FN 01/49 FIXED 4                          | CUSIP: 3140JLYQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       641379 | PA      | $615391.48      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                                      | KUWAIT INTL BOND SR UNSECURED 144A 10/28 4.016             | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    200000000 | PA      | $197289720.00   | 0.09%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-2                                               | HOME EQUITY ASSET TRUST HEAT 2005 2 M6                     | CUSIP: 437084JV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4182014 | PA      | $4173572.93     | 0.00%             | 2035-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-D                                                | CPS AUTO TRUST CPS 2024 D A 144A                           | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2054531 | PA      | $2055061.10     | 0.00%             | 2028-06-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A3 3A1           | CUSIP: 161639BH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       228073 | PA      | $200454.89      | 0.00%             | 2037-12-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2019 RPL1 SA 144A         | CUSIP: 52473MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       301088 | PA      | $287951.04      | 0.00%             | 2058-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1657510.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.48100 10/29/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2838253.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                                | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2            | CUSIP: 81375WCT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       681686 | PA      | $626300.64      | 0.00%             | 2035-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2004-23XS                                            | STRUCTURED ASSET SECURITIES CO SASC 2004 23XS M1           | CUSIP: 86359BU74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       735649 | PA      | $769156.26      | 0.00%             | 2035-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-32CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 32CB 1A1         | CUSIP: 12667FP25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9257991 | PA      | $7527292.06     | 0.00%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2D           | CUSIP: 00075WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29228486 | PA      | $16351932.04    | 0.01%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6672 FR 01/53 FIXED 5.5                | CUSIP: 3133BUMV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       482030 | PA      | $486590.45      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260401                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-358178.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A R 144A         | CUSIP: 210928AL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45697598 | PA      | $20158905.70    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 1A             | CUSIP: 542514UG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5172002 | PA      | $4941937.05     | 0.00%             | 2046-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1989 FR 07/55 FIXED 5.5                | CUSIP: 31427PF74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       131356 | PA      | $132089.58      | 0.00%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A1 1A             | CUSIP: 59020UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       255451 | PA      | $226797.68      | 0.00%             | 2034-02-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-B                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 B A2              | CUSIP: 14320BAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     58800000 | PA      | $58806174.00    | 0.03%             | 2029-03-15      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0128 FN 11/34 FIXED VAR                        | CUSIP: 3140XFEA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10880290 | PA      | $10809552.88    | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2003-A1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2003 A1 A1              | CUSIP: 65535VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          451 | PA      | $451.28         | 0.00%             | 2033-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP1156 FN 01/50 FIXED 3.5                        | CUSIP: 3140K8JA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       276549 | PA      | $256405.28      | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM8015 FR 09/48 FIXED 4                  | CUSIP: 3131Y23Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8141 | PA      | $7811.03        | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB8753 FN 06/54 FIXED 5.5                        | CUSIP: 3140QUWP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77647 | PA      | $78080.81       | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 661646 FN 10/32 FLOATING VAR                     | CUSIP: 31391BBP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1474 | PA      | $1501.85        | 0.00%             | 2032-10-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M4              | CUSIP: 126670LS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11300000 | PA      | $11093339.94    | 0.00%             | 2036-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                              | SVB FINL TR COMMON STOCK UNIT                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |          500 | NS      | $236250.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0048 FR 09/55 FIXED 5                  | CUSIP: 3142J6BS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    137089128 | PA      | $135333918.30   | 0.06%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 621586 FN 12/31 FIXED 6.5                        | CUSIP: 31389CRF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15324 | PA      | $15848.17       | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                             | COLLEGE AVE STUDENT LOANS CASL 2023 B E 144A               | CUSIP: 19425MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4745525 | PA      | $5015170.24     | 0.00%             | 2054-06-25      | Fixed         | 10.12%                | No            |                  2 | On Loan: No      |
| NRZT 2019-5A                                                                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 5A B3 144A         | CUSIP: 64830MCU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34129745 | PA      | $32888395.21    | 0.01%             | 2059-08-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO 24-2A          | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 2A A 144A        | CUSIP: ACI2Q3MV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     78351955 | PA      | $90662634.70    | 0.04%             | 2034-05-15      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX4                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX4 M4           | CUSIP: 76110W6C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5403489 | PA      | $5348597.16     | 0.00%             | 2035-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-56065.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-HE1              | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE1 A4           | CUSIP: 04544RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4337556 | PA      | $4297708.39     | 0.00%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD1073 FN 06/46 FIXED 3.5                        | CUSIP: 3140F8FP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       116462 | PA      | $109211.23      | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB2 2A           | CUSIP: 17307GEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       142669 | PA      | $133613.53      | 0.00%             | 2034-03-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0353 FN 03/30 FIXED 4.5                        | CUSIP: 31417YMB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9323 | PA      | $9360.95        | 0.00%             | 2030-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-354769.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9800 FR 09/53 FIXED 6.5                | CUSIP: 3133KR3H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3508992 | PA      | $3633303.20     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX--0A08AGAD6-20380125                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-37408.15      | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD8529 FN 08/40 FIXED 4.5                        | CUSIP: 31418WPP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7803 | PA      | $7726.74        | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA1361 FN 04/55 FIXED VAR                        | CUSIP: 3140W1QP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29913718 | PA      | $30592979.33    | 0.01%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2005-AR35                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR35 2A1          | CUSIP: 45660L2H1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2043570 | PA      | $1474046.88     | 0.00%             | 2036-02-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A1            | CUSIP: 75116BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3574382 | PA      | $3012707.43     | 0.00%             | 2037-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB7989 FN 02/43 FIXED 4                          | CUSIP: 31417E2X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50605 | PA      | $48872.96       | 0.00%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1999-37                                                               | FANNIE MAE FNR 1999 37 F                                   | CUSIP: 31359V6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          161 | PA      | $161.11         | 0.00%             | 2029-06-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE2                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE2 A2C            | CUSIP: 784208AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8405875 | PA      | $1741535.00     | 0.00%             | 2036-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8446 FR 07/54 FIXED 5.5                | CUSIP: 3132DWL35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15409127 | PA      | $15500776.36    | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84111 FG 03/48 FIXED 3.5                | CUSIP: 3132L9R80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       818929 | PA      | $765972.09      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.79250 11/19/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-131474.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN1186 FR 12/34 FIXED 3                  | CUSIP: 3133G7J79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85779 | PA      | $82634.25       | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 3 2A3            | CUSIP: 68389BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18022788 | PA      | $8878353.59     | 0.00%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                                  | GAZPROM (GAZ CAPITAL SA) SR UNSECURED REGS 03/27 4.95      | CUSIP: ACI0T5G05<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     24600000 | PA      | $22140000.00    | 0.01%             | 2027-03-23      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A       | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1061138 | PA      | $1029530.97     | 0.00%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6915 FN 09/26 FIXED 3.5                        | CUSIP: 3138WGVH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3514 | PA      | $3500.09        | 0.00%             | 2026-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SIERRA HAMILTON HOLDINGS LLC                                                     | SIERRA HAMILTON HOLDER LLC                                 | CUSIP: 932BTZ902<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     15369768 | NS      | $1536.98        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $247305.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                               | ALTICE FRANCE SA 2025 TERM LOAN B13                        | CUSIP: BA000QF03<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |    112190496 | PA      | $111699662.28   | 0.05%             | 2029-05-14      | Floating      | 9.05%                 | No            |                  2 | On Loan: No      |
| PRET 2026-RPL1 TRUST                                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 RPL1 A1 144A      | CUSIP: 69393EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90358663 | PA      | $87636084.29    | 0.04%             | 2070-01-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6171 FN 02/48 FIXED 3.5                        | CUSIP: 3140H72D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       394564 | PA      | $367200.82      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE0575 FN 05/55 FIXED 5                          | CUSIP: 3140BCT93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2911255 | PA      | $2878399.93     | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TESLA ELECTRIC VEHICLE TRUST 2023-1                                              | TESLA ELECTRIC VEHICLE TRUST TEVT 2023 1 A3 144A           | CUSIP: 881943AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33346407 | PA      | $33584073.21    | 0.01%             | 2028-06-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3057 FN 07/47 FIXED 3.5                        | CUSIP: 31418CMF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       142875 | PA      | $132837.29      | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2105225.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2006-OPT1                                             | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT1 M2           | CUSIP: 40430HDF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4903796 | PA      | $4763441.15     | 0.00%             | 2035-12-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-5390426.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08653 FG 07/45 FIXED 3                  | CUSIP: 3128MJWP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16740 | PA      | $15229.05       | 0.00%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6314 FN 12/45 FIXED 4                          | CUSIP: 3138WGAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93842 | PA      | $90353.11       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-33                                                               | FANNIE MAE FNR 2002 33 A1                                  | CUSIP: 31392DGS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45200 | PA      | $45684.89       | 0.00%             | 2032-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4876 FN 12/52 FIXED 6                          | CUSIP: 31418EM23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       783598 | PA      | $806338.71      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ7357 FN 11/45 FIXED 4.5                        | CUSIP: 3140E0E76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13681 | PA      | $13517.13       | 0.00%             | 2045-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-9                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 9 1A3 144A        | CUSIP: 17313NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3627158 | PA      | $1841311.37     | 0.00%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260410                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $1337559.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES3                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES3 A1A 144A        | CUSIP: 749420AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36918282 | PA      | $37151192.17    | 0.02%             | 2055-03-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6685 FN 05/46 FIXED 3.5                        | CUSIP: 3140F2NB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11724 | PA      | $11233.30       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH6742 G2 07/48 FIXED 4                       | CUSIP: 3617H4P39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       585048 | PA      | $552243.79      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TAUPE FUNDING TRUST I 2024-1A                                                    | TAUPE FUNDING TRUST TAUPE 2024 1A R 144A                   | CUSIP: 876692AF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        95000 | PA      | $18598006.84    | 0.01%             | 2031-08-20      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3012 FN 09/55 FIXED VAR                        | CUSIP: 3140W3K24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13007940 | PA      | $13309979.01    | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET J                                      | CUSIP: ACI01UGU4<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46860 FG 03/47 FIXED 3                  | CUSIP: 3132WLTS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37922 | PA      | $34271.00       | 0.00%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2265 FR 04/54 FIXED 5                  | CUSIP: 31427PQT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1805444 | PA      | $1785069.36     | 0.00%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-SP1                                                             | RAAC SERIES RAAC 2006 SP1 M1                               | CUSIP: 76112B3F5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       771550 | PA      | $765540.71      | 0.00%             | 2045-09-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB9484 FN 11/54 FIXED 5.5                        | CUSIP: 3140QVRE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36204972 | PA      | $36915038.71    | 0.02%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1605 FR 01/55 FIXED 5.5                | CUSIP: 31427NYB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    107737655 | PA      | $109690646.25   | 0.05%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA12                                             | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA12 1A1         | CUSIP: 32051GQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48494 | PA      | $34289.62       | 0.00%             | 2036-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CC0277 FN 04/55 FIXED 6.5                        | CUSIP: 3140Y6JX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19722737 | PA      | $20792450.27    | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                                   | URSA RE II LTD UNSECURED 144A 12/29 VAR                    | CUSIP: 91734PAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      3200000 | PA      | $3177280.00     | 0.00%             | 2029-12-07      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A2             | CUSIP: 78420MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12606720 | PA      | $11816821.58    | 0.01%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN                               | DEVELOPMENT BANK OF KAZA SR UNSECURED 144A 10/28 18.4      | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |   1337000000 | PA      | $2874597.67     | 0.00%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J3                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J3 1A5           | CUSIP: 12667GDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       393944 | PA      | $308805.72      | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRIME PROPERTY FUND LLC                                                          | PRIME PROPERTY 5YR                                         | CUSIP: 954VLXII5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34500000 | PA      | $34541647.71    | 0.02%             | 2029-09-30      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-6AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 6AR 5A1            | CUSIP: 61748HMR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62107 | PA      | $21964.13       | 0.00%             | 2035-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6093 FN 09/53 FIXED 6.5                        | CUSIP: 3140NNXX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       268993 | PA      | $278425.68      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ5774 FR 01/56 FIXED 5.5                | CUSIP: 3142GWMY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9015300 | PA      | $9156112.42     | 0.00%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 8 M7 144A          | CUSIP: 1266735J7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9836000 | PA      | $9185600.39     | 0.00%             | 2035-12-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8326 FN 11/46 FIXED 4                          | CUSIP: 3138WJHC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48611 | PA      | $46648.09       | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8156 FN 02/47 FIXED 4                          | CUSIP: 3140FUB23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67112 | PA      | $64205.10       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                                         | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A3 144A      | CUSIP: 83611DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58097718 | PA      | $15363848.54    | 0.01%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED 144A 01/30 2.085                    | CUSIP: ACI22XZ08<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     27600000 | PA      | $29934913.29    | 0.01%             | 2030-01-19      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 846877 FH 03/31 FLOATING VAR             | CUSIP: 3128HDUA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2560 | PA      | $2578.44        | 0.00%             | 2031-03-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ8325 FN 12/26 FIXED 3                          | CUSIP: 3138E1HB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          744 | PA      | $740.18         | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                                | CIM TRUST CIM 2024 R1 M2 144A                              | CUSIP: 17179VAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17790000 | PA      | $15903091.20    | 0.01%             | 2064-06-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM1                                                     | ACE SECURITIES CORP. ACE 2006 FM1 A2C                      | CUSIP: 00441VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9241715 | PA      | $2250472.24     | 0.00%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  22312860000 | PA      | $23064434327.30 | 10.26%            | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                                           | CHASEFLEX TRUST CFLX 2007 3 2A1                            | CUSIP: 16165AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8000784 | PA      | $7099107.29     | 0.00%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1015 FN 10/46 FIXED 3.5                        | CUSIP: 3140FLDV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       129739 | PA      | $122893.24      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                                       | HELLENIC REPUBLIC SR UNSECURED 144A REGS 04/27 2           | CUSIP: ACI1LSSZ1<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     29093000 | PA      | $33503066.27    | 0.01%             | 2027-04-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.30000 09/25/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $934231.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM 34 LTD                                                                       | LCM LTD PARTNERSHIP LCM 34A A1R 144A                       | CUSIP: 50203CAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1300000 | PA      | $1301512.93     | 0.00%             | 2034-10-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX9932 FR 04/55 FIXED 6.5                | CUSIP: 31426HBA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1995884 | PA      | $2066003.40     | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2019-RPL7                                                            | CSMCM TRUST CERTIFICATES CSMCM 2019 RPL7 CERT 144A         | CUSIP: 12658TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25583328 | PA      | $20965368.09    | 0.01%             | 2059-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | REPUBLIC OF TURKIYE SR UNSECURED 03/30 5.25                | CUSIP: 900123CY4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    211900000 | PA      | $202714579.99   | 0.09%             | 2030-03-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4926                                                          | FREDDIE MAC FHR 4926 MT                                    | CUSIP: 3137FPMZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3694803 | PA      | $3865124.19     | 0.00%             | 2049-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-B                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 B 2A2            | CUSIP: 06050HD39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        57663 | PA      | $55329.79       | 0.00%             | 2033-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR19 A7           | CUSIP: 929227ZT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23117 | PA      | $22838.91       | 0.00%             | 2033-02-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-6                                            | DEUTSCHE ALT A SECURITIES INC DBALT 2005 6 2A2             | CUSIP: 251510KG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1073336 | PA      | $917095.47      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-18                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 18 1A2            | CUSIP: 863579FR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14950 | PA      | $13601.09       | 0.00%             | 2034-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08779 FG 09/47 FIXED 3.5                | CUSIP: 3128MJ2M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53150 | PA      | $49224.48       | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-3                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 3 8A4             | CUSIP: 576433LK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        85424 | PA      | $82732.92       | 0.00%             | 2034-05-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                    | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    577600000 | PA      | $12945684.77    | 0.01%             | 2028-09-06      | Fixed         | 39.28%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ6945 FR 11/55 FIXED 5                  | CUSIP: 31427GWF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1828824 | PA      | $1805628.56     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9355 FN 01/27 FIXED 3                          | CUSIP: 3138E2MD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5687 | PA      | $5654.30        | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-ASAP6                     | ACE SECURITIES CORP. ACE 2006 ASP6 A2B                     | CUSIP: 00443KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7009255 | PA      | $2200584.47     | 0.00%             | 2036-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1997-1                                                 | CONSECO FINANCIAL CORP GT 1997 1 M1                        | CUSIP: 393505SK9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        88045 | PA      | $88233.69       | 0.00%             | 2028-03-15      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2024-3A                                            | ROMARK CREDIT FUNDING I, LTD. RCF 2024 3A A 144A           | CUSIP: 77587BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     27400000 | PA      | $27438140.80    | 0.01%             | 2042-09-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6489 FN 01/47 FIXED 4.5                        | CUSIP: 3140FSF73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20709 | PA      | $20360.10       | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1                                    | STRUCTURED ASSET INVESTMENT LO SAIL 2006 1 A4              | CUSIP: 86358EA97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27364285 | PA      | $26076814.88    | 0.01%             | 2036-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A              | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7657489 | PA      | $7193694.34     | 0.00%             | 2036-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-RIVR                                      | GS MORTGAGE SECURITIES TRUST GSMS 2018 RIVR A 144A         | CUSIP: 36255WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6688480 | PA      | $4414195.86     | 0.00%             | 2035-07-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-399036.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GALAXY XXII CLO LTD 2016-22A                                                     | GALAXY CLO LTD GALXY 2016 22A AR4 144A                     | CUSIP: 36320TBM4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     30600000 | PA      | $30587963.49    | 0.01%             | 2034-04-16      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2007-1                                                 | IMPAC SECURED ASSETS CORP. IMSA 2007 1 A3                  | CUSIP: 452559AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22468597 | PA      | $20149851.67    | 0.01%             | 2037-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2F           | CUSIP: 17309BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10719251 | PA      | $3753672.81     | 0.00%             | 2036-05-25      | Variable      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $44654828.54    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.52 03/09/26-01/02/31 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-655851.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M3           | CUSIP: 17313CAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6302000 | PA      | $5847168.91     | 0.00%             | 2037-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-2NU                    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 2NU A 144A       | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15870000 | PA      | $14730070.60    | 0.01%             | 2040-01-05      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-873236.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R5                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R5 M5             | CUSIP: 03072SE68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9062875 | PA      | $8863534.94     | 0.00%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5235 FN 01/48 FIXED 3.5                        | CUSIP: 3140H6Y94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       206296 | PA      | $191645.77      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD1703 FR 09/52 FIXED 5                  | CUSIP: 3132DN3L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2492671 | PA      | $2472089.02     | 0.00%             | 2052-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                                   | URSA RE II LTD UNSECURED 144A 06/28 VAR                    | CUSIP: 91734PAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     17200000 | PA      | $17365980.00    | 0.01%             | 2028-06-07      | Floating      | 11.41%                | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A4          | CUSIP: 92922F3J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1287156 | PA      | $1186414.10     | 0.00%             | 2035-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6974 FN 04/55 FIXED 5                          | CUSIP: 3140B7XC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3079514 | PA      | $3040966.48     | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1421 FN 04/37 FIXED VAR                        | CUSIP: 3140XGSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10870562 | PA      | $10434060.30    | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2936 FN 09/44 FIXED 4                          | CUSIP: 3138Y4HN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1265 | PA      | $1220.49        | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 26-NPL2                                     | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL2 A1 144A      | CUSIP: 69393DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43972394 | PA      | $43659297.36    | 0.02%             | 2056-02-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| SRT ISSUER I LLC 2025-1                                                          | SRT ISSUER SRTI 2025 1 A2A 144A                            | CUSIP: 78475KAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    136738000 | PA      | $137028086.93   | 0.06%             | 2031-10-01      | Floating      | 7.11%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-31                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 31 1A1           | CUSIP: 12667GYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2943020 | PA      | $2868098.97     | 0.00%             | 2035-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19144488000 | PA      | $19486842752.67 | 8.67%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TARANIS REINSURANCE DESIGNATED ACTIVITY COMPANY                                  | TARANIS REINSURANCE DAC TARANIS REINSURANCE DAC            | CUSIP: ACI2LHCP2<br>LEI: 635400FQ9HHTLYKADZ22 | Long             | DBT              | CORP              | IE        |     13300000 | PA      | $15724845.23    | 0.01%             | 2028-01-21      | Floating      | 8.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3773 FN 09/39 FIXED 4                          | CUSIP: 31418DFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       180431 | PA      | $176302.34      | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8644 G2 02/53 FIXED 3.5                     | CUSIP: 36179XS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       911255 | PA      | $846357.04      | 0.00%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 2A1             | CUSIP: 00703QAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3209866 | PA      | $201386.99      | 0.00%             | 2036-08-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5914 FN 04/49 FIXED VAR                        | CUSIP: 3140JASC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26601 | PA      | $24604.88       | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 2A3           | CUSIP: 542512AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32135845 | PA      | $10997034.10    | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $5184.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-118839.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-33                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 33 4A1           | CUSIP: 12667FA70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3058602 | PA      | $3086075.37     | 0.00%             | 2034-12-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W2                                                    | ARGENT SECURITIES INC. ARSI 2005 W2 M1                     | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        95943 | PA      | $95807.94       | 0.00%             | 2035-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 2A2           | CUSIP: 617487AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4039106 | PA      | $1109201.12     | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q56464 FG 06/48 FIXED 4                  | CUSIP: 3132Y0FE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17013 | PA      | $16323.89       | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-4                                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 4A B3 144A         | CUSIP: 64830WBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13599891 | PA      | $13305154.61    | 0.01%             | 2058-12-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A E                      | CUSIP: ACI2Q4KR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     28448000 | PA      | $32159128.94    | 0.01%             | 2067-08-22      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA12                                             | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA12 3A1         | CUSIP: 32051GQ99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       826382 | PA      | $673721.48      | 0.00%             | 2036-02-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR11 2A1          | CUSIP: 45669FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3866797 | PA      | $2169667.70     | 0.00%             | 2037-06-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO 36 LTD 2025-52A                                                     | SYMPHONY CLO LTD SYMP 2025 52A AR 144A                     | CUSIP: 87170MAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     86900000 | PA      | $86893432.10    | 0.04%             | 2036-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB8498 FN 07/54 FIXED 7                          | CUSIP: 3140AJNQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       740365 | PA      | $779814.16      | 0.00%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2078 FN 11/44 FIXED 4                          | CUSIP: 31418BJY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1134749 | PA      | $1093616.80     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GCCT-2021-1A                                                                     | GOLDEN CREDIT CARD TRUST GCCT 2021 1A A 144A               | CUSIP: 380881FB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179500000 | PA      | $177556571.45   | 0.08%             | 2028-08-15      | Fixed         | 1.14%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 6 1A1                  | CUSIP: 073868AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3649227 | PA      | $3376906.81     | 0.00%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1042 FN 10/53 FIXED 6.5                        | CUSIP: 3140A1EQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1356925 | PA      | $1405147.58     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 AFPT            | CUSIP: 617463AP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7530878 | PA      | $2451422.92     | 0.00%             | 2036-11-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-7                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 7 2AS2            | CUSIP: 86364DAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1428559 | PA      | $1347164.23     | 0.00%             | 2047-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-10379007.01   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.30000 12/02/24-4Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3577666.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT3                                               | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT3 M1           | CUSIP: 40430HFN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3865440 | PA      | $3795646.53     | 0.00%             | 2036-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-22T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 22T1 A4          | CUSIP: 12667GGR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1163221 | PA      | $617172.69      | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD6585 FR 10/54 FIXED 5.5                | CUSIP: 3132DUJ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       807027 | PA      | $811785.91      | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2654 FN 11/27 FIXED VAR                        | CUSIP: 3138EJ5Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44488 | PA      | $44130.32       | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR3270 FN 02/51 FIXED 2.5                        | CUSIP: 3140L1T47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3448584 | PA      | $2922158.09     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08856 FG 01/49 FIXED 3.5                | CUSIP: 3128MJ5S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4310993 | PA      | $4008562.82     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITT CAP I 2003-NC2                                          | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1           | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       162656 | PA      | $177577.96      | 0.00%             | 2033-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| ACRA TRUST 2024-NQM1                                                             | ACRA TRUST 2024 NQM1 ACRA 2024 NQM1 A1 144A                | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12608045 | PA      | $12649401.59    | 0.01%             | 2064-10-25      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO 2020-2 LTD                                                        | CARLYLE GLOBAL MARKET STRATEGI CGMS 2020 2A A1R2 144A      | CUSIP: 14315GAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     19200000 | PA      | $19161797.95    | 0.01%             | 2035-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 2A1                  | CUSIP: 125438AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       920843 | PA      | $802240.73      | 0.00%             | 2047-05-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                                 | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR               | CUSIP: 45833UAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     21550000 | PA      | $22185725.00    | 0.01%             | 2026-06-08      | Floating      | 20.74%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7970 FN 02/54 FIXED 5                          | CUSIP: 3140QT2C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       797935 | PA      | $796212.50      | 0.00%             | 2054-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO7259 FN 01/35 FIXED 3                          | CUSIP: 3140K3B50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74352 | PA      | $71654.49       | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-A                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 A A4             | CUSIP: 456606KU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17289816 | PA      | $15951788.33    | 0.01%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7678 FN 12/46 FIXED 2.5                        | CUSIP: 3140FFQ87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31942 | PA      | $27517.54       | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-46                                                               | FANNIE MAE FNR 2001 46 F                                   | CUSIP: 313920ZH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           33 | PA      | $32.85          | 0.00%             | 2031-09-18      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF6 A1 144A      | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7192965 | PA      | $7044567.94     | 0.00%             | 2064-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF2             | CUSIP: 75971EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12328819 | PA      | $3726373.23     | 0.00%             | 2036-11-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5001 FR 07/39 FIXED 3.5                | CUSIP: 3133KYRW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       567569 | PA      | $544278.42      | 0.00%             | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 09/21/26 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $337168.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SC0084 FR 10/40 FIXED 2.5                | CUSIP: 3132D9CV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48218442 | PA      | $43585188.25    | 0.02%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR2                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR2 A1A          | CUSIP: 93934FMN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21083871 | PA      | $19491693.34    | 0.01%             | 2046-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $807947.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ5633 FN 07/45 FIXED 3.5                        | CUSIP: 3138YXHK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       100649 | PA      | $94987.06       | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-57CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 57CB 3A7         | CUSIP: 12668AYN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2186954 | PA      | $941225.25      | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS B 144A                   | CUSIP: 90137LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11311000 | PA      | $10705154.56    | 0.00%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-15AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 15AR 5A1           | CUSIP: 61756XBT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3198454 | PA      | $2053071.57     | 0.00%             | 2037-12-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG3963 G2 06/48 FIXED 4                       | CUSIP: 3617GNML1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       412937 | PA      | $389787.40      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4506 FN 12/45 FIXED 4                          | CUSIP: 3140E9AG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1985479 | PA      | $1908794.07     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX9900 FR 04/55 FIXED 5.5                | CUSIP: 31426HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       323186 | PA      | $325404.89      | 0.00%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2024-2A                                                        | T MOBILE US TRUST TMUST 2024 2A A 144A                     | CUSIP: 87268CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29700000 | PA      | $29756438.91    | 0.01%             | 2029-05-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR             | CUSIP: 903724CF7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      3065463 | PA      | $1422374.83     | 0.00%             | 2035-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SEC 2006-7                                           | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 7 3A1            | CUSIP: 94982XAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30110 | PA      | $24653.47       | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A1             | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23899 | PA      | $23208.63       | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2147 FN 05/47 FIXED 4                          | CUSIP: 3140GQL53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33245 | PA      | $31933.19       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A2A1          | CUSIP: 939336X65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1419228 | PA      | $1383303.95     | 0.00%             | 2045-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-13R                                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 13R 3A2 144A        | CUSIP: 12642LBW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2399817 | PA      | $1547167.24     | 0.00%             | 2036-11-26      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/17/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2221149.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR4885 FN 01/43 FIXED 4                          | CUSIP: 3138W2NB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3123 | PA      | $3019.88        | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                     | DELOITTE LLP SR UNSEC A                                    | CUSIP: 958XFEII6<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |     37300000 | PA      | $37474536.77    | 0.02%             | 2030-01-30      | Fixed         | 5.25%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1599551.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4605 FN 02/48 FIXED 4                          | CUSIP: 3140H6DK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1323388 | PA      | $1268176.83     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2620 FN 08/47 FIXED 3.5                        | CUSIP: 3140GQ4E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2021275 | PA      | $1888207.74     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8514 FR 03/55 FIXED 5                  | CUSIP: 3132DWN74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     64862067 | PA      | $64033538.21    | 0.03%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD4011 FN 02/55 FIXED 5                          | CUSIP: 3140B4N55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       998032 | PA      | $985539.54      | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/29 0.25                                 | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1520872317 | PA      | $1479611081.38  | 0.66%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0TJA7 PIMCO FPPSWAPTION 2.17 CALL USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    141400000 | NC      | $2419269.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 475161 GN 06/28 FIXED 6.1                        | CUSIP: 36209LZ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11826 | PA      | $11884.00       | 0.00%             | 2028-06-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2023-CRE8                                                            | AREIT CRE TRUST AREIT 2023 CRE8 A 144A                     | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     11537487 | PA      | $11551968.06    | 0.01%             | 2041-08-17      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2918 FN 11/48 FIXED 3                          | CUSIP: 3140QAG46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       315477 | PA      | $283103.96      | 0.00%             | 2048-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS7 1A1           | CUSIP: 74923WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4913440 | PA      | $4107076.40     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2753 FN 06/45 FIXED 4.5                        | CUSIP: 3138YUBX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45241 | PA      | $44277.29       | 0.00%             | 2045-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4093                                                          | FREDDIE MAC FHR 4093 QZ                                    | CUSIP: 3137ASTB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6151056 | PA      | $5798501.64     | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.40000 04/09/25-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $600985.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.40694 07/06/26-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $463255.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2007-FA4                                            | FIRST HORIZON ALTERNATIVE MORT FHAMS 2007 FA4 1A8          | CUSIP: 32052WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        79623 | PA      | $25666.07       | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 C C               | CUSIP: 83407XAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13240000 | PA      | $13210934.23    | 0.01%             | 2034-10-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| ACORE ISSUER, LLC 26-FL1                                                         | ACORE ISSUER, LLC ACORE 2026 FL1 A 144A                    | CUSIP: 00485EAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    133800000 | PA      | $133717993.98   | 0.06%             | 2043-08-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M2             | CUSIP: 57643LNH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11909826 | PA      | $10847952.95    | 0.00%             | 2036-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A4           | CUSIP: 45660LQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3919081 | PA      | $2909829.54     | 0.00%             | 2035-08-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN1370 FR 01/35 FIXED 3                  | CUSIP: 3133G7QX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41598 | PA      | $39969.23       | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9036 FN 11/47 FIXED 4                          | CUSIP: 3140GYBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       292519 | PA      | $280312.35      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 2 C              | CUSIP: 80287JAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     79500000 | PA      | $80380995.15    | 0.04%             | 2030-12-16      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 6 M1               | CUSIP: 126670ZN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14410113 | PA      | $13664356.90    | 0.01%             | 2036-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MF4             | CUSIP: 126673JF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2442097 | PA      | $2094123.13     | 0.00%             | 2034-08-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 21CB A4          | CUSIP: 02147GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7015552 | PA      | $3569814.05     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-C                                                        | CENTEX HOME EQUITY CXHE 2004 C M3                          | CUSIP: 152314KT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       290046 | PA      | $283605.44      | 0.00%             | 2034-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4847 FN 11/52 FIXED 6                          | CUSIP: 31418EL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28983 | PA      | $29767.62       | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9722 G2 06/54 FIXED 4                       | CUSIP: 36179YYT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32433206 | PA      | $30547473.97    | 0.01%             | 2054-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.40750 09/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3220837.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 A1 144A         | CUSIP: 52474AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     78182022 | PA      | $78005588.35    | 0.03%             | 2058-02-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-3                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 3 3CB1           | CUSIP: 93934FNM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1682321 | PA      | $1477647.02     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2469 FR 09/55 FIXED 5.5                | CUSIP: 31427PW75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4552634 | PA      | $4642928.87     | 0.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $25309483.52    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2B               | CUSIP: 61750MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2480563 | PA      | $1042922.79     | 0.00%             | 2036-09-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL5                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL5 B2 144A        | CUSIP: 12655JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143652350 | PA      | $117424145.92   | 0.05%             | 2076-11-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 B2 144A       | CUSIP: 17329YAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23096400 | PA      | $17424102.00    | 0.01%             | 2061-05-01      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2 JUMBOS                                 | CUSIP: 21H020659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85000000 | PA      | $70194726.35    | 0.03%             | 2056-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1607 FN 08/47 FIXED 3.5                        | CUSIP: 3140H2YD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       347453 | PA      | $322339.60      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VB DPR FINANCE COMPANY                                                           | TURKIYE VAKIFLAR BANKASI TAO I 2024 EUR DDTL               | CUSIP: BA0008CR7<br>LEI: 549300Y3LKKHCL3AQW08 | Long             | LON              | CORP              | TR        |     20200000 | PA      | $23245901.74    | 0.01%             | 2028-12-15      | Floating      | 5.15%                 | No            |                  3 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                                       | ARES CLO LTD ARES 2017 44A A1RR 144A                       | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    124950000 | PA      | $125082825.60   | 0.06%             | 2034-04-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SPIRIT AIRLINES PASS THROUGH TRUST 2017-1AA                                      | SPIRIT AIR 2017 1 PTT AA PASS THRU CE 08/31 3.375          | CUSIP: 84858WAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       115228 | PA      | $107867.01      | 0.00%             | 2031-08-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                                 | WESTMORELAND COAL CO PIK TERM LOAN                         | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      4133617 | PA      | $1798123.49     | 0.00%             | 2029-03-15      | Fixed         | 7.92%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8506 FR 02/55 FIXED 5.5                | CUSIP: 3132DWNX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69821592 | PA      | $70211627.84    | 0.03%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.54700 03/09/23-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-7039642.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-11                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 11 M4              | CUSIP: 126673LU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4674129 | PA      | $4611731.25     | 0.00%             | 2035-01-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A2             | CUSIP: 576433C53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       584077 | PA      | $521426.63      | 0.00%             | 2035-07-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.00000 12/21/22-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $217764253.38   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                                    | GSAA HOME EQUITY TRUST GSAA 2007 5 2A3A                    | CUSIP: 3622ECAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9771656 | PA      | $4222615.99     | 0.00%             | 2047-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                          | 83208D9A7 SMB 2026 B A1A 144A                              | CUSIP: 990ACZVA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    846024000 | PA      | $840913456.66   | 0.37%             | 2054-03-11      | Fixed         | 4.85%                 | No            |                  3 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 M1 144A        | CUSIP: 12662NAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33690800 | PA      | $24708704.69    | 0.01%             | 2061-05-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-108859.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA6849 FN 08/35 FIXED 3                          | CUSIP: 3140QETF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28106 | PA      | $27061.73       | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP2                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP2 PT 144A         | CUSIP: 12654QBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    450234173 | PA      | $448884685.68   | 0.20%             | 2050-06-01      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0696 FN 11/47 FIXED 4                          | CUSIP: 3140Q7X28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       119657 | PA      | $114700.75      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4886 FN 07/53 FIXED 5.5                        | CUSIP: 3140NMNC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       834468 | PA      | $841654.33      | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0978 FR 10/52 FIXED 5.5                | CUSIP: 3133BNCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4320286 | PA      | $4357531.37     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MEDIAPRO (SUBCALIDORA 2 SARL)                                                    | SUBCALIDORA 2 2024 EUR TERM LOAN                           | CUSIP: BA0007DG2<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |    129849400 | PA      | $146699090.48   | 0.07%             | 2029-08-14      | Floating      | 7.88%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.67900 08/13/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1091186.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $689209.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-792045.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 1 1A1            | CUSIP: 073880AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2341272 | PA      | $2116526.27     | 0.00%             | 2047-02-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB5                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB5 2A1                  | CUSIP: 12669GY47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2872565 | PA      | $2695468.64     | 0.00%             | 2035-09-20      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVI LTD / PREFERRED TERM SECURITIES XXVI INC          | PREFERRED TERM SECS XXVI SR SECURED 144A 09/37 VAR         | CUSIP: 74042QAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |        64384 | PA      | $60843.27       | 0.00%             | 2037-09-22      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI1886 FN 05/41 FIXED 4.5                        | CUSIP: 3138AFCY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36042 | PA      | $35688.94       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2006-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 2 AF4             | CUSIP: 759676AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17328901 | PA      | $6104679.12     | 0.00%             | 2036-08-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $258533.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A12             | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       148497 | PA      | $74685.85       | 0.00%             | 2046-10-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ2636 FR 10/54 FIXED 5                  | CUSIP: 3142GS4W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       190868 | PA      | $188420.58      | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR1                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR1 3A           | CUSIP: 76112BKN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       166837 | PA      | $152082.27      | 0.00%             | 2035-03-18      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/32 0.125                                | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100777880 | PA      | $92777868.86    | 0.04%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 1A1            | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86587507 | PA      | $52519765.21    | 0.02%             | 2037-05-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2007-3XS                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 3XS 2A6            | CUSIP: 61752RAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6846779 | PA      | $1914694.33     | 0.00%             | 2047-01-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-5591.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 28 LTD                                                     | ANCHORAGE CAPITAL CLO LTD ANCHC 2024 28A A1R 144A          | CUSIP: 03330RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    135200000 | PA      | $134890755.69   | 0.06%             | 2037-04-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 1A              | CUSIP: 86359BFY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       191827 | PA      | $183000.28      | 0.00%             | 2034-02-25      | Variable      | 5.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-17CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 17CB 3A1         | CUSIP: 12667FNY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1311400 | PA      | $1253498.58     | 0.00%             | 2034-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2994 FN 05/47 FIXED 3.5                        | CUSIP: 31418CKG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1021069 | PA      | $954901.79      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83497 FG 10/47 FIXED 3.5                | CUSIP: 3132L83E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67119 | PA      | $62653.01       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8760 FN 02/42 FIXED 4                          | CUSIP: 3138ANWW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54843 | PA      | $52998.47       | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 1A1          | CUSIP: 83613DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1213902 | PA      | $1092296.63     | 0.00%             | 2037-07-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M4            | CUSIP: 04542BKV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1538840 | PA      | $1431472.08     | 0.00%             | 2035-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0966 FN 11/47 FIXED 3.5                        | CUSIP: 3140H2CC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       540973 | PA      | $502564.41      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-5                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 5 A 144A          | CUSIP: 69544LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3559850 | PA      | $3566619.88     | 0.00%             | 2031-10-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                              | ELEVATION CLO LTD AWPT 2018 3A A2R2 144A                   | CUSIP: 28623VAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8500000 | PA      | $8507143.49     | 0.00%             | 2035-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $590506.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1422 FN 04/37 FIXED VAR                        | CUSIP: 3140XGSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19089993 | PA      | $18282756.39    | 0.01%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-5                                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 5 1A4             | CUSIP: 05950NAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1269095 | PA      | $1079161.08     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889466 FN 05/38 FIXED VAR                        | CUSIP: 31410KFF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       679297 | PA      | $713039.29      | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                            | MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 2B 144A          | CUSIP: 61759FAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2412930 | PA      | $1634734.07     | 0.00%             | 2036-07-26      | Floating      | 12.17%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-28                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 28 A1                     | CUSIP: 126694PF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30822 | PA      | $15695.85       | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABRT G                                      | CUSIP: ACI01UGV2<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GCAT 2024-NQM1 TRUST                                                             | GCAT GCAT 2024 NQM1 A1 144A                                | CUSIP: 36169HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9800666 | PA      | $9847753.90     | 0.00%             | 2059-01-25      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-16A                                              | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 16A AR 144A          | CUSIP: 04940AAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     78700000 | PA      | $78752271.75    | 0.04%             | 2034-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2167 FR 04/53 FIXED 5                  | CUSIP: 3133C2MQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       818721 | PA      | $813406.08      | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-WL3                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL3 1A           | CUSIP: 542514SS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11024743 | PA      | $10710347.72    | 0.00%             | 2036-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 1A4           | CUSIP: 93362FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33527 | PA      | $31898.02       | 0.00%             | 2046-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL10                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP10 B2 144A        | CUSIP: 12655BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    121190116 | PA      | $110707619.74   | 0.05%             | 2057-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TURKEY EM SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-468504.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0877 FN 05/46 FIXED 4                          | CUSIP: 3140EU6P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2438515 | PA      | $2342313.02     | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI0858 FN 12/41 FIXED 4                          | CUSIP: 3138AD5U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       526880 | PA      | $509157.13      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-9                                              | RBSSP RESECURITIZATION TRUST RBSSP 2009 9 1A2 144A         | CUSIP: 74928QAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4140844 | PA      | $2692081.41     | 0.00%             | 2036-03-26      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0885 FN 06/39 FIXED VAR                        | CUSIP: 3138EG6X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7613 | PA      | $7962.65        | 0.00%             | 2039-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S1 2A22                | CUSIP: 46630RBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       338380 | PA      | $116280.29      | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING LTD 2024-1A                                           | PALMER SQUARE LOAN FUNDING LTD PSTAT 2024 1A A1R 144A      | CUSIP: 69703NAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     33865471 | PA      | $33859981.07    | 0.02%             | 2032-10-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.3* 07/20/23-8Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $22799954.21    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-EC1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 EC1 M3           | CUSIP: 07387UAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3228450 | PA      | $3214243.35     | 0.00%             | 2035-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/46 FIXED 3        | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      4580000 | PA      | $4189201.88     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $194345.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKIN MORTGAGE LOAN TRUST 2006-FF6                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF6 M1             | CUSIP: 31561EAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9022955 | PA      | $8759845.90     | 0.00%             | 2036-04-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-30                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 30 A5                     | CUSIP: 126694TU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       601617 | PA      | $345215.42      | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHSTA 1A Y                                                 | CUSIP: 964DHA907<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         8950 | PA      | $42473539.12    | 0.02%             | 2046-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-1439638.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7517 FN 01/27 FIXED 3                          | CUSIP: 3138E0K73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2635 | PA      | $2615.73        | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL2                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL2 A1A 144A    | CUSIP: 161930AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32921431 | PA      | $29283244.39    | 0.01%             | 2064-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2004-BC5                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 BC5 M7             | CUSIP: 126673PU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       570207 | PA      | $565964.62      | 0.00%             | 2034-10-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-G                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 G A2                 | CUSIP: 59020UPA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1180 | PA      | $1152.53        | 0.00%             | 2030-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260528                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-119433.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6844 FR 07/53 FIXED 5                  | CUSIP: 3133C7S99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       399380 | PA      | $394872.93      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3986 FN 04/35 FIXED 3.5                        | CUSIP: 31418DNC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13712 | PA      | $13279.30       | 0.00%             | 2035-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 480324 GN 01/29 FIXED 6.49                       | CUSIP: 36209SSM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10491 | PA      | $10717.21       | 0.00%             | 2029-01-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 2A1            | CUSIP: 07384MW65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       487958 | PA      | $448938.18      | 0.00%             | 2034-09-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY44 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $2200785.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX4866 FR 02/55 FIXED 7                  | CUSIP: 31426AMQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7276196 | PA      | $7650449.54     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A4             | CUSIP: 55275RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6051959 | PA      | $2887613.42     | 0.00%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-NC3                                              | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC3 A3            | CUSIP: 144528AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3585817 | PA      | $3498152.55     | 0.00%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2001-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2001 AR5 1A            | CUSIP: 22540VLE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60782 | PA      | $60209.41       | 0.00%             | 2039-12-19      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1269 FR 12/55 FIXED 5                  | CUSIP: 3142JPMT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8613326 | PA      | $8502600.47     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2014-8R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 8R 2A2 144A         | CUSIP: 12648VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       849916 | PA      | $817703.62      | 0.00%             | 2037-07-27      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-35399416.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6711 G2 06/50 FIXED 3.5                     | CUSIP: 36179VN48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1653117 | PA      | $1542000.49     | 0.00%             | 2050-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A2          | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10097323 | PA      | $6815323.23     | 0.00%             | 2037-06-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/20/23-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-35008539.15   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $402733.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6948 FR 02/53 FIXED 5.5                | CUSIP: 3133BUWH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49817 | PA      | $50156.76       | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8193 FR 11/55 FIXED 5                  | CUSIP: 31427JC71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4044817 | PA      | $3997361.91     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-NC3                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 NC3 A2B           | CUSIP: 81377CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3681198 | PA      | $1217065.47     | 0.00%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.0* 9/22/23-29Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $40951660.88    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-OPT1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 OPT1 A2D          | CUSIP: 59022VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       971000 | PA      | $844798.84      | 0.00%             | 2037-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R3                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 R3 AF 144A                | CUSIP: 126694JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       350910 | PA      | $296204.38      | 0.00%             | 2035-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 M2 144A       | CUSIP: 17329YAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44368800 | PA      | $34185556.98    | 0.02%             | 2061-05-01      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.35 03/09/26-01/02/31 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-448075.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-87                                                               | FANNIE MAE FNR 2009 87 HS                                  | CUSIP: 31398FR45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       319900 | PA      | $27104.61       | 0.00%             | 2039-11-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| PFP 2025-12 LTD                                                                  | PFP III PFP 2025 12 A 144A                                 | CUSIP: 69382JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4260000 | PA      | $4260438.65     | 0.00%             | 2042-12-18      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5586 FR 06/53 FIXED 5.5                | CUSIP: 3133C6F38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1885143 | PA      | $1901633.87     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $5084379.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR5                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR5 2A1           | CUSIP: 45661ECM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6713849 | PA      | $6525939.67     | 0.00%             | 2036-05-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX8865 FR 03/55 FIXED 5                  | CUSIP: 31426FZ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27614 | PA      | $27260.59       | 0.00%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY3691 FR 05/55 FIXED 5                  | CUSIP: 31426NC57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9058034 | PA      | $8943487.50     | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $492.60         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-423864.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-161290.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DG0903 FN 01/56 FIXED 5                          | CUSIP: 3140U4AD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11492811 | PA      | $11343329.51    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $263780.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1125925.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY3                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY3 4A1                   | CUSIP: 12544WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2101522 | PA      | $2085601.12     | 0.00%             | 2047-06-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-80146.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DUKE FUNDING LTD 2005-HG3A                                                       | DUKE FUNDING LTD DUKEF 2005 HG3A A1B1 144A                 | CUSIP: 2644EPAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    776047403 | PA      | $5584437.11     | 0.00%             | 2049-08-02      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08706 FG 05/46 FIXED 3.5                | CUSIP: 3128MJYC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6740 | PA      | $6322.91        | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST I 2025-3A                               | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2025 3A A1 144A         | CUSIP: 76090QAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8518138 | PA      | $8521499.48     | 0.00%             | 2026-07-27      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4623 FN 02/48 FIXED 4                          | CUSIP: 3140H6D55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6690836 | PA      | $6411668.75     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 2A4                 | CUSIP: 466247J79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1092345 | PA      | $940275.34      | 0.00%             | 2036-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/50 0.25                                 | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    207730089 | PA      | $117737286.85   | 0.05%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX3661 FR 01/55 FIXED 7                  | CUSIP: 31425YB71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6349522 | PA      | $6695128.09     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1248 FR 05/52 FIXED 4                  | CUSIP: 3133BAL58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7928224 | PA      | $7491835.81     | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3.5 JUMBOS                               | CUSIP: 21H032639<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    112463738 | PA      | $103205529.65   | 0.05%             | 2056-03-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-193373.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ1765 FR 06/54 FIXED 5.5                | CUSIP: 3142GR6B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27026924 | PA      | $27591661.52    | 0.01%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-4Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2161079.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL1 TRUST                                                             | ATLX TRUST ATLX 2024 RPL1 A1 144A                          | CUSIP: 049915AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3035266 | PA      | $2955216.45     | 0.00%             | 2064-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN6230 FN 04/49 FIXED 3.5                        | CUSIP: 3140JN4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       292001 | PA      | $271069.82      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL6                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL6 A2 144A        | CUSIP: 12654UAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1403329823 | PA      | $1291451037.29  | 0.57%             | 2058-07-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A A1 144A        | CUSIP: 21056DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       575408 | PA      | $576003.20      | 0.00%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2005-1                                                 | AEGIS ASSET BACKED SECURITIES AABST 2005 1 M6              | CUSIP: 00764MEQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2346649 | PA      | $1150447.72     | 0.00%             | 2035-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ4981 FR 07/55 FIXED 5                  | CUSIP: 3142GVRB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6939499 | PA      | $6852633.83     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60765 FG 11/46 FIXED 3                  | CUSIP: 31335AZ68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51911 | PA      | $46976.69       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 7A1             | CUSIP: 058928AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24962 | PA      | $22131.83       | 0.00%             | 2036-03-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2006-3                                   | AMERICAN HOME MORTGAGE INVESTM AHM 2006 3 11A1             | CUSIP: 026929AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4466689 | PA      | $3854970.66     | 0.00%             | 2046-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 962686 FN 04/38 FIXED 4.5                        | CUSIP: 31414C6X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4194 | PA      | $4149.79        | 0.00%             | 2038-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9386 FN 12/26 FIXED 3                          | CUSIP: 3138E2NC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          540 | PA      | $537.40         | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-883469.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $221.93         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 583050 FN 05/31 FIXED 6.5                        | CUSIP: 31387FWK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          374 | PA      | $390.00         | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A3            | CUSIP: 68403KAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3960835 | PA      | $2568078.95     | 0.00%             | 2037-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-22                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 22 5A1            | CUSIP: 863579G77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       126126 | PA      | $71567.28       | 0.00%             | 2035-12-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| KINBANE 2025-RPL 2 DAC  25-RPL2A                                                 | KINBANE DAC KINBN 2025 RPL2A A 144A                        | CUSIP: ACI30K8H9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     38065854 | PA      | $43985155.40    | 0.02%             | 2075-08-24      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO IV LTD                                                              | GREYWOLF CLO LTD GWOLF 2019 1A A1R2 144A                   | CUSIP: 39809TAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     38100000 | PA      | $38148877.35    | 0.02%             | 2034-04-17      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC3184 FN 09/54 FIXED 5.5                        | CUSIP: 3140AQRE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2955892 | PA      | $2972403.93     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS2248 FR 08/37 FIXED 6.5                | CUSIP: 3132A2P97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2309 | PA      | $2403.45        | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8409 FN 03/47 FIXED 4                          | CUSIP: 3140FUKX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       342867 | PA      | $328420.27      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.39000 10/01/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $3728886.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-1                                     | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 1 2A2             | CUSIP: 576433DC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       265152 | PA      | $260278.59      | 0.00%             | 2032-12-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08635 FG 04/45 FIXED 3                  | CUSIP: 3128MJV56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45736 | PA      | $41686.69       | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 2A1             | CUSIP: 007036HV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2225 | PA      | $2218.71        | 0.00%             | 2035-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 589499 FN 08/31 FIXED 6.5                        | CUSIP: 31387N3G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1355 | PA      | $1401.63        | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ6955 FR 11/55 FIXED 5                  | CUSIP: 31427GWR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3380036 | PA      | $3337166.54     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2012-8                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2012 8 3A2 144A        | CUSIP: 17319TAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2137428 | PA      | $2006562.33     | 0.00%             | 2037-09-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA5561 FN 04/50 FIXED 3.5                        | CUSIP: 3140QDFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20978464 | PA      | $19550893.20    | 0.01%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO2979 FN 05/42 FIXED 3.5                        | CUSIP: 3138LTJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       214329 | PA      | $202579.04      | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5668 FN 08/45 FIXED 4                          | CUSIP: 3138WFJN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       523362 | PA      | $503255.56      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-4                                          | THORNBURG MORTGAGE SECURITIES TMST 2004 4 2A               | CUSIP: 885220GD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3471150 | PA      | $3348271.00     | 0.00%             | 2044-12-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-11745899.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.8 11/28/25-01/02/31 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-40695775.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 2A1           | CUSIP: 021482AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       804823 | PA      | $339591.67      | 0.00%             | 2037-08-25      | Variable      | 10.71%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP BRC                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1.60           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.00000 09/17/25-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-32843244.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 2 A3               | CUSIP: 262103AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74300000 | PA      | $74261750.36    | 0.03%             | 2032-09-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3026 FN 06/47 FIXED 3.5                        | CUSIP: 31418CLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       487366 | PA      | $455481.40      | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C D 144A           | CUSIP: 83208DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     71359000 | PA      | $69026845.16    | 0.03%             | 2055-03-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-365794.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUX 3                                                              | LUXCO3 SHARES COMMON STOCK                                 | CUSIP: 929YHW907<br>LEI: N/A                  | Long             | EC               | CORP              | FR        |       536954 | NS      | $9930214.39     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4.5 JUMBOS                               | CUSIP: 21H042653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1739991000 | PA      | $1679096047.78  | 0.75%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1844 FN 11/47 FIXED 3.5                        | CUSIP: 3140H3BN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125906 | PA      | $116872.93      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6673 FN 02/46 FIXED 4                          | CUSIP: 3138WGMX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       204111 | PA      | $196184.81      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BPS                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-9679.83       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q012                | FHLMC MULTIFAMILY STRUCTURED P FHMS Q012 X                 | CUSIP: 3137FVNQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57621081 | PA      | $8244686.40     | 0.00%             | 2035-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5039 FN 01/53 FIXED 5.5                        | CUSIP: 3140N9S56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46415570 | PA      | $46813598.42    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-17071875.43   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-3                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 3 1CB3           | CUSIP: 9393365A7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2364930 | PA      | $1997500.36     | 0.00%             | 2035-05-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08631 FG 03/45 FIXED 3                  | CUSIP: 3128MJVZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20930 | PA      | $19100.89       | 0.00%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-15CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 15CB A5          | CUSIP: 02151CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       760173 | PA      | $417694.03      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR2                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR2 1A1          | CUSIP: 939336D42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       378678 | PA      | $385489.04      | 0.00%             | 2033-05-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.6* 08/05/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $15839096.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-SHL1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 A 144A       | CUSIP: 17312WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6012186 | PA      | $5964408.08     | 0.00%             | 2046-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2003-A                                                  | EMC MORTGAGE LOAN TRUST EMCM 2003 A A1 144A                | CUSIP: 268668BS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       209809 | PA      | $212527.25      | 0.00%             | 2040-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| YELLOW TULIP BIDCO BV                                                            | YELLOW TULIP BIDCO B.V. GALIBIER BIDCO PPN                 | CUSIP: ACI2QBLH8<br>LEI: 7245007F7OM6G569EP33 | Long             | DBT              | CORP              | NL        |     47123000 | PA      | $16182985.51    | 0.01%             | 2036-07-30      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-4                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 4 CB11           | CUSIP: 9393366F5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24975 | PA      | $23131.33       | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD1818 FR 10/52 FIXED 4                  | CUSIP: 3132DPAT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26262 | PA      | $24909.66       | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2012-3                                                         | JP MORGAN REREMIC JPMRR 2012 3 A9 144A                     | CUSIP: 46637RAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6535114 | PA      | $6417807.36     | 0.00%             | 2036-11-26      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0468 FN 10/46 FIXED 3                          | CUSIP: 3140FKQW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10690 | PA      | $9668.42        | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3008 FN 11/47 FIXED 3.5                        | CUSIP: 3140H4KW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41252 | PA      | $38442.40       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP3 PT 144A       | CUSIP: 173112AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    894567106 | PA      | $730133863.39   | 0.32%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-3                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 3 8A3             | CUSIP: 576433LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       142331 | PA      | $137846.32      | 0.00%             | 2034-05-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $819153.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1466 FN 09/40 FIXED 4.5                        | CUSIP: 31416WTY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       236253 | PA      | $233939.51      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 WF2 M4            | CUSIP: 86359DDE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       446856 | PA      | $448263.51      | 0.00%             | 2035-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $533754.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/28 0.75                                 | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    351369190 | PA      | $350439555.32   | 0.16%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                          | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1            | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4847759 | PA      | $4540382.02     | 0.00%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9427 FN 03/53 FIXED 5.5                        | CUSIP: 3140NEPM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1178316 | PA      | $1194101.78     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-EQ1A                                              | STRUCTURED ASSET SECURITIES CO SASC 2006 EQ1A M1 144A      | CUSIP: 86360RAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21588944 | PA      | $22318274.96    | 0.01%             | 2036-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE10                             | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE10 M2          | CUSIP: 073879X45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18898992 | PA      | $19664540.65    | 0.01%             | 2035-11-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 2A1          | CUSIP: 02150JAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2663419 | PA      | $1062752.54     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0808 FN 05/40 FIXED VAR                        | CUSIP: 3138EG3S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1413 | PA      | $1480.83        | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-RP5                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP5 SA 144A       | CUSIP: 17331EAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       496089 | PA      | $466774.78      | 0.00%             | 2076-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-AR3                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR3 A4           | CUSIP: 94983UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55859 | PA      | $50017.25       | 0.00%             | 2037-04-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A BR 144A                          | CUSIP: ACI1746S0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     52929000 | PA      | $59709724.40    | 0.03%             | 2054-10-29      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60240 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $100254.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2026-RCF2 TRUST 2026-RCF2                                                   | PRESTON RIDGE PARTNERS MORTGAG PRPM 2026 RCF2 A1 144A      | CUSIP: 74449JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31500000 | PA      | $31652926.20    | 0.01%             | 2056-03-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-HE3                                     | MASTR ASSET BACKED SECURITIES MABS 2006 HE3 A2             | CUSIP: 57645JAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9664037 | PA      | $2726165.84     | 0.00%             | 2036-08-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4018 FN 12/46 FIXED 3.5                        | CUSIP: 3140FPPC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       445713 | PA      | $415544.05      | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17                            | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 A 144A        | CUSIP: 55287HAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    110200000 | PA      | $109914994.15   | 0.05%             | 2040-02-18      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                           | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A1            | CUSIP: 84751NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4830219 | PA      | $3913447.44     | 0.00%             | 2037-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1464 FN 01/32 FIXED VAR                        | CUSIP: 3138EHTW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3562 | PA      | $3560.81        | 0.00%             | 2032-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q41020 FG 06/46 FIXED 3                  | CUSIP: 3132WED25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4726404 | PA      | $4276451.44     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA3708 FN 10/53 FIXED 6.5                        | CUSIP: 3140A4DN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1923803 | PA      | $1998306.54     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 946318 FN 09/37 FIXED 6.5                        | CUSIP: 31413HYP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          123 | PA      | $128.95         | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A2 144A       | CUSIP: 64830NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9300000 | PA      | $8671510.65     | 0.00%             | 2059-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 4A1                 | CUSIP: 466247TZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        92111 | PA      | $90406.07       | 0.00%             | 2035-09-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.00000 06/15/22-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $72939099.24    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 05/27 41                     | CUSIP: ACI2X3644<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   9370000000 | PA      | $211252749.18   | 0.09%             | 2027-05-05      | Fixed         | 41.00%                | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                                       | SANDSTONE PEAK LTD. SAND 2021 1A A1R2 144A                 | CUSIP: 800130BA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    127800000 | PA      | $127492129.80   | 0.06%             | 2038-04-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-HE4                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE4 A1            | CUSIP: 59023EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2364798 | PA      | $1367747.31     | 0.00%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC5564 FN 10/54 FIXED 5.5                        | CUSIP: 3140ATFE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1824748 | PA      | $1834941.63     | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-INV3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 INV3 PT 144A      | CUSIP: 17332ACD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61779740 | PA      | $64314118.08    | 0.03%             | 2054-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ9145 FR 11/55 FIXED 5                  | CUSIP: 31427KET8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2985719 | PA      | $2949505.68     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5879 FN 12/45 FIXED VAR                        | CUSIP: 3140JAQ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4377962 | PA      | $4221037.17     | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894221 FN 10/36 FIXED 6.5                        | CUSIP: 31410QPE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4707 | PA      | $4973.09        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 458403 GN 01/28 FIXED 6.49                       | CUSIP: 36208RGL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4195 | PA      | $4264.33        | 0.00%             | 2028-01-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-WF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 WF1 M5            | CUSIP: 863576FM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6352075 | PA      | $6341685.28     | 0.00%             | 2036-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 4A2          | CUSIP: 939355BR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2887900 | PA      | $2430001.18     | 0.00%             | 2047-04-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS INTERNATIONAL LP                                            | ALIGNED DATA CENTERS INTER LP 2024 TERM LOAN               | CUSIP: BA000JN59<br>LEI: 2549007PAQ06QVDCLR50 | Long             | LON              | CORP              | US        |    468600000 | PA      | $471642333.95   | 0.21%             | 2029-12-18      | Floating      | 7.22%                 | No            |                  3 | On Loan: No      |
| IFC EMERGING MARKETS SECURITIZATION 2025-1 LTD                                   | IFC EMERGING MARKETS SECURITIZ IFCEMS 2025 1A A 144A       | CUSIP: 45174DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    108245387 | PA      | $108376593.13   | 0.05%             | 2035-12-31      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 RCF2 A1 144A      | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2727201 | PA      | $2690900.59     | 0.00%             | 2053-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-NCW                                               | MASTR ASSET BACKED SECURITIES MABS 2007 NCW A1 144A        | CUSIP: 576456AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5432577 | PA      | $4935738.87     | 0.00%             | 2037-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-2                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 2 M1             | CUSIP: 542514FX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       691874 | PA      | $691802.10      | 0.00%             | 2034-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-15948189.44   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-7                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 7 2A1             | CUSIP: 059529AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       154129 | PA      | $124226.55      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP2 SA 144A       | CUSIP: 17330JAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       557164 | PA      | $524426.89      | 0.00%             | 2062-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHESTER A CESTR 1 AA C 144A                                | CUSIP: ACI1BFKC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    116569000 | PA      | $154824319.31   | 0.07%             | 2046-03-17      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2005-RS1                                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS1 MII2          | CUSIP: 76112BJH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3450188 | PA      | $3363674.11     | 0.00%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5282 FN 09/47 FIXED 4.5                        | CUSIP: 3140GT2Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6721 | PA      | $6578.70        | 0.00%             | 2047-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A A 144A                 | CUSIP: ACI34G9Q3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |    575793166 | PA      | $666261210.48   | 0.30%             | 2059-08-22      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5673 FN 04/55 FIXED 5.5                        | CUSIP: 31418FJT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    139504266 | PA      | $140283561.91   | 0.06%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2007-2                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2007 2 A4              | CUSIP: 9497EYAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $3710996.00     | 0.00%             | 2037-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A4            | CUSIP: 43709LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7997879 | PA      | $6699851.44     | 0.00%             | 2036-11-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7A           | CUSIP: 576433WL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        83339 | PA      | $83569.59       | 0.00%             | 2034-11-21      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM2                                                     | ACE SECURITIES CORP. ACE 2004 FM2 M1                       | CUSIP: 004421GJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5285991 | PA      | $5073769.29     | 0.00%             | 2034-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-A                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 A 1A1              | CUSIP: 92977YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       230253 | PA      | $229448.41      | 0.00%             | 2035-08-20      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| BCAP LLC 2010-RR13 TRUST                                                         | BCAP LLC TRUST BCAP 2010 RR13 1A2 144A                     | CUSIP: 05533MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3753143 | PA      | $3284483.56     | 0.00%             | 2037-06-27      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM9146 FN 02/40 FIXED VAR                        | CUSIP: 3140XDEU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       489863 | PA      | $469038.37      | 0.00%             | 2040-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR2                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR2 A1            | CUSIP: 39538RBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1092970 | PA      | $873109.23      | 0.00%             | 2045-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA0720 FR 12/55 FIXED 5                  | CUSIP: 3142JNYS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4726479 | PA      | $4665987.66     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A1           | CUSIP: 761118PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1201794 | PA      | $1045809.71     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.56 03/09/26-01/02/31 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-123597.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ2373 FR 09/54 FIXED 6.5                | CUSIP: 3142GST73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2176752 | PA      | $2252345.69     | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP3607 FN 08/27 FIXED 3                          | CUSIP: 3138M7AH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65894 | PA      | $65333.90       | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD1783 FN 01/55 FIXED 7                          | CUSIP: 3140B16V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       963040 | PA      | $1019785.98     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG9761 G2 05/48 FIXED 4                       | CUSIP: 3617GUZ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       443709 | PA      | $418698.92      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A3           | CUSIP: 14454AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12393227 | PA      | $10115540.42    | 0.00%             | 2036-10-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-RPL3                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL3 A1 144A        | CUSIP: 12651YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14850128 | PA      | $13968114.65    | 0.01%             | 2057-08-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4885                                                          | FREDDIE MAC FHR 4885 AF                                    | CUSIP: 3137FMBD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7294568 | PA      | $7185246.88     | 0.00%             | 2049-06-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2671 FN 07/46 FIXED 3.5                        | CUSIP: 31418B6H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25276 | PA      | $23669.85       | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 08/40 5.35                 | CUSIP: ACI1H2BH1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     24900000 | PA      | $6007297.62     | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8862 FN 02/47 FIXED 3.5                        | CUSIP: 3138WJZ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57863 | PA      | $54101.93       | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 617448 FN 01/32 FIXED 6.5                        | CUSIP: 31388W5H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1142 | PA      | $1181.43        | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 X 144A        | CUSIP: 17330EAP9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    929532683 | PA      | $90405047.40    | 0.04%             | 2061-08-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE4763 FN 07/55 FIXED 5                          | CUSIP: 3140BHJH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10108600 | PA      | $9982327.42     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535811 FN 04/31 FIXED VAR                        | CUSIP: 31384WGU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          636 | PA      | $657.82         | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080777 G2 12/33 FLOATING VAR                  | CUSIP: 36225C2K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1667 | PA      | $1673.79        | 0.00%             | 2033-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9661 FN 05/47 FIXED 3.5                        | CUSIP: 3138WKWX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       131219 | PA      | $122634.47      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A2            | CUSIP: 68403FAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17639537 | PA      | $10146392.40    | 0.00%             | 2037-04-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| LABRADOR AVIATION FINANCE LTD 2016-1A                                            | LABRADOR AVIATION FINANCE LIMI LAFL 2016 1A A1 144A        | CUSIP: 50543LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       466028 | PA      | $478169.61      | 0.00%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A1             | CUSIP: 576433A71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       130974 | PA      | $118847.86      | 0.00%             | 2035-07-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2005-7 2005-7                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 7 2A1            | CUSIP: 07387ACY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2948471 | PA      | $1916981.27     | 0.00%             | 2035-08-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 3 LLC/ABILENE DC 4 LLC                                                | PROJECT FLASH DELAYED DRAW TERM LOAN 2                     | CUSIP: BA000KJT9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    517948936 | PA      | $517950251.63   | 0.23%             | 2030-04-30      | Floating      | 5.05%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $3752586.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2509 FN 10/29 FIXED 3                          | CUSIP: 3138Y3YF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       416405 | PA      | $409851.32      | 0.00%             | 2029-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-1542001.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4855 FN 04/48 FIXED VAR                        | CUSIP: 3140J9MD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13887835 | PA      | $13285855.65    | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-1CON                                               | BANKERS HEALTHCARE GROUP SECUR BHG 2025 1CON B 144A        | CUSIP: 08860AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21122196 | PA      | $21256719.52    | 0.01%             | 2036-04-17      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A1            | CUSIP: 59023QAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42028435 | PA      | $11849223.75    | 0.01%             | 2037-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                       | CDW LLC/CDW FINANCE COMPANY GUAR 12/31 3.569               | CUSIP: 12513GBJ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38900000 | PA      | $35572959.63    | 0.02%             | 2031-12-01      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL2 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RPL2 A1 144A      | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20483421 | PA      | $19960811.17    | 0.01%             | 2055-04-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| STRUC ASSET SEC CORP 2005-SC1 PRIV PLCMT                                         | STRUCTURED ASSET SECURITIES CO SASC 2005 SC1 1A2 144A      | CUSIP: 86359DTG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4264486 | PA      | $3012820.75     | 0.00%             | 2031-05-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX0528 FR 12/54 FIXED 5                  | CUSIP: 31425USS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6911827 | PA      | $6833824.38     | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2010-R5                                            | BANC OF AMERICA FUNDING CORPOR BAFC 2010 R5 1A3 144A       | CUSIP: 05956DAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3940437 | PA      | $3665943.73     | 0.00%             | 2037-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3306 FN 03/48 FIXED 4                          | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1897305 | PA      | $1805194.78     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005-9                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 9 5A9             | CUSIP: 2254586G8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       119693 | PA      | $55820.56       | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S5                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S5 1A9           | CUSIP: 161631AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       692766 | PA      | $287006.86      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5385 FN 07/45 FIXED 4                          | CUSIP: 3138WE6X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12974 | PA      | $12528.88       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260602                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $333365.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 3A1           | CUSIP: 45661EGG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       418379 | PA      | $363880.97      | 0.00%             | 2036-06-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260430                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $589.90         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE BENCHMARK REMIC 2007-B1                                               | FANNIE MAE BENCHMARK REMIC FNBR 2007 B1 ZA                 | CUSIP: 31396VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2813543 | PA      | $2883537.58     | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7554 FR 06/52 FIXED 4                  | CUSIP: 3133KPMB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       769200 | PA      | $729590.25      | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE8                                                             | GSAMP TRUST GSAMP 2006 HE8 A2C                             | CUSIP: 3622M8AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       777822 | PA      | $768661.75      | 0.00%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 03/28 VAR                   | CUSIP: 639057AM0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     24300000 | PA      | $24406096.96    | 0.01%             | 2028-03-01      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.95000 10/27/22-6Y* LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $39849294.89    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2024-1A LTD                                                      | APEX CREDIT CLO LLC APEXC 2024 1A A1 144A                  | CUSIP: 03753AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     76200000 | PA      | $76320509.54    | 0.03%             | 2036-04-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4714 FR 04/47 FIXED 4                  | CUSIP: 3132A5GX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       315040 | PA      | $302090.23      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2929 FN 03/47 FIXED 3.5                        | CUSIP: 31418CHF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       276199 | PA      | $256795.49      | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BI1144 G2 08/48 FIXED 4                       | CUSIP: 3617HAHV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       951328 | PA      | $896409.43      | 0.00%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA2313 FR 03/50 FIXED 3.5                | CUSIP: 3133KHSA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12670 | PA      | $11742.17       | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 1A              | CUSIP: 12667TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24804590 | PA      | $23780041.23    | 0.01%             | 2047-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 02/29 9.5           | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    215900000 | PA      | $233560490.46   | 0.10%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6595 FN 12/55 FIXED 5                          | CUSIP: 3140BXKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9283297 | PA      | $9181773.28     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG44 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $468738.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5981 FN 02/47 FIXED 4                          | CUSIP: 3140FRUF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2430 | PA      | $2380.72        | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB4882 FN 01/55 FIXED 5                          | CUSIP: 3140AEM89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       138369 | PA      | $137310.15      | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 03/31 5.375                      | CUSIP: ACI2MY762<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     61680000 | PA      | $71888849.74    | 0.03%             | 2031-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B A1B 144A         | CUSIP: 78450CAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40609513 | PA      | $40685472.94    | 0.02%             | 2052-03-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR1 4A1                   | CUSIP: 36242DUQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8463 | PA      | $7090.04        | 0.00%             | 2035-01-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4614 FN 09/46 FIXED 3.5                        | CUSIP: 3140FCDU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3734 | PA      | $3490.42        | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLATERAL TRUST 2001-BC5                                 | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC5 M1             | CUSIP: 86358RHG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       205059 | PA      | $228104.27      | 0.00%             | 2031-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP SAL                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $43.38          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0275 FN 10/47 FIXED 4.5                        | CUSIP: 3140H1JV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       306803 | PA      | $301926.02      | 0.00%             | 2047-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS9098 FN 09/54 FIXED VAR                        | CUSIP: 3140XRDC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4327416 | PA      | $4294086.36     | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3174 G2 10/45 FIXED 4                       | CUSIP: 36179RQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61327 | PA      | $59068.65       | 0.00%             | 2045-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6502 FN 01/48 FIXED 4                          | CUSIP: 3140H8GL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       927767 | PA      | $889066.76      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITICORP MTGE SEC 2005-1                                                         | CITICORP MORTGAGE SECURITIES, CMSI 2005 1 1A5              | CUSIP: 172973N21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       228978 | PA      | $213963.89      | 0.00%             | 2035-02-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM8 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM8 A1 144A             | CUSIP: 67118CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20093152 | PA      | $20219381.69    | 0.01%             | 2063-09-25      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ6994 FR 10/55 FIXED 5                  | CUSIP: 31427GXY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12405804 | PA      | $12245641.26    | 0.01%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MML DORCHESTER SCSP                                                              | PROJECT DORCHESTER EUR TERM LOAN                           | CUSIP: BA000T4M1<br>LEI: 213800PP3CKB6OTAPQ90 | Long             | LON              | CORP              | US        |     82400000 | PA      | $95242058.15    | 0.04%             | 2027-01-04      | Floating      | 4.61%                 | Yes           |                  3 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3            | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8819822 | PA      | $5133229.86     | 0.00%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $9483199.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A9          | CUSIP: 12667GKJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91512 | PA      | $68184.16       | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC3185 FN 10/54 FIXED 5.5                        | CUSIP: 3140AQRF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       923664 | PA      | $928823.39      | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 11A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 11A A2 144A             | CUSIP: 01450AAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6124586 | PA      | $5848979.88     | 0.00%             | 2036-12-23      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0628 FN 05/47 FIXED 4.5                        | CUSIP: 3140FKVW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12933 | PA      | $12733.55       | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2519 FR 08/38 FIXED 3.5                | CUSIP: 31329KYQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       170532 | PA      | $164015.39      | 0.00%             | 2038-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1304557.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-98                                                               | FANNIE MAE FNR 2009 98 DZ                                  | CUSIP: 31398GGT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       227044 | PA      | $224985.29      | 0.00%             | 2039-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7938 G2 03/52 FIXED 3.5                     | CUSIP: 36179WZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       457834 | PA      | $423406.67      | 0.00%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q57384 FG 07/48 FIXED 3.5                | CUSIP: 3132Y1F29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       167678 | PA      | $155879.89      | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD1640 FR 09/52 FIXED 4                  | CUSIP: 3132DNZD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48992 | PA      | $46663.23       | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB9007 FN 08/54 FIXED 6                          | CUSIP: 3140QVAH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65857515 | PA      | $68195516.35    | 0.03%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY6                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY6 3A1                   | CUSIP: 17025MAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12121086 | PA      | $11383122.94    | 0.01%             | 2037-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-8 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 8 A1 144A         | CUSIP: 69383BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45733549 | PA      | $45561357.41    | 0.02%             | 2030-10-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                                  | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                   | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |      5200000 | PA      | $5513560.00     | 0.00%             | 2032-01-07      | Floating      | 12.04%                | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2A           | CUSIP: 81377GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6208707 | PA      | $2002116.10     | 0.00%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 2A3           | CUSIP: 16163LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1037 | PA      | $1046.81        | 0.00%             | 2035-06-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.25000 06/18/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $17122561.56    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM1                              | SANTANDER MORTGAGE ASSET RECEI SAN 2025 NQM1 A1 144A       | CUSIP: 80262BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1602763 | PA      | $1608682.03     | 0.00%             | 2065-01-25      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260422                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-7540875.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7086 FN 01/47 FIXED 4.5                        | CUSIP: 3140FS2U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47351 | PA      | $46667.51       | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2003-G                                               | MLCC MORTGAGE INVESTORS INC MLCC 2003 G A3                 | CUSIP: 5899295X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          718 | PA      | $713.89         | 0.00%             | 2029-01-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-4                                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 4 3A1             | CUSIP: 863579MS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       157108 | PA      | $143710.78      | 0.00%             | 2035-03-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                     | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          143 | PA      | $132.08         | 0.00%             | 2036-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-42590.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260722                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-2157930.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                     | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7366619 | PA      | $7238568.94     | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX0527 FN 09/52 FIXED 4                          | CUSIP: 3140N4SR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1318775 | PA      | $1248545.42     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 M2 144A       | CUSIP: 17330EAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48402500 | PA      | $41239854.49    | 0.02%             | 2061-08-01      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-260776.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A B 144A                       | CUSIP: ACI2V5997<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     98285000 | PA      | $130201037.85   | 0.06%             | 2056-08-28      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD5067 FR 03/54 FIXED 5.5                | CUSIP: 3132DSTY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6252428 | PA      | $6375125.83     | 0.00%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 923400 FN 06/37 FIXED 6.5                        | CUSIP: 31412E3H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          534 | PA      | $554.80         | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6015 FN 05/46 FIXED 4                          | CUSIP: 3140F1VH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8487 | PA      | $8152.77        | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | REPUBLIC OF COLOMBIA SR UNSECURED 11/34 5.75               | CUSIP: ACI35CC95<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     99400000 | PA      | $108542606.95   | 0.05%             | 2034-11-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M4           | CUSIP: 76110W7G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1516000 | PA      | $1412818.77     | 0.00%             | 2035-12-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555405 FN 03/33 FLOATING VAR                     | CUSIP: 31385XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16379 | PA      | $16741.98       | 0.00%             | 2033-03-01      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM6001 FN 06/50 FIXED VAR                        | CUSIP: 3140X9U37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       117291 | PA      | $108827.72      | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.6* 07/15/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $186579256.74   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260602                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1512203.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 11 A10                    | CUSIP: 12544LAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4416639 | PA      | $1822159.07     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP DUB                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $39995.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-108859.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1975 FN 03/48 FIXED 3.5                        | CUSIP: 3140HFFR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5662 | PA      | $5291.80        | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREYSTONE COMMERCIAL REAL ESTATE NOTES 2025-FL4                                  | GREYSTONE COMMERCIAL REAL ESTA GSTNE 2025 FL4 A 144A       | CUSIP: 39810MAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     20000000 | PA      | $20008105.00    | 0.01%             | 2043-01-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-8288.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA6115 FR 10/51 FIXED 2.5                | CUSIP: 3133KMYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18313 | PA      | $15585.59       | 0.00%             | 2051-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-2                                                         | FANNIE MAE FNR 2013 2 CI                                   | CUSIP: 3136AB4U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       638462 | PA      | $59286.89       | 0.00%             | 2042-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2006-11                                             | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 11 1A4             | CUSIP: 61749WAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5676567 | PA      | $1090582.05     | 0.00%             | 2036-08-25      | Variable      | 7.01%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MORTGAGE LOAN TR 2006-1                                             | INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A2              | CUSIP: 45661JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25383930 | PA      | $7909670.79     | 0.00%             | 2036-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.41500 07/31/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $779641.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL0247 FR 01/55 FIXED 5                  | CUSIP: 31427MHZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79580 | PA      | $78591.81       | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0776 FN 06/31 FIXED 4.5                        | CUSIP: 31417Y2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3392 | PA      | $3393.80        | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A8                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A8 1A3            | CUSIP: 761128AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       613294 | PA      | $273902.90      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $234129.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0487 FN 10/47 FIXED 3.5                        | CUSIP: 3140Q7RH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141692 | PA      | $131982.72      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 08/29 11                        | CUSIP: 990ACHBB4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        | 500000000000 | PA      | $126065357.34   | 0.06%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3869 FN 06/35 FIXED VAR                        | CUSIP: 3140X7JP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11405964 | PA      | $10988345.78    | 0.00%             | 2035-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9725 FR 03/53 FIXED 4                  | CUSIP: 3133KRYW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1709375 | PA      | $1628137.91     | 0.00%             | 2053-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918          | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     21973000 | PA      | $22259807.20    | 0.01%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 1B2 144A       | CUSIP: 12597GAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60998550 | PA      | $50149640.69    | 0.02%             | 2059-04-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| GREATAMERICA LEASING RECEIVABLES FUNDING LLC SERIES 2024-2                       | GREAT AMERICA LEASING RECEIVAB GALC 2024 2 A2 144A         | CUSIP: 39154GAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5355742 | PA      | $5369289.71     | 0.00%             | 2027-03-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $11626.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3660 FN 05/39 FIXED 3.5                        | CUSIP: 31418DB68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54661 | PA      | $52429.37       | 0.00%             | 2039-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7653 FN 12/55 FIXED 5                          | CUSIP: 3140BYQF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11961635 | PA      | $11811670.46    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 10/27 36.78                  | CUSIP: ACI34GGQ5<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  12750000000 | PA      | $277122894.66   | 0.12%             | 2027-10-13      | Fixed         | 36.78%                | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A         | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       919313 | PA      | $868548.36      | 0.00%             | 2035-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | LONG GILT FUTURE  JUN26 IFLL 20260626                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        95884 | NC      | $-502038576.71  | -0.22%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8006 FR 09/34 FIXED 3                  | CUSIP: 3132D53P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3476 | PA      | $3351.49        | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A3 144A      | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3624583 | PA      | $2425447.23     | 0.00%             | 2037-07-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-2 SP ULO                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-3253777.17    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 A2 144A        | CUSIP: 12653HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    384502682 | PA      | $349131895.64   | 0.16%             | 2057-07-25      | Variable      | 2.68%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-4                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 4 3A1             | CUSIP: 576433MC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        53378 | PA      | $52446.33       | 0.00%             | 2034-05-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1776 FN 10/34 FIXED VAR                        | CUSIP: 3140X46N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2468 | PA      | $2391.87        | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                              | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C               | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1899829 | PA      | $1584781.69     | 0.00%             | 2036-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6067 FN 08/53 FIXED 6                          | CUSIP: 3140NNW50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       720020 | PA      | $737109.79      | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2019 RPL1 B1 144A         | CUSIP: 52473MAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53302000 | PA      | $50231794.21    | 0.02%             | 2058-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.28000 03/04/25-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1747993.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC6                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC6 M4               | CUSIP: 61744CSY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1980071 | PA      | $1952503.31     | 0.00%             | 2035-07-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $3302.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECS XVII LTD                                                     | PREFERRED TERM SECS XVII SECURED 144A 06/35 VAR            | CUSIP: 74042EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      7105513 | PA      | $6910111.06     | 0.00%             | 2035-06-23      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY8988 FN 08/53 FIXED 6                          | CUSIP: 3140NR7A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       847377 | PA      | $868256.43      | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A3            | CUSIP: 05949CCB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       226658 | PA      | $217668.62      | 0.00%             | 2035-07-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5110 FR 05/41 FIXED 1.5                | CUSIP: 3133KYVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       670608 | PA      | $569764.50      | 0.00%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-1                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 1 MV7              | CUSIP: 126673XD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5527584 | PA      | $5518043.15     | 0.00%             | 2035-07-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-10222811.86   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 14.0087 05/12/25-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-2948469.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-J4                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 J4 A9                     | CUSIP: 12669YAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1229941 | PA      | $405641.28      | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4423 FN 10/49 FIXED 3                          | CUSIP: 3140QB4H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42015603 | PA      | $37606692.40    | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.23200 09/10/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2453800.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2016-3A                                                     | BLUEMOUNTAIN CLO LTD BLUEM 2016 3A A1R2 144A               | CUSIP: 09628VAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1895280 | PA      | $1897282.90     | 0.00%             | 2030-11-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/8.99000 12/24/24-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $1594487.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $202471.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-INV1                                             | VERUS SECURITIZATION TRUST VERUS 2024 INV1 A1 144A         | CUSIP: 92540FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39330878 | PA      | $39590618.66    | 0.02%             | 2069-03-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC1573 FN 09/54 FIXED 5                          | CUSIP: 3140ANXB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       276734 | PA      | $273319.86      | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE1                                                     | ACE SECURITIES CORP. ACE 2007 HE1 A2B                      | CUSIP: 00443LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       980266 | PA      | $597085.08      | 0.00%             | 2037-01-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A15         | CUSIP: 02147QAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       879848 | PA      | $479279.47      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A6A2          | CUSIP: 251513BD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        77929 | PA      | $67870.09       | 0.00%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY37 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $6986684.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CLP BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |            1 | NC      | $1466321.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.02 10/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-23188533.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS11                                             | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS11 MII2         | CUSIP: 76110WVW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2107491 | PA      | $2159468.41     | 0.00%             | 2034-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-3 2006-3A       | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2006 3A A2 144A       | CUSIP: 16678YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2627885 | PA      | $2349186.82     | 0.00%             | 2047-08-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2799 FN 01/48 FIXED 3.5                        | CUSIP: 3140FNDD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       446672 | PA      | $412811.95      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-ATH2                                                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2022 ATH2 A1 144A        | CUSIP: 12665WAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13557876 | PA      | $13523055.44    | 0.01%             | 2067-05-25      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3A          | CUSIP: 17311XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9908673 | PA      | $7395096.50     | 0.00%             | 2037-01-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ3933 FR 09/54 FIXED 5.5                | CUSIP: 3133CULN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       287019 | PA      | $288622.80      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 13 1A12                   | CUSIP: 12543TAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       520936 | PA      | $225348.87      | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CC0059 FN 12/54 FIXED 5                          | CUSIP: 3140Y6B58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8154704 | PA      | $8050332.87     | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08623 FG 01/45 FIXED 3.5                | CUSIP: 3128MJVR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3008 | PA      | $2829.98        | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 09/55 3.2                      | CUSIP: ACI30Y3M3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 225835150000 | PA      | $1307924260.55  | 0.58%             | 2055-09-20      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2003-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2003 5 1A2                  | CUSIP: 07386HDF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49964 | PA      | $49235.85       | 0.00%             | 2033-12-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY36 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $2180382.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6777 FN 07/53 FIXED 6                          | CUSIP: 3140NPQ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       134455 | PA      | $138079.37      | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP1                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP1 1AF 144A          | CUSIP: 36242DXG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12112287 | PA      | $10512356.94    | 0.00%             | 2035-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-426087.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2311                                                                 | FREDDIE MAC FHR 2311 Z                                     | CUSIP: 3133TSDK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55228 | PA      | $56736.75       | 0.00%             | 2031-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A D 144A         | CUSIP: 21056DAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6480501 | PA      | $6710576.49     | 0.00%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 1A1          | CUSIP: 36185MBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        66889 | PA      | $33834.52       | 0.00%             | 2035-11-19      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF9076 FR 03/53 FIXED 5.5                | CUSIP: 3133BXCM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10431506 | PA      | $10520108.76    | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003554 G2 05/34 FIXED 4.5                     | CUSIP: 36202D5P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3044 | PA      | $3023.46        | 0.00%             | 2034-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX4001 FR 01/55 FIXED 7                  | CUSIP: 31425YNT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       887793 | PA      | $935694.62      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TREMONT RE LTD                                                                   | TREMONT RE LTD UNSECURED 144A 03/33 VAR                    | CUSIP: 89479VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      4900000 | PA      | $4900000.00     | 0.00%             | 2033-03-22      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-563239.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF3 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF3 A1 144A      | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       614557 | PA      | $606032.21      | 0.00%             | 2054-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260519                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $85436.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2A               | CUSIP: 61753KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2583809 | PA      | $1045097.34     | 0.00%             | 2037-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH0208 FN 03/47 FIXED 4                          | CUSIP: 3140GNGS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26003 | PA      | $24917.99       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD9904 FN 09/55 FIXED 5                          | CUSIP: 3140BBAE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1951767 | PA      | $1926827.40     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                                      | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR               | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |       400000 | PA      | $479030.57      | 0.00%             | 2028-07-05      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC6996 FN 12/54 FIXED 5                          | CUSIP: 3140AUX24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       449696 | PA      | $446005.11      | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3207 FN 10/55 FIXED VAR                        | CUSIP: 3140W3R50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11564895 | PA      | $11794261.00    | 0.01%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I 2007-SA4                               | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA4 5A1           | CUSIP: 74959AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1408308 | PA      | $1304518.85     | 0.00%             | 2037-10-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1391 FN 01/27 FIXED VAR                        | CUSIP: 3138EHRM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          450 | PA      | $447.76         | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889574 FN 08/37 FIXED VAR                        | CUSIP: 31410KJT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       350024 | PA      | $367345.62      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897160 FN 09/36 FIXED 6                          | CUSIP: 31410TWV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1491 | PA      | $1547.12        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LURA FUNDING DESIGNATED ACTIVITY COMPANY 2026-1A                                 | LURA FUNDING DAC LURA 2026 1A H                            | CUSIP: ACI394TK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      6018000 | PA      | $6339613.30     | 0.00%             | 2079-08-27      | Floating      | 5.88%                 | No            |                  3 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 03/30 VAR                        | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     51700000 | PA      | $53133865.90    | 0.02%             | 2030-03-12      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A               | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3759989 | PA      | $3777787.14     | 0.00%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-1                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2006 1 M4              | CUSIP: 9497EUAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2776250 | PA      | $2766604.54     | 0.00%             | 2036-05-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF7                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF7 M4             | CUSIP: 32027NLD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       581270 | PA      | $644499.77      | 0.00%             | 2034-09-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-3                                                   | LUMINENT MORTGAGE TRUST LUM 2006 3 21A1                    | CUSIP: 55027AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2649238 | PA      | $1613885.19     | 0.00%             | 2036-04-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54645 FG 03/48 FIXED 3.5                | CUSIP: 3132XXET2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11160 | PA      | $10417.42       | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH3492 FN 02/48 FIXED 4                          | CUSIP: 3140GR3A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1731 | PA      | $1669.42        | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5734 FN 06/55 FIXED 5                          | CUSIP: 31418FLQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136091403 | PA      | $134370418.41   | 0.06%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK7393 FN 07/48 FIXED 4                          | CUSIP: 3140HMGB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       131860 | PA      | $126357.37      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN5324 FN 03/49 FIXED 4                          | CUSIP: 3140JM4J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31572 | PA      | $30242.63       | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH4477 G2 07/48 FIXED 4                       | CUSIP: 3617H16N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1108049 | PA      | $1046819.35     | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4282 FR 07/27 FIXED 3                  | CUSIP: 3131X7XK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14720 | PA      | $14588.19       | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-J                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 J 1A2            | CUSIP: 05948XXX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13973 | PA      | $13800.41       | 0.00%             | 2033-11-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE2                                              | HSI ASSET SECURITIZATION CORPO HASC 2007 HE2 2A2           | CUSIP: 40430RAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13190897 | PA      | $6573729.76     | 0.00%             | 2037-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS REAL ESTATE CAPITAL TRUST 2006-1                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 1 A4              | CUSIP: 61749QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23792432 | PA      | $9227454.46     | 0.00%             | 2036-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-9                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 9 2A1A           | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9997581 | PA      | $9535140.03     | 0.00%             | 2036-11-19      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6213 FN 11/45 FIXED 4                          | CUSIP: 3138WF3X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       294968 | PA      | $283787.72      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC3                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC3 M6           | CUSIP: 76112BYY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       920526 | PA      | $915134.77      | 0.00%             | 2035-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A9                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A9 3A1            | CUSIP: 59020UW27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1589745 | PA      | $664048.12      | 0.00%             | 2035-12-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.36000 10/07/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2082453.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2612 FN 08/45 FIXED 4                          | CUSIP: 3138YT3W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       104393 | PA      | $100468.50      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC 2014-520M                           | BANC OF AMERICA MERRILL LYNCH BAMLL 2014 520M A 144A       | CUSIP: 05525MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4534338.50     | 0.00%             | 2046-08-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2014-7R                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 7R 4A3 144A         | CUSIP: 12648WAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34899896 | PA      | $8997919.11     | 0.00%             | 2036-10-27      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5899 FR 01/53 FIXED 6                  | CUSIP: 3133BTRU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2501663 | PA      | $2555744.73     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R3                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R3 M6             | CUSIP: 03072SA47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4588000 | PA      | $4336104.58     | 0.00%             | 2035-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| DC COMMERCIAL MORTGAGE TRUST 2023-DC                                             | DC COMMERCIAL MORTGAGE TRUST DC 2023 DC A 144A             | CUSIP: 24023AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18400000 | PA      | $18771197.92    | 0.01%             | 2040-09-12      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2006-2                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2006 2 M1             | CUSIP: 61744CYQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       581248 | PA      | $552786.37      | 0.00%             | 2036-02-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3           | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27883868 | PA      | $18444755.06    | 0.01%             | 2037-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-DSC1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2022 DSC1 A1 144A           | CUSIP: 46656AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10375475 | PA      | $10218506.49    | 0.00%             | 2063-01-25      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BOSPHORUS CLO IX DAC 9A                                                          | BOSPHORUS CLO BOPHO 9A AR 144A                             | CUSIP: ACI396444<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     52000000 | PA      | $60104211.46    | 0.03%             | 2038-04-15      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 2 23A1                 | CUSIP: 07386HF71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4915994 | PA      | $4068851.69     | 0.00%             | 2036-03-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 1A5         | CUSIP: 12668AU29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1133870 | PA      | $1051704.16     | 0.00%             | 2036-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83496 FG 10/47 FIXED 3.5                | CUSIP: 3132L83D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41329 | PA      | $38528.31       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F042665<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2793927539 | PA      | $2692226928.16  | 1.20%             | 2056-06-11      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7187 FN 10/47 FIXED 4                          | CUSIP: 3140GV6Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74782 | PA      | $71661.06       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THAYER PARK CLO LTD 2017-1A                                                      | THAYER PARK CLO, LTD. THAYR 2017 1A A1RR 144A              | CUSIP: 883310AW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     45800000 | PA      | $45781435.43    | 0.02%             | 2034-04-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3265 FN 11/55 FIXED 5                          | CUSIP: 3140BTTX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12326928 | PA      | $12166696.59    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-WMC1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 WMC1 A2D          | CUSIP: 59020U3Y9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13588156 | PA      | $12577243.84    | 0.01%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU5372 FN 12/54 FIXED 5.5                        | CUSIP: 3140M66J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2019447 | PA      | $2030727.92     | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2011-R2                                             | MORGAN STANLEY REREMIC TRUST MSRR 2011 R2 1A 144A          | CUSIP: 61760JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6948145 | PA      | $2988284.42     | 0.00%             | 2037-05-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2C               | CUSIP: 61749NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25283384 | PA      | $12577873.96    | 0.01%             | 2036-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2004-3                                                 | SAXON ASSET SECURITIES TRUST SAST 2004 3 B3                | CUSIP: 805564RD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       532275 | PA      | $67623.12       | 0.00%             | 2034-12-26      | Floating      | 8.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZI9567 FR 12/39 FIXED 4.5                | CUSIP: 3131WNTY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22333 | PA      | $22114.59       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8502 FR 10/28 FIXED 3                  | CUSIP: 3132A9NT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19206 | PA      | $18961.83       | 0.00%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A C 144A                                | CUSIP: ACI2J99L6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     18535000 | PA      | $24608086.23    | 0.01%             | 2050-11-28      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB1                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB1 M2             | CUSIP: 126673XT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3409912 | PA      | $3385889.63     | 0.00%             | 2035-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB9091 FR 02/51 FIXED 2.5                | CUSIP: 3133AGC49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7598570 | PA      | $6443257.73     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8669 FR 02/53 FIXED 5                  | CUSIP: 3133BWT29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       599146 | PA      | $595889.16      | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC1                                                             | GSAMP TRUST GSAMP 2006 NC1 M1                              | CUSIP: 362334ED2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6560769 | PA      | $6422839.88     | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-10                                                          | LEHMAN XS TRUST LXS 2005 10 2A4A                           | CUSIP: 525221GC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4101446 | PA      | $3661696.01     | 0.00%             | 2036-01-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0832 FN 07/45 FIXED 4                          | CUSIP: 3138YR4S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82387 | PA      | $79387.91       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG9760 G2 05/48 FIXED 4                       | CUSIP: 3617GUZZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       568088 | PA      | $536399.35      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ2270 FR 06/54 FIXED 6.5                | CUSIP: 3142GSQY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36349487 | PA      | $37605003.37    | 0.02%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE9                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE9 M1                | CUSIP: 61744CJT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1523900 | PA      | $1476902.06     | 0.00%             | 2034-11-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-1PL                                                          | ACHV ABS TRUST ACHV 2024 1PL A 144A                        | CUSIP: 00092BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       306356 | PA      | $307367.53      | 0.00%             | 2031-04-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 9 A11                     | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       281509 | PA      | $124238.99      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A E 144A         | CUSIP: 210927AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16463158 | PA      | $16619653.88    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5538 FN 03/47 FIXED 4                          | CUSIP: 3140FREL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4888 | PA      | $4683.88        | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TR 2005-1                                                   | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 1 M5             | CUSIP: 542514KD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8444557 | PA      | $7928748.71     | 0.00%             | 2035-02-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $11838046.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9977 FN 10/47 FIXED 4                          | CUSIP: 3140H0CP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       118089 | PA      | $114054.69      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-1 LTD                                                         | WELLFLEET CLO LTD WELF 2021 1A A1R 144A                    | CUSIP: 94950CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     44500000 | PA      | $44550021.56    | 0.02%             | 2034-04-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC1                                           | MASTR ASSET BACKED SECURITIES MABS 2006 WMC1 A4            | CUSIP: 57643LRL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8706800 | PA      | $3099902.02     | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7642 FN 12/53 FIXED 6                          | CUSIP: 3140QTP45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26191177 | PA      | $27025584.09    | 0.01%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA3326 FR 01/56 FIXED 5                  | CUSIP: 3142JRVU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2944067 | PA      | $2905616.59     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5552 FN 12/54 FIXED 5                          | CUSIP: 31418FE29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39120481 | PA      | $38632816.18    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2007-2                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 2 2A1A           | CUSIP: 41164LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8447510 | PA      | $6868086.71     | 0.00%             | 2038-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| BRYANT PARK FUNDING 2024-22A LTD                                                 | BRYANT PARK FUNDING LTD BRYPK 2024 22A A1 144A             | CUSIP: 11766CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     43000000 | PA      | $43111021.27    | 0.02%             | 2037-04-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH6141 FR 11/53 FIXED 6.5                | CUSIP: 3133CJZE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       835375 | PA      | $866251.82      | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.70000 04/11/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-6226290.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-281355.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 2A1            | CUSIP: 68401TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24903533 | PA      | $13434367.56    | 0.01%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9485 FN 04/47 FIXED 3.5                        | CUSIP: 3138WKRF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47004 | PA      | $43929.14       | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TRUST 2004-5                                             | MASTR ALTERNATIVE LOANS TRUST MALT 2004 5 6A1              | CUSIP: 576434RL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5328 | PA      | $5476.93        | 0.00%             | 2034-06-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q45872 FG 01/47 FIXED 3                  | CUSIP: 3132WKQ27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5664145 | PA      | $5111392.34     | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3684 FN 06/39 FIXED 4                          | CUSIP: 31418DCW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       205070 | PA      | $200511.09      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH4466 G2 06/48 FIXED 4                       | CUSIP: 3617H16B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1058776 | PA      | $999610.86      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2003-FF3                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2003 FF3 1A             | CUSIP: 32027NDF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1925349 | PA      | $1928399.87     | 0.00%             | 2033-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H9 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2025 H9 A1 144A                 | CUSIP: 227923AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45747138 | PA      | $45578765.82    | 0.02%             | 2070-11-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2007-HE1                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2007 HE1 A2            | CUSIP: 45073DAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10019054 | PA      | $2023445.12     | 0.00%             | 2037-05-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR8                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR8 2A1A          | CUSIP: 45660LJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1068954 | PA      | $1027063.29     | 0.00%             | 2035-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW0777 FN 03/44 FIXED 4.5                        | CUSIP: 3138XP2K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        63977 | PA      | $63152.36       | 0.00%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3153                                                          | FREDDIE MAC FHR 3153 XI                                    | CUSIP: 31396RPS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       524456 | PA      | $47694.26       | 0.00%             | 2036-05-15      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR8 A1            | CUSIP: 86359LGE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       345638 | PA      | $333944.17      | 0.00%             | 2035-05-19      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A6                                         | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A6 1A7            | CUSIP: 12566RAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4639602 | PA      | $4409729.04     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8241 FN 11/29 FIXED VAR                        | CUSIP: 3138ETEP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76548 | PA      | $75619.38       | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2795 FN 09/30 FIXED 3                          | CUSIP: 3138YUC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74542 | PA      | $72840.40       | 0.00%             | 2030-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP 2008-2R                                              | GS MORTGAGE SECURITIES CORP. GSMSC 2008 2R 1A1 144A        | CUSIP: 3622X1AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       704050 | PA      | $184861.57      | 0.00%             | 2036-09-25      | Variable      | 13.15%                | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL5                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL5 PT 144A      | CUSIP: 36273JAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    296012964 | PA      | $258974933.87   | 0.12%             | 2065-10-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A R 144A                       | CUSIP: ACI2V5FG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     31502000 | PA      | $33415640.75    | 0.01%             | 2056-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7655 FN 12/55 FIXED 5                          | CUSIP: 3140BYQH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1995645 | PA      | $1973067.41     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2004-AC7                            | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC7 A2           | CUSIP: 073879MZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       573060 | PA      | $504039.32      | 0.00%             | 2034-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 1A1             | CUSIP: 86362TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1325764 | PA      | $1350178.15     | 0.00%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC6842 FN 12/54 FIXED 5.5                        | CUSIP: 3140AUS87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       523430 | PA      | $526354.35      | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20270610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-74712.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA 144A 08/28 VAR                    | CUSIP: 74977RDR2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |       300000 | PA      | $300668.59      | 0.00%             | 2028-08-22      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0486 FN 10/47 FIXED 3.5                        | CUSIP: 3140Q7RG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       417413 | PA      | $388810.58      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 1 A1                      | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1954536 | PA      | $800516.08      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260506                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-2583.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $132124.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST 2007-AR1                                     | BEAR STEARNS MORTGAGE FUNDING BSMF 2007 AR1 2A3            | CUSIP: 07401MAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6922938 | PA      | $6569630.17     | 0.00%             | 2037-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY3161 FR 05/55 FIXED 5                  | CUSIP: 31426MQP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3201234 | PA      | $3160965.45     | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 17 LTD 17                                                                | KKR FINANCIAL CLO LTD KKR 17 AR 144A                       | CUSIP: 48251FAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6000000 | PA      | $6006789.84     | 0.00%             | 2034-04-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 10A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 10A A1 144A             | CUSIP: 01449WAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6102810 | PA      | $5996010.59     | 0.00%             | 2036-09-23      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ4087 FN 10/26 FIXED 3                          | CUSIP: 3138AVRH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7043 | PA      | $7011.47        | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1                 | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4916 | PA      | $4816.70        | 0.00%             | 2035-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.00100 01/06/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $555356.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5821 FN 09/55 FIXED 5                          | CUSIP: 31418FPF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33615906 | PA      | $33187230.44    | 0.01%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-8                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 8 B1              | CUSIP: 576433RB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       361587 | PA      | $325985.66      | 0.00%             | 2034-09-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 3 3A2                     | CUSIP: 126694YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          506 | PA      | $199.72         | 0.00%             | 2036-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2368                                                                 | FREDDIE MAC FHR 2368 AS                                    | CUSIP: 31339GNQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9406 | PA      | $9737.92        | 0.00%             | 2031-10-15      | Floating      | 11.08%                | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2020-B18                                               | BENCHMARK MORTGAGE TRUST BMARK 2020 B18 XB 144A            | CUSIP: 08163AAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68256000 | PA      | $1436089.18     | 0.00%             | 2053-07-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-1                                           | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 1 A1              | CUSIP: 126670ZC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3124198 | PA      | $3000679.68     | 0.00%             | 2036-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                                   | SMRT SMRT 2022 MINI A 144A                                 | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74604000 | PA      | $74572919.97    | 0.03%             | 2039-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4                                  | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST4 A 144A        | CUSIP: 52608GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       317411 | PA      | $316825.25      | 0.00%             | 2029-07-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI6093 FN 06/31 FIXED 4.5                        | CUSIP: 3138AKXX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4616 | PA      | $4628.99        | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-4                                              | SAXON ASSET SECURITIES TRUST SAST 2005 4 M4                | CUSIP: 805564TM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5426202 | PA      | $4688823.92     | 0.00%             | 2037-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-3772129.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1967 FN 03/48 FIXED 4                          | CUSIP: 3140HFFH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3215312 | PA      | $3073195.37     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $133407.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A           | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        56396 | PA      | $54769.68       | 0.00%             | 2042-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ7857 FR 11/55 FIXED 5                  | CUSIP: 31427HWT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42516750 | PA      | $41971285.13    | 0.02%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-WF1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 WF1 2A5            | CUSIP: 65535VKX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          146 | PA      | $147.03         | 0.00%             | 2035-03-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1           | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       527534 | PA      | $281457.93      | 0.00%             | 2036-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q35594 FG 08/45 FIXED 3                  | CUSIP: 3132QSGC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141935 | PA      | $128780.42      | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H29 FB             | CUSIP: 38376RMD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4410567 | PA      | $4422545.44     | 0.00%             | 2065-11-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN9983 FR 04/37 FIXED 3                  | CUSIP: 3133GHCU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       388530 | PA      | $371930.77      | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUC ASSET SEC CORP 2005-SC1 PRIV PLCMT                                         | STRUCTURED ASSET SECURITIES CO SASC 2005 SC1 1A1 144A      | CUSIP: 86359DTE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2412574 | PA      | $1684298.28     | 0.00%             | 2031-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA8391 FN 12/35 FIXED 3                          | CUSIP: 3140QGKD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12376 | PA      | $11891.50       | 0.00%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB5                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB5 A3           | CUSIP: 81376WAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6607626 | PA      | $4520388.97     | 0.00%             | 2036-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2024-NQM2                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2024 NQM2 SA 144A        | CUSIP: 06745JAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3335 | PA      | $3324.76        | 0.00%             | 2064-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $2005400.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TRALEE CLO V LTD 2018-5A                                                         | TRALEE CLO LTD TRAL 2018 5A A1RR 144A                      | CUSIP: 89300JBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     84000000 | PA      | $83874004.20    | 0.04%             | 2034-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H2 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H2 A1 144A                 | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18792355 | PA      | $18909780.61    | 0.01%             | 2069-04-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY PRIVATE BANK NATIONAL ASSOCIATION                                 | MORGAN STANLEY PVT BANK SR UNSECURED 02/30 VAR             | CUSIP: 61776NU43<br>LEI: 549300GS0W0TEUQS8571 | Long             | DBT              | CORP              | US        |     50000000 | PA      | $49500416.00    | 0.02%             | 2030-02-08      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SECURITIES INC 2006-3                              | CITICORP RESIDENTIAL MORTGAGE CRMSI 2006 3 M1              | CUSIP: 17310NAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       989580 | PA      | $977178.73      | 0.00%             | 2036-11-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| GOLDEN CREDIT CARD TRUST 2022-1A                                                 | GOLDEN CREDIT CARD TRUST GCCT 2022 1A A 144A               | CUSIP: 380881FE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |    220500000 | PA      | $216778445.10   | 0.10%             | 2029-01-15      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A            | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6850062 | PA      | $5924762.08     | 0.00%             | 2047-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-6          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 6 1CB1           | CUSIP: 93935GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12501394 | PA      | $11061657.12    | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 629091 FN 04/32 FIXED 6.5                        | CUSIP: 31389L2Y4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          367 | PA      | $379.57         | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260626                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $115475.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4667 FN 01/54 FIXED 6.5                        | CUSIP: 3140A5FH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67281 | PA      | $69604.84       | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH3607 FN 05/47 FIXED 3.5                        | CUSIP: 3140GSAH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       610229 | PA      | $570936.52      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA8282 FR 03/50 FIXED 4                  | CUSIP: 3133A3FX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       631701 | PA      | $604670.72      | 0.00%             | 2050-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3590 FN 03/48 FIXED VAR                        | CUSIP: 3140J77C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156948 | PA      | $146193.96      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                                     | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                 | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |       933520 | PA      | $906804.80      | 0.00%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TRUST 2005-A15                                           | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 2A4           | CUSIP: 45660L3U1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3920755 | PA      | $1480037.91     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 1A B 144A        | CUSIP: ACI2TS586<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     22500000 | PA      | $26019966.16    | 0.01%             | 2034-10-15      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA 2025 EUR EXT TERM LOAN B14                | CUSIP: BA000QF86<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |     11000498 | PA      | $12767949.30    | 0.01%             | 2031-05-30      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-11                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 11 AF6             | CUSIP: 126670CL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3254 | PA      | $3210.42        | 0.00%             | 2036-02-25      | Variable      | 5.05%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2007-A                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2007 A A3             | CUSIP: 73316NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6965786 | PA      | $6575639.24     | 0.00%             | 2047-06-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                                | U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN            | CUSIP: 90290PAS3<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |     24145595 | PA      | $22805031.29    | 0.01%             | 2028-06-28      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.03000 10/04/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3856954.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BI1705 G2 07/48 FIXED 4                       | CUSIP: 3617HA3N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1694186 | PA      | $1596385.68     | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARCAN-2A                                                                         | ARCANO EURO CLO ARCAN 2A A 144A                            | CUSIP: ACI2YDJX3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     91300000 | PA      | $105539910.19   | 0.05%             | 2039-07-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                            | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 1A1              | CUSIP: 92977YBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        47074 | PA      | $45675.31       | 0.00%             | 2035-10-20      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260804                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $258008.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.94000 02/22/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3145623.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA B 144A            | CUSIP: 63942TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52400000 | PA      | $56571658.32    | 0.03%             | 2072-03-15      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.42100 08/04/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $998313.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A          | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38573857 | PA      | $32461902.64    | 0.01%             | 2036-12-19      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD9871 FN 07/55 FIXED 5                          | CUSIP: 3140BA6H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1050913 | PA      | $1037511.10     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ4830 FR 09/55 FIXED 5.5                | CUSIP: 3142GVLL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12749050 | PA      | $13041515.16    | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.85400 12/29/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-708108.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260707                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-63324.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR8559 FN 04/27 FIXED 3                          | CUSIP: 3138W6QM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8504 | PA      | $8453.94        | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $297937.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $1988325.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-2                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 2 1CB1            | CUSIP: 05948K2V0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       974249 | PA      | $907470.71      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 1X 144A        | CUSIP: 12597GAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    297994480 | PA      | $17879.67       | 0.00%             | 2059-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  MAY26P 110 EXP 04/24/2026                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2736 | NC      | $-1018155.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2004-RS8                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS8 MII2          | CUSIP: 76112BAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1153130 | PA      | $1162888.91     | 0.00%             | 2034-08-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080594 G2 04/32 FLOATING VAR                  | CUSIP: 36225CUU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1744 | PA      | $1766.65        | 0.00%             | 2032-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2522 FR 09/38 FIXED 3.5                | CUSIP: 31329KYT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21690 | PA      | $20899.00       | 0.00%             | 2038-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260403                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-17951.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                     | BONOS TESORERIA PESOS BONDS 144A REGS 04/33 6              | CUSIP: ACI2FK1C3<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  34090000000 | PA      | $37870498.78    | 0.02%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-11175096.07   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8333 FR 06/53 FIXED 6.5                | CUSIP: 3132DWHJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62301 | PA      | $64544.17       | 0.00%             | 2053-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-3          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 3 A2             | CUSIP: 93936JAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3851676 | PA      | $3373475.48     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847376 FH 12/34 FLOATING VAR             | CUSIP: 3128JRFR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          912 | PA      | $930.26         | 0.00%             | 2034-12-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPT CORP 2006-AF2                                                | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AF2 1A3            | CUSIP: 65536VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3883681 | PA      | $988752.23      | 0.00%             | 2036-08-25      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-1                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 1 2A1                | CUSIP: 59020U4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       783921 | PA      | $770656.81      | 0.00%             | 2036-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2004-6                                                    | GSAA HOME EQUITY TRUST GSAA 2004 6 M1                      | CUSIP: 36228F7F7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       329797 | PA      | $329418.33      | 0.00%             | 2034-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO4151 FN 06/42 FIXED 3.5                        | CUSIP: 3138LUTH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9933 | PA      | $9381.92        | 0.00%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A AR 144A                          | CUSIP: ACI1746Q4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     57749271 | PA      | $65694865.69    | 0.03%             | 2054-10-29      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                            | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A2            | CUSIP: 57645MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5563677 | PA      | $2124777.88     | 0.00%             | 2036-10-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2262 FN 09/46 FIXED 4                          | CUSIP: 3140F9QQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28385 | PA      | $27173.87       | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A1                 | CUSIP: 59020UJP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       321094 | PA      | $281426.42      | 0.00%             | 2029-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 01/40 9                     | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1294400000 | PA      | $71991473.92    | 0.03%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S FINANCE REALTY MTGE SEC 2006-1                                          | PEOPLE S FINANCIAL REALTY MORT PFRMS 2006 1 1A2            | CUSIP: 71103XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27488617 | PA      | $4758969.53     | 0.00%             | 2036-09-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-648455.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-H                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 H 2A3            | CUSIP: 05948XTJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       642498 | PA      | $620963.85      | 0.00%             | 2033-09-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                             | GSAMP TRUST GSAMP 2007 FM1 A2C                             | CUSIP: 3622MAAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4620899 | PA      | $2284155.50     | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.87000 10/17/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1448987.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 4A1M                | CUSIP: 46630PAZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       275578 | PA      | $227484.65      | 0.00%             | 2037-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2006-3                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2006 3 A3             | CUSIP: 61749GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6257187 | PA      | $4312173.28     | 0.00%             | 2036-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 A 144A         | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10098240 | PA      | $10130218.75    | 0.00%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC4ZA1 PIMCO SWAPTION 2.92 PUT EUR 20260416             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -94100000 | NC      | $-349039.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | CARVANA CO SR SECURED 144A 06/30 9                         | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    222864547 | PA      | $231993747.44   | 0.10%             | 2030-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6489 FN 01/46 FIXED 4                          | CUSIP: 3138WGF74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2288596 | PA      | $2200672.39     | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP9884 FN 07/50 FIXED 4                          | CUSIP: 3140KH6W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70620 | PA      | $67233.49       | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 839304 FN 09/35 FIXED 6                          | CUSIP: 31407SNV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4597 | PA      | $4765.82        | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL5                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL5 A2 144A        | CUSIP: 12655JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    424977706 | PA      | $406157653.20   | 0.18%             | 2076-11-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                                  | HOUT BAY HOUT 2006 1A A1 144A                              | CUSIP: 442451AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    463545485 | PA      | $72544404.81    | 0.03%             | 2041-07-05      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN1981 FR 12/48 FIXED 5                  | CUSIP: 3131Y8FW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1537011 | PA      | $1544765.76     | 0.00%             | 2048-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8460 FN 12/46 FIXED 3.5                        | CUSIP: 3138WJMJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15207 | PA      | $14212.43       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 2A2          | CUSIP: 02150JAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7825441 | PA      | $3122492.48     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-3                                                    | GSAA HOME EQUITY TRUST GSAA 2006 3 A2                      | CUSIP: 362334BR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11921025 | PA      | $3817710.61     | 0.00%             | 2036-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20261118                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-1522018.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-D                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 D 2A6            | CUSIP: 05949A4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       466179 | PA      | $418023.84      | 0.00%             | 2035-05-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH0696 G2 06/48 FIXED 4                       | CUSIP: 3617GWXZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       250806 | PA      | $237100.51      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A A 144A                         | CUSIP: ACI2P7WZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    354384598 | PA      | $469142230.61   | 0.21%             | 2062-11-16      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TR 2004-HE4                                             | IXIS REAL ESTATE CAPITAL TRUST IXIS 2004 HE4 M1            | CUSIP: 45071KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       220711 | PA      | $227431.91      | 0.00%             | 2035-02-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $35779.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1828 FN 10/47 FIXED 4                          | CUSIP: 3140H3A63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       278793 | PA      | $267114.56      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-82998.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4963 FN 05/48 FIXED VAR                        | CUSIP: 3140J9QR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25533 | PA      | $22924.28       | 0.00%             | 2048-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2006-QO7                                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO7 3A2           | CUSIP: 751150AH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1610959 | PA      | $1637467.57     | 0.00%             | 2046-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A1                   | CUSIP: 362341SB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       870671 | PA      | $794946.18      | 0.00%             | 2035-09-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8059 FR 08/35 FIXED 3                  | CUSIP: 3132D55U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41260 | PA      | $39644.36       | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE1444 FN 06/55 FIXED 5                          | CUSIP: 3140BDTA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6897989 | PA      | $6811644.23     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 733869 FN 12/32 FIXED 6.5                        | CUSIP: 31402NJN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2098 | PA      | $2170.63        | 0.00%             | 2032-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-3A                                                         | FIRST HELP FINANCIAL LLC FHF 2024 3A A2 144A               | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15009759 | PA      | $14979371.34    | 0.01%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP1 SA 144A       | CUSIP: 17291JAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       102988 | PA      | $101950.06      | 0.00%             | 2068-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5213 FN 04/44 FIXED VAR                        | CUSIP: 3138EMYK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28338 | PA      | $27973.19       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC3 M1                | CUSIP: 61744CZE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7151469 | PA      | $6142600.23     | 0.00%             | 2036-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8353 FN 02/48 FIXED 4                          | CUSIP: 3140FUH76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33254 | PA      | $31942.78       | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA8965 FR 04/50 FIXED 3                  | CUSIP: 3133A36A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15040 | PA      | $13328.20       | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-AR1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 AR1 2A3A         | CUSIP: 12668A4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9522290 | PA      | $9030890.23     | 0.00%             | 2035-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX1734 FN 10/44 FIXED 4                          | CUSIP: 3138Y24U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       370126 | PA      | $357093.43      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2026-R2                                               | VERUS SECURITIZATION TRUST VERUS 2026 R2 A1 144A           | CUSIP: 92541GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58000000 | PA      | $58042757.60    | 0.03%             | 2067-10-25      | Variable      | 5.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G06500 FG 04/41 FIXED 4                  | CUSIP: 3128M8RV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       283294 | PA      | $274106.28      | 0.00%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LURA FUNDING DESIGNATED ACTIVITY COMPANY 2026-1A                                 | LURA FUNDING DAC LURA 2026 1A C 144A                       | CUSIP: ACI394TX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     18916000 | PA      | $21669472.61    | 0.01%             | 2079-08-27      | Floating      | 3.43%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG8926 G2 06/48 FIXED 4                       | CUSIP: 3617GT4K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       744219 | PA      | $702633.49      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $3302.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 1A                          | CUSIP: 81743VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2365 | PA      | $2227.45        | 0.00%             | 2027-10-20      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC3                                          | STRUCTURED ASSET SECURITIES CO SASC 2007 BC3 1A3           | CUSIP: 86363WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1145710 | PA      | $1133673.86     | 0.00%             | 2047-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| TRAPEZA CDO LLC 2007-12A                                                         | TRAPEZA CDO LLC TRAP 2007 12A A2 144A                      | CUSIP: 89413GAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8093088 | PA      | $7344477.60     | 0.00%             | 2042-04-06      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-HR8                                          | MORGAN STANLEY CAPITAL I TRUST MSC 2020 HR8 XA             | CUSIP: 61692BBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     95741579 | PA      | $5725825.16     | 0.00%             | 2053-07-15      | Variable      | 1.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8556 FN 04/53 FIXED 5.5                        | CUSIP: 3140NDQJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28612 | PA      | $28839.00       | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                            | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C           | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4938868 | PA      | $1588813.22     | 0.00%             | 2036-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| ALBA PLC 2007-1                                                                  | ALBA PLC ALBA 2007 1 B REGS                                | CUSIP: G021A2AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2139522 | PA      | $2736079.12     | 0.00%             | 2039-03-17      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG0396 G2 03/48 FIXED 4                       | CUSIP: 3617GJNM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       693007 | PA      | $659260.08      | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A15         | CUSIP: 02146TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3325176 | PA      | $1613049.21     | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1880 FN 02/45 FIXED VAR                        | CUSIP: 3140J6CS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16157 | PA      | $15590.79       | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8290 FR 01/53 FIXED 6                  | CUSIP: 3132DWF73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1130521 | PA      | $1161109.22     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA10                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA10 4A1         | CUSIP: 02146QAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8621438 | PA      | $7692941.19     | 0.00%             | 2046-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08670 FG 10/45 FIXED 3                  | CUSIP: 3128MJW89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36899 | PA      | $33505.76       | 0.00%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE1 M4            | CUSIP: 17307G4Z8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1468297 | PA      | $1470053.16     | 0.00%             | 2036-01-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    955980013 | PA      | $902213804.23   | 0.40%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 2B2 144A       | CUSIP: 12597GAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57175750 | PA      | $56096809.29    | 0.02%             | 2059-09-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                          | CHASEFLEX TRUST CFLX 2007 M1 1A3                           | CUSIP: 16165YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3345382 | PA      | $3049549.91     | 0.00%             | 2037-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE4                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE4 1A4          | CUSIP: 07386RAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14775000 | PA      | $12834374.67    | 0.01%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-4                                                | VERUS SECURITIZATION TRUST VERUS 2024 4 A1 144A            | CUSIP: 92540GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21017203 | PA      | $21202358.48    | 0.01%             | 2069-06-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY8692 FR 04/55 FIXED 5                  | CUSIP: 31426TUS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1434955 | PA      | $1417215.03     | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO IV DAC 4A                                                       | CAPITAL FOUR CLO CFOUR 4A ARR 144A                         | CUSIP: ACI38L038<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     44800000 | PA      | $51625122.82    | 0.02%             | 2038-04-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL20 LLC                        | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL20 A 144A        | CUSIP: 59319CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    194700000 | PA      | $194930041.94   | 0.09%             | 2043-02-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2020-AGS                                           | COMMONBOND STUDENT LOAN TRUST CBSLT 2020 AGS A 144A        | CUSIP: 20267WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       558169 | PA      | $501920.09      | 0.00%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB8939 FN 05/54 FIXED 5.5                        | CUSIP: 3140QU4Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       815740 | PA      | $820716.31      | 0.00%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-HYB1 2006-HYB1                              | COUNTRYWIDE HOME LOANS CWHL 2006 HYB1 1A1                  | CUSIP: 126694WE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2744773 | PA      | $2579362.41     | 0.00%             | 2036-03-20      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 B2 144A        | CUSIP: 12594YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    186005219 | PA      | $133004631.49   | 0.06%             | 2056-02-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-8                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 8 1A2A            | CUSIP: 17307GE46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1383237 | PA      | $621401.36      | 0.00%             | 2035-10-25      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY46 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $43300911.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC7844 FN 01/55 FIXED 7                          | CUSIP: 3140AVWE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13114348 | PA      | $13808553.46    | 0.01%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 08/26 36                     | CUSIP: ACI2QWYR6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  23947970000 | PA      | $530168895.60   | 0.24%             | 2026-08-12      | Fixed         | 36.00%                | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 2 3A                 | CUSIP: 590219AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       135535 | PA      | $134599.06      | 0.00%             | 2036-05-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDNTIAL COLL TR 2002-BC10                                          | AMORTIZING RESIDENTIAL COLLATE ARC 2002 BC10 A4            | CUSIP: 86359AHD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18584 | PA      | $20335.44       | 0.00%             | 2033-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 3A2          | CUSIP: 933637AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1800669 | PA      | $1526861.80     | 0.00%             | 2037-01-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXII LTD                                                            | SYMPHONY CLO LTD SYMP 2020 22A A1AR 144A                   | CUSIP: 87167GCH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     25111561 | PA      | $25133709.35    | 0.01%             | 2033-04-18      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF5596 FN 12/55 FIXED 5                          | CUSIP: 3140BWGE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10732994 | PA      | $10594138.35    | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                       | CARVANA CO SR SECURED 144A 06/31 9                         | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    244917510 | PA      | $265000500.90   | 0.12%             | 2031-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 1 2A3                  | CUSIP: 07386HFU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29743 | PA      | $28494.03       | 0.00%             | 2034-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6255 FN 12/45 FIXED 4                          | CUSIP: 3140EA5R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       760838 | PA      | $732866.96      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE5                                               | MASTR ASSET BACKED SECURITIES MABS 2006 HE5 A4             | CUSIP: 576455AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2325297 | PA      | $1363445.55     | 0.00%             | 2036-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7416 FN 03/46 FIXED 4.5                        | CUSIP: 3138WHG22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3603 | PA      | $3554.73        | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-111844.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A3             | CUSIP: 93935HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21833894 | PA      | $5656044.00     | 0.00%             | 2036-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08756 FG 04/47 FIXED 3                  | CUSIP: 3128MJZW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16465216 | PA      | $14849959.33    | 0.01%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-447885.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260421                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $205696.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA2                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA2 2A1          | CUSIP: 32051D4S8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45430 | PA      | $45593.60       | 0.00%             | 2034-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/27 5.45             | CUSIP: 694308KF3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     23667000 | PA      | $23907383.12    | 0.01%             | 2027-06-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95              | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    331675000 | PA      | $103372152.86   | 0.05%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP2 PT 144A       | CUSIP: 17330JAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    665326603 | PA      | $541313250.53   | 0.24%             | 2062-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A X2                           | CUSIP: ACI2NGD30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |         2288 | PA      | $0.00           | 0.00%             | 2058-06-28      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2005-5                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 5 1A2             | CUSIP: 863576AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4596462 | PA      | $2024899.13     | 0.00%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260803                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-2943.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7231 FN 08/45 FIXED VAR                        | CUSIP: 3138EQA93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9568 | PA      | $9014.28        | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TESLA ELECTRIC VEHICLE TRUST 2023-1                                              | TESLA ELECTRIC VEHICLE TRUST TEVT 2023 1 A4 144A           | CUSIP: 881943AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15000000 | PA      | $15202947.00    | 0.01%             | 2029-02-20      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2026-HYB1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2026 HYB1 A1A 144A             | CUSIP: 81750GAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28100000 | PA      | $27462669.52    | 0.01%             | 2056-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7036 FN 12/47 FIXED 4                          | CUSIP: 3140GVZA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4919168 | PA      | $4715420.69     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 1 AF2            | CUSIP: 69121PCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5698831 | PA      | $3147164.53     | 0.00%             | 2035-10-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB8271 FN 04/54 FIXED 5                          | CUSIP: 3140QUFM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       336802 | PA      | $333000.04      | 0.00%             | 2054-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2008 R1 2A1 144A            | CUSIP: 46632GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3147962 | PA      | $2447588.30     | 0.00%             | 2037-12-26      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-WF1                                               | HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A3                 | CUSIP: 40431KAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11802447 | PA      | $3601501.38     | 0.00%             | 2036-12-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A5                   | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       128183 | PA      | $116905.84      | 0.00%             | 2035-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 A2 144A         | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8410536 | PA      | $8425827.59     | 0.00%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.74901 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-464267.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-8                                                | VERUS SECURITIZATION TRUST VERUS 2023 8 A1 144A            | CUSIP: 92540DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11353343 | PA      | $11417009.48    | 0.01%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX5281 FR 02/55 FIXED 7                  | CUSIP: 31426A2P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2549332 | PA      | $2711019.20     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A4                                         | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A4 1A8            | CUSIP: 17309VAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2909853 | PA      | $2702199.32     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3539 FN 10/30 FIXED VAR                        | CUSIP: 3140J74Z5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9932 | PA      | $9819.28        | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3299 FR 11/55 FIXED 5.5                | CUSIP: 31427QUZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26327241 | PA      | $26930514.05    | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 2A1          | CUSIP: 32051GPY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2938 | PA      | $1972.71        | 0.00%             | 2035-08-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7795 FN 08/46 FIXED 4                          | CUSIP: 3138WHUV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9130 | PA      | $8765.19        | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 4A1A                 | CUSIP: 126694BP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       482219 | PA      | $478607.01      | 0.00%             | 2035-10-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-1                                              | SAXON ASSET SECURITIES TRUST SAST 2005 1 M3                | CUSIP: 805564RP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1657986 | PA      | $1380153.91     | 0.00%             | 2035-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0304 G2 04/55 FIXED 3.5                     | CUSIP: 3618N5KS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17533204 | PA      | $16098059.16    | 0.01%             | 2055-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR2                                                          | BCAP LLC TRUST BCAP 2011 RR2 1A4 144A                      | CUSIP: 05533TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7876729 | PA      | $3228793.19     | 0.00%             | 2036-07-26      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $18202.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-3                                                     | LEHMAN MORTGAGE TRUST LMT 2005 3 4A1                       | CUSIP: 52520MEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       531448 | PA      | $509908.40      | 0.00%             | 2036-01-25      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| MARGAY CLO II DAC 2A                                                             | MARGAY CLO MARGA 2A AR 144A                                | CUSIP: ACI384PC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     36000000 | PA      | $41513626.09    | 0.02%             | 2037-07-15      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL6                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL6 PT 144A        | CUSIP: 12654UAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117723093 | PA      | $93778097.78    | 0.04%             | 2058-07-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ9610 FR 12/55 FIXED 5                  | CUSIP: 31427KVC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       790201 | PA      | $780318.21      | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-6                                                 | AEGIS ASSET BACKED SECURITIES AABST 2004 6 M2              | CUSIP: 00764MDY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       212913 | PA      | $205125.43      | 0.00%             | 2035-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XI 2012-11A                                                           | APIDOS CLO APID 2012 11A AR4 144A                          | CUSIP: 03763YBY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     86100000 | PA      | $86212236.52    | 0.04%             | 2034-04-17      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260602                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2762450.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-339573.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R3                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R3 M7             | CUSIP: 03072SA54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $894677.40      | 0.00%             | 2035-05-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 3 C              | CUSIP: 80285XAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110000000 | PA      | $111623226.00   | 0.05%             | 2030-11-15      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-A                                                   | FREMONT HOME LOAN TRUST FHLT 2004 A M1                     | CUSIP: 35729PCK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       851325 | PA      | $819293.04      | 0.00%             | 2034-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE2                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE2 A3           | CUSIP: 93934JAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8234353 | PA      | $6515212.95     | 0.00%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2342 FN 07/45 FIXED 4                          | CUSIP: 31418BS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43832 | PA      | $42220.84       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A R 144A                                | CUSIP: ACI2J97R5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      6829000 | PA      | $7911026.56     | 0.00%             | 2050-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM1 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM1 A1 144A             | CUSIP: 67448LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14124087 | PA      | $14177043.50    | 0.01%             | 2063-11-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B D 144A           | CUSIP: 78449HAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64173000 | PA      | $66219502.64    | 0.03%             | 2056-10-16      | Fixed         | 7.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.95000 04/16/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1105954.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2835 FN 12/46 FIXED 4                          | CUSIP: 31418CEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5879 | PA      | $5640.17        | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-7                                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 3A1             | CUSIP: 86361BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9324074 | PA      | $7260563.96     | 0.00%             | 2036-08-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 480334 GN 10/28 FIXED 6.1                        | CUSIP: 36209SSX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9415 | PA      | $9465.59        | 0.00%             | 2028-10-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| PRPM 2026-1 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2026 1 A1 144A         | CUSIP: 74449BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96185647 | PA      | $95243614.37    | 0.04%             | 2031-02-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-2                                    | NOVASTAR HOME EQUITY LOAN NHEL 2006 2 A2C                  | CUSIP: 66988VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1120687 | PA      | $839311.72      | 0.00%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE2                                              | HSI ASSET SECURITIZATION CORPO HASC 2007 HE2 2A3           | CUSIP: 40430RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6664464 | PA      | $3329348.15     | 0.00%             | 2037-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R11                                                 | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R11 M6            | CUSIP: 03072SWV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4768514 | PA      | $3872319.38     | 0.00%             | 2034-11-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.37000 07/12/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-10410120.13   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-3430630.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R11                                                 | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R11 M3            | CUSIP: 03072SWS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2244790 | PA      | $2224105.27     | 0.00%             | 2034-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A B 144A          | CUSIP: 21050QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23170015 | PA      | $23373493.89    | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR6683 FN 02/28 FIXED 2.5                        | CUSIP: 3138W4M99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2916 | PA      | $2873.43        | 0.00%             | 2028-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260417                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-68772.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                                       | GUGGENHEIM 1888 FUND LTD GUGG 2022 2A A1R 144A             | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     81900000 | PA      | $81928038.47    | 0.04%             | 2035-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                                   | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                    | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7671670 | PA      | $7121517.27     | 0.00%             | 2036-10-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST  2017-RP1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2017 RP1 SA 144A       | CUSIP: 17326JAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          611 | PA      | $608.96         | 0.00%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4402 FN 01/47 FIXED 4                          | CUSIP: 3140FP3L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3658845 | PA      | $3508442.57     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-A                                 | NAVIENT STUDENT LOAN TRUST NAVSL 2020 A A2A 144A           | CUSIP: 63941FAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6307738 | PA      | $6120378.94     | 0.00%             | 2068-11-15      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 2A1           | CUSIP: 45661EGE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18136357 | PA      | $12563014.59    | 0.01%             | 2036-06-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI1607 FN 10/41 FIXED 4.5                        | CUSIP: 3138AEYD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19576 | PA      | $19190.58       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXXII LTD                                                           | SYMPHONY CLO LTD SYMP 2022 32A AR 144A                     | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |     58900000 | PA      | $58905034.77    | 0.03%             | 2035-10-23      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2026-HYB1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2026 HYB1 PT 144A           | CUSIP: 46660UAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287058775 | PA      | $291220438.30   | 0.13%             | 2056-08-25      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF5743 FN 11/55 FIXED 5                          | CUSIP: 3140BWLZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15390952 | PA      | $15193887.32    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-GEL4                                              | STRUCTURED ASSET SECURITIES CO SASC 2006 GEL4 M1 144A      | CUSIP: 86361NAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2696956 | PA      | $2699567.30     | 0.00%             | 2036-10-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ6613 FR 09/54 FIXED 5.5                | CUSIP: 3133CXK25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       588417 | PA      | $593355.26      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B C                | CUSIP: 78450CAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4314550 | PA      | $4537019.42     | 0.00%             | 2052-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                             | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR              | CUSIP: 30014LAM6<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     49280000 | PA      | $49945280.00    | 0.02%             | 2031-05-13      | Floating      | 14.03%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9317 FN 03/32 FIXED 2.5                        | CUSIP: 3138WKK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11386 | PA      | $10962.06       | 0.00%             | 2032-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-2PL                                                          | ACHV ABS TRUST ACHV 2024 2PL A 144A                        | CUSIP: 00092HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3212922 | PA      | $3224994.62     | 0.00%             | 2031-10-27      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB9602 FN 09/54 FIXED 5.5                        | CUSIP: 3140QVU44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       405680 | PA      | $408051.12      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260811                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $503204.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL7                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL7 SA 144A        | CUSIP: 12597AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       300270 | PA      | $292910.75      | 0.00%             | 2059-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2006-R2                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2006 R2 M2             | CUSIP: 03072SZ81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7468151 | PA      | $7385742.12     | 0.00%             | 2036-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                                    | BWAY MORTGAGE TRUST BWAY 2021 1450 A 144A                  | CUSIP: 12430YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2952697.20     | 0.00%             | 2036-09-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $3205711.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8485 FR 11/55 FIXED 5                  | CUSIP: 31427JNB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9901650 | PA      | $9774163.60     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3191 FN 02/28 FIXED VAR                        | CUSIP: 3138EKRM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11299 | PA      | $11237.80       | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q22588 FG 10/43 FIXED 3                  | CUSIP: 3132JP2V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8548 | PA      | $7836.02        | 0.00%             | 2043-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2514 FN 05/44 FIXED 4.5                        | CUSIP: 3138WBYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83307 | PA      | $82233.78       | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5229222.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB8093 FN 09/54 FIXED 5.5                        | CUSIP: 3140AH7F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1295800 | PA      | $1303038.49     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 1A5          | CUSIP: 12667F2L8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1204891 | PA      | $1141249.72     | 0.00%             | 2035-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5                | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2642067 | PA      | $2527944.36     | 0.00%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC2                                          | STRUCTURED ASSET SECURITIES CO SASC 2007 BC2 A4            | CUSIP: 86362YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15158311 | PA      | $10324511.82    | 0.00%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING TRUST XIII LLC 2021-2A                                          | OSCAR US FUNDING TRUST OSCAR 2021 2A A4 144A               | CUSIP: 68785BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |       683229 | PA      | $679024.11      | 0.00%             | 2028-09-11      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6372 FN 03/55 FIXED 5.5                        | CUSIP: 3140B7CJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       903304 | PA      | $911905.59      | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR3                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR3 1A1           | CUSIP: 39538RBW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123768 | PA      | $106193.34      | 0.00%             | 2045-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF3             | CUSIP: 75970QAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137502651 | PA      | $32438250.47    | 0.01%             | 2037-06-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1999-25                                                               | FANNIE MAE FNR 1999 25 Z                                   | CUSIP: 31359VU27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59549 | PA      | $60330.02       | 0.00%             | 2029-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/2.6250 03/19/12-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $145714.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL2 SA 144A      | CUSIP: 362961AH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       965788 | PA      | $946900.94      | 0.00%             | 2065-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3304 FN 03/28 FIXED VAR                        | CUSIP: 3138EKU60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26175 | PA      | $25919.16       | 0.00%             | 2028-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP BRC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $178853.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP DUB                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1103605.89    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ7744 FR 11/54 FIXED 5                  | CUSIP: 3133CYS90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2281627 | PA      | $2253302.32     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/18/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-14266317.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL9 A2 144A        | CUSIP: 12654PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21900000 | PA      | $20788198.32    | 0.01%             | 2057-09-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M2              | CUSIP: 86358EMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       228656 | PA      | $201757.26      | 0.00%             | 2034-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 A4 144A       | CUSIP: 17330EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    699780625 | PA      | $641472174.46   | 0.29%             | 2061-08-01      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A4            | CUSIP: 14688PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28000000 | PA      | $28479404.80    | 0.01%             | 2030-06-10      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                            | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A1 144A       | CUSIP: 81376YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9338514 | PA      | $8094085.69     | 0.00%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A2                     | CUSIP: 12544RAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        66717 | PA      | $24865.90       | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT2                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A2           | CUSIP: 00075XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1268437 | PA      | $1197574.61     | 0.00%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $3651562.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX5304 FN 01/27 FIXED 4                          | CUSIP: 3138Y63N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1389 | PA      | $1385.07        | 0.00%             | 2027-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $4849490.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD1366 FN 02/55 FIXED 7                          | CUSIP: 3140B1QU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1128837 | PA      | $1187678.35     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW OPPORTUNITY MASTER FUND VII TRUST 2024-SN1                               | BOF URSA FUNDING BVABS 2024 SN1 A3 144A                    | CUSIP: 072926AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4460976 | PA      | $4467707.83     | 0.00%             | 2028-03-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| MMIFS RE LTD                                                                     | MMIFS RE LTD SECURED 144A 01/33 VAR                        | CUSIP: ACI2T3G55<br>LEI: 254900C86PCL10JRTQ88 | Long             | DBT              | CORP              | BM        |      8700000 | PA      | $6254981.67     | 0.00%             | 2033-01-10      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.17000 10/03/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4575280.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0852 FN 11/47 FIXED 4.5                        | CUSIP: 3140H15N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       146016 | PA      | $143719.12      | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH4857 FR 11/53 FIXED 6.5                | CUSIP: 3133CHME2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2005129 | PA      | $2078079.89     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2026-5C40                                                   | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2026 5C40 A2          | CUSIP: 05557AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17000000 | PA      | $17001353.20    | 0.01%             | 2059-02-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7387 FN 02/53 FIXED 5                          | CUSIP: 3140NCF53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       450309 | PA      | $447126.63      | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA2                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA2 2A1          | CUSIP: 32051GHL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2445349 | PA      | $2426975.96     | 0.00%             | 2035-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY1360 FR 04/55 FIXED 5                  | CUSIP: 31426KQN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61338 | PA      | $60650.25       | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8707 FN 09/35 FIXED VAR                        | CUSIP: 3140XCU97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22871 | PA      | $22689.20       | 0.00%             | 2035-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                                  | VALARIS LTD SECURED 144A 04/30 8.375                       | CUSIP: 91889FAC5<br>LEI: 5299008BQ9IREYWBTS30 | Long             | DBT              | CORP              | BM        |       956000 | PA      | $991090.94      | 0.00%             | 2030-04-30      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA10                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA10 3A1         | CUSIP: 02146QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       370613 | PA      | $357226.45      | 0.00%             | 2046-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7374 FN 04/55 FIXED 7                          | CUSIP: 3140B8FQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1534692 | PA      | $1624199.58     | 0.00%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX1348 FN 10/44 FIXED 4                          | CUSIP: 3138Y2QA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5524 | PA      | $5296.20        | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8561 FN 06/31 FIXED VAR                        | CUSIP: 3138ETQP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44750 | PA      | $44255.17       | 0.00%             | 2031-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN3502 FR 02/49 FIXED 4                  | CUSIP: 3131Y93K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       148361 | PA      | $142348.84      | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-133893.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS3                                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS3 M8            | CUSIP: 76110WS80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1982211 | PA      | $1926176.87     | 0.00%             | 2035-04-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2550 FN 12/55 FIXED 5                          | CUSIP: 3140BSZQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9120676 | PA      | $9003804.63     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8208 FN 10/31 FIXED 2.5                        | CUSIP: 3138WJDN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53335 | PA      | $51438.98       | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2007-2                                                   | LUMINENT MORTGAGE TRUST LUM 2007 2 1A2                     | CUSIP: 55028EAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2310445 | PA      | $2273724.01     | 0.00%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                          | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A        | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5581387 | PA      | $5310744.93     | 0.00%             | 2038-08-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2014-R8                                    | MORGAN STANLEY REREMIC TRUST MSRR 2014 R8 4B 144A          | CUSIP: 61764KAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       365636 | PA      | $319778.95      | 0.00%             | 2047-06-26      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2005-5                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 5 2A4             | CUSIP: 863576AH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21663 | PA      | $20365.98       | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q42970 FG 09/46 FIXED 3                  | CUSIP: 3132WGJQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       162153 | PA      | $146413.30      | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS G 144A                   | CUSIP: 90137LAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18747000 | PA      | $16253649.00    | 0.01%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1176 FR 12/55 FIXED 5                  | CUSIP: 3142JPJW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       810125 | PA      | $801061.30      | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-4                                             | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 4 M3              | CUSIP: 83611MKG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       236103 | PA      | $235347.66      | 0.00%             | 2036-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS1948 FN 05/52 FIXED VAR                        | CUSIP: 3140XHEW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       730557 | PA      | $691675.12      | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV6439 FN 11/55 FIXED 5.5                        | CUSIP: 3140MLEM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23503918 | PA      | $24116076.97    | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 081224 G2 01/35 FLOATING VAR                  | CUSIP: 36225DLE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          444 | PA      | $450.77         | 0.00%             | 2035-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES9                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES9 A1A 144A        | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32909495 | PA      | $33064578.12    | 0.01%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                   | CUSIP: 73110JAE2<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      3500000 | PA      | $3499650.00     | 0.00%             | 2029-01-08      | Floating      | 12.66%                | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE4                                           | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE4 M7           | CUSIP: 04541GRR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7216739 | PA      | $6932452.52     | 0.00%             | 2035-05-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDEX MORTGAGE LOAN TRUST 2007-AR13                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR13 4A1          | CUSIP: 456681AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16204020 | PA      | $10644433.76    | 0.00%             | 2037-07-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2025-R1                                                                | CIM TRUST CIM 2025 R1 A1 144A                              | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20298081 | PA      | $20101341.97    | 0.01%             | 2099-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-R12                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M2            | CUSIP: 03072SXE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       145211 | PA      | $152187.68      | 0.00%             | 2035-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ4                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ4 M2                | CUSIP: 70069FMT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       840774 | PA      | $831238.95      | 0.00%             | 2035-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4                                     | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 4 1A1             | CUSIP: 576433EQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7234 | PA      | $7222.83        | 0.00%             | 2033-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO MORGAN STANLEY                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6042795 | PA      | $-6043966.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.76000 08/23/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-24591.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260423                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-45135.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA6825 FN 04/40 FIXED 3.5                        | CUSIP: 3140QESP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141769 | PA      | $135418.81      | 0.00%             | 2040-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7378 FN 04/55 FIXED 7                          | CUSIP: 3140B8FU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       686759 | PA      | $726509.41      | 0.00%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2004-AC5                                            | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC5 A1           | CUSIP: 073879GM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1519460 | PA      | $1462493.41     | 0.00%             | 2034-10-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-E                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 3A1             | CUSIP: 05946XXP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1258388 | PA      | $1112682.77     | 0.00%             | 2035-05-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 B 2A4            | CUSIP: 456606LA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7219230 | PA      | $6752225.33     | 0.00%             | 2036-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4615 FN 09/46 FIXED 3.5                        | CUSIP: 3140FCDV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57900 | PA      | $54363.07       | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ1060 FR 03/54 FIXED 5.5                | CUSIP: 3142GRFA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26990621 | PA      | $27519931.51    | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR11                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR11 A1B2         | CUSIP: 92922F2J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1178080 | PA      | $1173690.38     | 0.00%             | 2045-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET H                                      | CUSIP: ACI01UGT7<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-382313.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NRPL-2023-RPL1                                                                   | NRPL TRUST SERIES NRPL 2023 RPL1 PT 144A                   | CUSIP: 62955FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150564719 | PA      | $131915306.36   | 0.06%             | 2062-09-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1530 FN 04/43 FIXED 3.5                        | CUSIP: 3140Q8VY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       212138 | PA      | $199115.25      | 0.00%             | 2043-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4305 FR 09/47 FIXED 3.5                | CUSIP: 3131XXYA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12468 | PA      | $11639.14       | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE TRUST 2005-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 3 2A3            | CUSIP: 05949A3Q1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1370437 | PA      | $1253461.39     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX SA COMMON STOCK                           | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |         3951 | NS      | $90873.00       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3287 FN 11/47 FIXED 4                          | CUSIP: 3140H4UM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3153097 | PA      | $3021512.13     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI7866 FN 08/41 FIXED 4                          | CUSIP: 3138AMW43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1190445 | PA      | $1154541.62     | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2832 FN 12/36 FIXED 3                          | CUSIP: 31418CEE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4112 | PA      | $3908.45        | 0.00%             | 2036-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0125 FN 05/30 FIXED VAR                        | CUSIP: 3140XFD73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4320017 | PA      | $4276846.22     | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH1                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A        | CUSIP: 12669HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1349258 | PA      | $1296244.84     | 0.00%             | 2037-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET SHARES   B                             | CUSIP: ACI01U3C8<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-76532.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5531 FR 12/52 FIXED 6                  | CUSIP: 3133BTEC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       275922 | PA      | $284455.52      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260713                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1181938.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20300515                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $1625326.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI2 144A      | CUSIP: 760985X97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2820920 | PA      | $2924548.93     | 0.00%             | 2034-04-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                              | TORREY PINES RE LTD SR UNSECURED 144A 06/31 VAR            | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      5400000 | PA      | $5449680.00     | 0.00%             | 2031-06-05      | Floating      | 12.92%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-76465.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0127 FN 10/30 FIXED VAR                        | CUSIP: 3140XFD99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2303641 | PA      | $2285255.11     | 0.00%             | 2030-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2012-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2012 4 1A 144A          | CUSIP: 74931PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67774701 | PA      | $47137636.81    | 0.02%             | 2047-09-28      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A1 2A1            | CUSIP: 59020UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22592 | PA      | $21624.39       | 0.00%             | 2034-02-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS3940 FR 06/38 FIXED 4.5                | CUSIP: 3132A4LV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50820 | PA      | $50712.36       | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR3                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR3 1A2A          | CUSIP: 17306SAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       353060 | PA      | $343157.85      | 0.00%             | 2036-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260506                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-155046.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 888608 FN 05/37 FIXED VAR                        | CUSIP: 31410GGR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          773 | PA      | $810.82         | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-W3                                                | STRUCTURED ASSET SECURITIES CO SASC 2006 WF3 M2            | CUSIP: 86361EAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42568015 | PA      | $41948241.70    | 0.02%             | 2036-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A          | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       334321 | PA      | $213814.00      | 0.00%             | 2036-01-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 607478 FN 09/31 FLOATING VAR                     | CUSIP: 31388K2K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10501 | PA      | $10706.66       | 0.00%             | 2031-09-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2 DAC  24-3A                            | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 3A A 144A        | CUSIP: ACI2RRG21<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     44768344 | PA      | $51802352.63    | 0.02%             | 2034-05-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7930 FN 09/46 FIXED 3.5                        | CUSIP: 3138WHY48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29083 | PA      | $27216.48       | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY7                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1                    | CUSIP: 12544HAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12057059 | PA      | $11451352.13    | 0.01%             | 2037-11-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS3                                              | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS3 MII1          | CUSIP: 76110WXF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       816435 | PA      | $806639.54      | 0.00%             | 2034-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AT&T INC SNR S* ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $318044.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2023-2A                                      | EXETER AUTOMOBILE RECEIVABLES EART 2023 2A C               | CUSIP: 30168CAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14898753 | PA      | $14938275.96    | 0.01%             | 2028-07-17      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A6                 | CUSIP: 46630GAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       108758 | PA      | $107615.31      | 0.00%             | 2035-07-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7187 FN 03/47 FIXED 4                          | CUSIP: 3140FS6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       139285 | PA      | $133472.99      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $25315.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q61106 FG 01/49 FIXED 3.5                | CUSIP: 3132VMGQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       189727 | PA      | $176370.42      | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 01/35 11.75                     | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 923305200000 | PA      | $228920576.35   | 0.10%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E 1A1            | CUSIP: 05949AGR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        65665 | PA      | $64855.56       | 0.00%             | 2034-06-25      | Fixed         | 6.87%                 | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2025-1 DAC 25-1A                                                | BARINGS EURO CLO DAC BABSE 2025 1A A 144A                  | CUSIP: ACI379GS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     59500000 | PA      | $68641250.10    | 0.03%             | 2039-08-15      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2015-2R                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 2R 3A2 144A         | CUSIP: 12649QAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7328558 | PA      | $6561646.86     | 0.00%             | 2036-04-27      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 1A2          | CUSIP: 07387YAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29266000 | PA      | $25847186.85    | 0.01%             | 2037-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVII LTD                                                        | SOUND POINT CLO LTD SNDPT 2020 2A AR 144A                  | CUSIP: 83611VAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     15700000 | PA      | $15721349.80    | 0.01%             | 2034-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8972 FN 03/47 FIXED 4                          | CUSIP: 3138WJ6J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        66864 | PA      | $64074.41       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-31                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 31 4A2                    | CUSIP: 126694UT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       394707 | PA      | $378464.85      | 0.00%             | 2036-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $363300.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD1782 FN 02/55 FIXED 7                          | CUSIP: 3140B16U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       309536 | PA      | $326343.07      | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260826                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1664133.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8881 FN 08/46 FIXED VAR                        | CUSIP: 3138ET2P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77070 | PA      | $73997.54       | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED 144A 10/31 6.5                 | CUSIP: 02090DAC2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      1575780 | PA      | $1496135.35     | 0.00%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-38                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 38 A3            | CUSIP: 12667GZ30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6076037 | PA      | $5698163.84     | 0.00%             | 2035-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3117 FR 07/52 FIXED 4                  | CUSIP: 3132DQPA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       167063 | PA      | $158399.69      | 0.00%             | 2052-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.16509 04/01/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-16359476.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1            | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3351744 | PA      | $2398559.99     | 0.00%             | 2036-01-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 2YR NOTE (CBT) JUN26 XCBT 20260630                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1291 | NC      | $1894635.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2006-1                                                          | MORTGAGEIT TRUST MHL 2006 1 2A1A                           | CUSIP: 61915RCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8305853 | PA      | $7110022.48     | 0.00%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9301 G2 11/53 FIXED 3.5                     | CUSIP: 36179YKN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       409217 | PA      | $381024.51      | 0.00%             | 2053-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                                 | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E13                | CUSIP: 073866BK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2119922 | PA      | $1399409.82     | 0.00%             | 2036-08-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A2            | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       131541 | PA      | $126324.44      | 0.00%             | 2035-07-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS 144A 05/30 VAR                                 | CUSIP: 09659W2W3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |      7200000 | PA      | $7377976.08     | 0.00%             | 2030-05-20      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260519                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-727045.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A13         | CUSIP: 02150EAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1216011 | PA      | $575025.89      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE5 M1           | CUSIP: 07388CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31973 | PA      | $31986.79       | 0.00%             | 2036-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3865 FN 12/34 FIXED 3                          | CUSIP: 31418DJK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2544484 | PA      | $2451161.38     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2024-1A                       | GMF CANADA LEASING TRUST GCOLT 2024 1A A3 144A             | CUSIP: 36252MDG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     15778022 | PA      | $11404840.92    | 0.01%             | 2029-08-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                               | VENTURE GLOBAL PLAQUE SR SECURED 144A 01/36 6.75           | CUSIP: 922966AD8<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     34700000 | PA      | $36775129.40    | 0.02%             | 2036-01-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL5                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL5 B3 144A         | CUSIP: 52474TAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178635680 | PA      | $136992398.18   | 0.06%             | 2058-08-26      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE1                                                     | ACE SECURITIES CORP. ACE 2007 HE1 A2C                      | CUSIP: 00443LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1045617 | PA      | $636873.87      | 0.00%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 2A4              | CUSIP: 12670FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4787635 | PA      | $4681148.17     | 0.00%             | 2036-02-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                               | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A3 144A           | CUSIP: 30336CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14419826 | PA      | $14518021.96    | 0.01%             | 2029-04-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-18                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 18 4A1            | CUSIP: 863579FW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41630 | PA      | $41522.02       | 0.00%             | 2034-12-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2001 FN 10/45 FIXED 4.5                        | CUSIP: 3140E6GK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17324 | PA      | $16950.73       | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5023 FR 11/39 FIXED 3.5                | CUSIP: 3133KYSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       191526 | PA      | $183250.48      | 0.00%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN1377 FR 01/35 FIXED 3                  | CUSIP: 3133G7Q63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59285 | PA      | $57113.94       | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2024-1                                  | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2024 1 A3             | CUSIP: 023947AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     53704139 | PA      | $54030735.63    | 0.02%             | 2029-01-18      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 X 144A       | CUSIP: 36265TAR1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    287431967 | PA      | $23420905.17    | 0.01%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/28 2.75       | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     38100000 | PA      | $35645340.83    | 0.02%             | 2028-03-09      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6450 FR 07/53 FIXED 5.5                | CUSIP: 3133C7EX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32356 | PA      | $32608.61       | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB8988 FN 08/54 FIXED 5.5                        | CUSIP: 3140QU7A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     82778769 | PA      | $84151906.71    | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1471 FN 09/40 FIXED 4.5                        | CUSIP: 31416WT51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2510 | PA      | $2485.60        | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1           | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9150 | PA      | $8740.77        | 0.00%             | 2035-12-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 C R               | CUSIP: 83407XAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22910628 | PA      | $30270315.54    | 0.01%             | 2034-10-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF9358 FN 01/56 FIXED 5                          | CUSIP: 3140U1MG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10107658 | PA      | $9981247.35     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-WF2                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 WF2 M2            | CUSIP: 83612MAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7563808 | PA      | $7446966.06     | 0.00%             | 2036-12-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS9770 FR 04/46 FIXED 4                  | CUSIP: 3132AA2B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85792 | PA      | $82442.42       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2005-2                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 2 A1              | CUSIP: 863579KG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       426926 | PA      | $412984.11      | 0.00%             | 2035-02-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4628755000 | PA      | $4639406783.58  | 2.06%             | 2056-06-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-320.45        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20261228                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $81711.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE6101 FN 08/55 FIXED 5                          | CUSIP: 3140BJX77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3731234 | PA      | $3683250.51     | 0.00%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 3A2           | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27252 | PA      | $26459.62       | 0.00%             | 2034-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-250007.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                             | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 M1             | CUSIP: 86358EPC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5202674 | PA      | $5551598.70     | 0.00%             | 2034-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A1          | CUSIP: 021468AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7032985 | PA      | $3643026.50     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A R 144A         | CUSIP: 21056EAL2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13494846 | PA      | $5689204.91     | 0.00%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5380 FN 07/45 FIXED 4                          | CUSIP: 3138WE6S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       290986 | PA      | $280303.02      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL1 A1A 144A    | CUSIP: 16159MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44059184 | PA      | $38989835.76    | 0.02%             | 2064-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2013-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2013 4 1A2 144A         | CUSIP: 74932FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15631929 | PA      | $13555900.72    | 0.01%             | 2037-12-26      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3519 FN 11/55 FIXED VAR                        | CUSIP: 3140W34D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10973535 | PA      | $10836978.87    | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1057 FN 01/48 FIXED 4                          | CUSIP: 3140Q8E76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11647267 | PA      | $11164822.44    | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1                                        | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 1 A 144A          | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10500000 | PA      | $10649954.70    | 0.00%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 3 LTD 2016-3A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 3A A1R 144A       | CUSIP: 03330EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9700000 | PA      | $9272800.36     | 0.00%             | 2039-01-28      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3620                                                                 | FREDDIE MAC FHR 3620 TZ                                    | CUSIP: 31398WCQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       463323 | PA      | $475628.46      | 0.00%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP CBK                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $61.08          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1             | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       223258 | PA      | $191125.87      | 0.00%             | 2035-09-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-10244.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08816 FG 06/48 FIXED 3.5                | CUSIP: 3128MJ4A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3454869 | PA      | $3219305.62     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                      | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  34670450000 | PA      | $165827448.32   | 0.07%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2019 1 AA PTT PASS THRU CE 02/33 4.15           | CUSIP: 90931CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3009600 | PA      | $2949931.24     | 0.00%             | 2033-02-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5121 FN 01/47 FIXED 3.5                        | CUSIP: 3140F0VP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9042 | PA      | $8478.68        | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A5          | CUSIP: 32052FAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1162485 | PA      | $288135.03      | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK2581 FN 03/48 FIXED 3.5                        | CUSIP: 3140HF2P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       752342 | PA      | $698611.83      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9673 FN 05/47 FIXED 3.5                        | CUSIP: 3138WKXB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       298922 | PA      | $279241.88      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A               | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16258706 | PA      | $14679699.91    | 0.01%             | 2047-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                                | CIM TRUST CIM 2024 R1 A1 144A                              | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19202060 | PA      | $18897382.43    | 0.01%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR2                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR2 2A1           | CUSIP: 45660LY86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        58484 | PA      | $55312.60       | 0.00%             | 2036-01-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-1                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 CB1             | CUSIP: 007036AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       930461 | PA      | $900569.09      | 0.00%             | 2035-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW9808 FN 09/52 FIXED 6                          | CUSIP: 3140N23S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       181384 | PA      | $186315.68      | 0.00%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE1                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE1 M1           | CUSIP: 46626LGG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9169464 | PA      | $9350997.30     | 0.00%             | 2036-01-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3641 FN 04/48 FIXED VAR                        | CUSIP: 3140J8BK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       220154 | PA      | $210968.20      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5342 FN 04/54 FIXED 7                          | CUSIP: 31418E5C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       651050 | PA      | $684893.98      | 0.00%             | 2054-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2005-HE6                                             | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE6 M5           | CUSIP: 04541GTP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1988216 | PA      | $1950333.91     | 0.00%             | 2035-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-32T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 32T1 A3          | CUSIP: 12667GC84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3266670 | PA      | $1658830.57     | 0.00%             | 2035-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $-23327.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR 01/60 6.95                | CUSIP: 71654QDF6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     57150000 | PA      | $45077634.00    | 0.02%             | 2060-01-28      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP-2006-ASP4                                                    | ACE SECURITIES CORP. ACE 2006 ASP4 A2D                     | CUSIP: 00441UAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6413880 | PA      | $5703363.87     | 0.00%             | 2036-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-8977.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5003 FR 08/39 FIXED 3.5                | CUSIP: 3133KYRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       107751 | PA      | $103262.60      | 0.00%             | 2039-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 3A1          | CUSIP: 36185MBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        39230 | PA      | $35104.14       | 0.00%             | 2035-11-19      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4170 FN 12/44 FIXED 4                          | CUSIP: 3138WDT43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22139 | PA      | $21334.43       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-1169872.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAMP TRUST 2004-RS2                                                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS2 MII1          | CUSIP: 760985R37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       120521 | PA      | $123672.84      | 0.00%             | 2034-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 5 A3             | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11717410 | PA      | $11730249.13    | 0.01%             | 2028-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2006-1                                                   | BNC MORTGAGE LOAN TRUST BNCMT 2006 1 A1                    | CUSIP: 055682AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6972864 | PA      | $4642034.26     | 0.00%             | 2036-10-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A       | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5327938 | PA      | $5165802.41     | 0.00%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR12                                                         | BCAP LLC TRUST BCAP 2010 RR12 3A11 144A                    | CUSIP: 05533NCE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5368979 | PA      | $4998482.74     | 0.00%             | 2037-08-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD5414 FN 11/31 FIXED 2                          | CUSIP: 3140FDAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8597 | PA      | $8203.26        | 0.00%             | 2031-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-468754.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-3CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 3CB 1A14         | CUSIP: 12667FY41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4759383 | PA      | $4197732.71     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA F 144A                       | CUSIP: ACI2N0NF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10725000 | PA      | $14090565.95    | 0.01%             | 2054-05-28      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 08/34 5.4                  | CUSIP: ACI1CNG93<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     60700000 | PA      | $16572622.78    | 0.01%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS JPY MUT+5.89/0.0000 03/20/22-5Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $4841402.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2024-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2024 CP1 A1 144A              | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10541020 | PA      | $9770427.80     | 0.00%             | 2068-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3683 FN 06/39 FIXED 3.5                        | CUSIP: 31418DCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       371582 | PA      | $356354.01      | 0.00%             | 2039-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.40000 10/17/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1793713.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                   | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     51688980 | PA      | $503398975.71   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $2353.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-3                                       | GS MORTGAGE BACKED SECURITIES GSMBS 2026 3 SA 144A         | CUSIP: 36276CAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       138889 | PA      | $132823.17      | 0.00%             | 2055-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB9543 FN 10/54 FIXED 7                          | CUSIP: 3140QVS96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       712617 | PA      | $749803.48      | 0.00%             | 2054-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A C 144A                       | CUSIP: ACI2V59B2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     85685000 | PA      | $113084942.52   | 0.05%             | 2056-08-28      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL0207 FR 01/55 FIXED 5                  | CUSIP: 31427MGR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43103970 | PA      | $42989050.94    | 0.02%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8858 FN 07/46 FIXED VAR                        | CUSIP: 3138ETZY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       193395 | PA      | $185825.36      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                      | URSA RE LTD UNSECURED 144A 02/28 VAR                       | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |     25300000 | PA      | $25869250.00    | 0.01%             | 2028-02-22      | Floating      | 11.04%                | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-AR1                                               | HSI ASSET LOAN OBLIGATION HALO 2007 AR1 4A1                | CUSIP: 40431LAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2059058 | PA      | $1586171.33     | 0.00%             | 2037-01-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-2                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 5A4C             | CUSIP: 02660TFJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17336459 | PA      | $9259319.76     | 0.00%             | 2035-09-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                            | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 B A2 144A        | CUSIP: 80280BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1655200 | PA      | $1665374.24     | 0.00%             | 2033-01-18      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-22483699.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $8791760.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 2A5              | CUSIP: 126673BR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       246852 | PA      | $241729.03      | 0.00%             | 2034-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 04/41 2.75                          | CUSIP: ACI1X0DG7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      9000000 | PA      | $6535778.19     | 0.00%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VI DAC 6A                                                             | ARBOUR CLO ARBR 6A AR 144A                                 | CUSIP: ACI2RC930<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     54500000 | PA      | $63003708.14    | 0.03%             | 2037-11-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $263362491.15   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1                | CUSIP: 61755CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4051038 | PA      | $3718974.34     | 0.00%             | 2037-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-17                                                        | FANNIE MAE FNR 2011 17 KS                                  | CUSIP: 31397QZU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1500177 | PA      | $141336.03      | 0.00%             | 2041-03-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH1 M3           | CUSIP: 17311CAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2422305.50     | 0.00%             | 2037-01-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ1995 FR 07/54 FIXED 7                  | CUSIP: 3142GSGD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       692301 | PA      | $728335.39      | 0.00%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2004-2                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 2 A2              | CUSIP: 004375AX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1170157 | PA      | $1169042.45     | 0.00%             | 2034-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP MYI                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $22.54          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A2           | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3079626 | PA      | $2502190.10     | 0.00%             | 2035-09-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 SA 144A        | CUSIP: 12597GBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       265477 | PA      | $257238.95      | 0.00%             | 2059-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE1075 FR 04/52 FIXED 3                  | CUSIP: 3133BAFQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       154816 | PA      | $136853.44      | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88000 10/16/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1442667.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WHETSTONE PARK CLO LTD 2021-1A                                                   | WHETSTONE PARK CLO LTD WHTPK 2021 1A A1R 144A              | CUSIP: 96329YAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     30800000 | PA      | $30784600.00    | 0.01%             | 2035-01-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 05/30 5.15                          | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     28190000 | PA      | $28672037.16    | 0.01%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE7471 FN 09/55 FIXED 5                          | CUSIP: 3140BLJR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1184191 | PA      | $1168967.95     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-52CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 52CB 1A2         | CUSIP: 12668AFX8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2034370 | PA      | $135303.12      | 0.00%             | 2035-11-25      | Floating      | 1.31%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 02/30 VAR                   | CUSIP: 902613BJ6<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     19800000 | PA      | $20231220.44    | 0.01%             | 2030-02-08      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ2091 FR 04/54 FIXED 5.5                | CUSIP: 3142GSKD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       139272 | PA      | $140217.01      | 0.00%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8308 FR 03/53 FIXED 5.5                | CUSIP: 3132DWGR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       943670 | PA      | $952309.78      | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4851                                                          | FREDDIE MAC FHR 4851 KO                                    | CUSIP: 3137FKAP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7206115 | PA      | $5811934.47     | 0.00%             | 2057-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2004-4                                                 | GSMPS MORTGAGE LOAN TRUST GSMPS 2004 4 1AF 144A            | CUSIP: 36242DJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18834934 | PA      | $17017032.88    | 0.01%             | 2034-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2024-CES2                                        | JP MORGAN MORTGAGE TRUST JPMMT 2024 CES2 PT 144A           | CUSIP: 46658QAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    117471641 | PA      | $126935719.90   | 0.06%             | 2055-02-25      | Fixed         | 9.60%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                                   | FREMONT HOME LOAN TRUST FHLT 2006 2 2A3                    | CUSIP: 35729PPX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3902342 | PA      | $3831218.38     | 0.00%             | 2036-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A2A          | CUSIP: 17311WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       775847 | PA      | $721029.35      | 0.00%             | 2037-03-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SC0086 FR 10/40 FIXED 2.5                | CUSIP: 3132D9CX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21165796 | PA      | $19154001.18    | 0.01%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2005-G                                             | BANC OF AMERICA FUNDING CORPOR BAFC 2005 G A2              | CUSIP: 05946XC27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       520334 | PA      | $504158.78      | 0.00%             | 2035-10-20      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 SIO 144A     | CUSIP: 36263MCL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    229331992 | PA      | $9046011.90     | 0.00%             | 2052-03-25      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 1A1             | CUSIP: 059515AV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9599 | PA      | $9399.89        | 0.00%             | 2034-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD9147 FN 08/40 FIXED 4.5                        | CUSIP: 31418XEV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13233 | PA      | $13103.34       | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q35743 FG 08/45 FIXED 3                  | CUSIP: 3132QSLZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25454 | PA      | $23085.72       | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR1                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR1 3A1           | CUSIP: 45660LZM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       204476 | PA      | $155110.12      | 0.00%             | 2035-11-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY6944 FR 06/55 FIXED 5                  | CUSIP: 31426RWE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       565004 | PA      | $559531.47      | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A2           | CUSIP: 93364FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1103803 | PA      | $1016648.16     | 0.00%             | 2037-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3575 FN 11/55 FIXED 5                          | CUSIP: 3140BT6M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7397013 | PA      | $7301971.55     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ1587 FN 06/45 FIXED 4                          | CUSIP: 3138YSXR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       182318 | PA      | $175231.35      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MFA 2021-RPL1 TRUST                                                              | MFRA TRUST MFRA 2021 RPL1 M2 144A                          | CUSIP: 55283QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5200000 | PA      | $4313647.52     | 0.00%             | 2060-07-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX5270 FR 01/55 FIXED 5                  | CUSIP: 31426A2C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1076362 | PA      | $1063595.21     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                                 | GOLDEN BEAR RE LTD UNSECURED 144A 03/32 VAR                | CUSIP: 38090EAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     16200000 | PA      | $16200000.00    | 0.01%             | 2032-03-08      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-1                                          | THORNBURG MORTGAGE SECURITIES TMST 2004 1 II2A             | CUSIP: 885220EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       777550 | PA      | $764422.77      | 0.00%             | 2044-03-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-NEMA                           | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 NEMA A 144A       | CUSIP: 63874RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34500000 | PA      | $32247312.15    | 0.01%             | 2039-02-15      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3300 FN 11/52 FIXED VAR                        | CUSIP: 3140XJU27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4501894 | PA      | $4670463.42     | 0.00%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890200 FN 10/39 FIXED VAR                        | CUSIP: 31410K7M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2608 | PA      | $2759.31        | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA2825 FN 09/53 FIXED 6.5                        | CUSIP: 3140A3D75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2647614 | PA      | $2740773.04     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 2A6           | CUSIP: 74922KAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1670298 | PA      | $1258101.12     | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RMS1                                              | STRUCTURED ASSET SECURITIES CO SASC 2005 RMS1 M1           | CUSIP: 86359B6S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2130742 | PA      | $2170686.85     | 0.00%             | 2035-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                                  | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/26 11.75        | CUSIP: P17625AE7<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      9360000 | PA      | $4843800.00     | 0.00%             | 2026-10-21      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                             | GSAMP TRUST GSAMP 2006 NC2 A2C                             | CUSIP: 362463AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20704130 | PA      | $11302305.87    | 0.01%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A12                                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A12 A3            | CUSIP: 76113XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6417817 | PA      | $2105837.38     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.22000 10/20/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3204583.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA A 144A                       | CUSIP: ACI2N0NS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    639555333 | PA      | $847803028.16   | 0.38%             | 2054-05-28      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260408                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $29382.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA R 144A                       | CUSIP: ACI2N0NJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     24872000 | PA      | $29648043.56    | 0.01%             | 2054-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW9916 FN 10/52 FIXED 5                          | CUSIP: 3140N3AS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       160431 | PA      | $159116.11      | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A2 144A       | CUSIP: 16678RDL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       142983 | PA      | $139018.06      | 0.00%             | 2036-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE6                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE6 A2B           | CUSIP: 59023XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20927392 | PA      | $6340748.50     | 0.00%             | 2037-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8164 FN 07/47 FIXED 3.5                        | CUSIP: 3140GXCA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2278 | PA      | $2116.28        | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 B1 144A      | CUSIP: 36263MCD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3443550 | PA      | $3016145.55     | 0.00%             | 2052-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52843 FG 12/47 FIXED 3.5                | CUSIP: 3132XVER0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       332265 | PA      | $311053.56      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0061 FN 07/47 FIXED 3.5                        | CUSIP: 3140Q7B71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16603 | PA      | $15485.83       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                               | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A           | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9326189 | PA      | $8303178.04     | 0.00%             | 2046-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2714 FR 04/27 FIXED 3                  | CUSIP: 31329LAP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89013 | PA      | $88503.89       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX3                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX3 A1           | CUSIP: 45670AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10525789 | PA      | $9975168.12     | 0.00%             | 2037-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL6                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL6 B2 144A        | CUSIP: 12654UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    423158051 | PA      | $305373700.14   | 0.14%             | 2058-07-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 B 144A        | CUSIP: 17329HAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59982316 | PA      | $36858173.46    | 0.02%             | 2060-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC3 2A1          | CUSIP: 07387NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23137156 | PA      | $5030087.07     | 0.00%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $9713.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4744 FR 11/47 FIXED 4                  | CUSIP: 3132A5HV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17593 | PA      | $16904.75       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-31004744.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2                     | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE2 A1A          | CUSIP: 04541GWC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10523938 | PA      | $9820075.12     | 0.00%             | 2036-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO XI 2021-11A                                                     | OCEAN TRAILS CLO OCTR 2021 11A AR 144A                     | CUSIP: 67514VAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     43800000 | PA      | $43807141.59    | 0.02%             | 2034-07-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A3           | CUSIP: 44328AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7397057 | PA      | $2536552.77     | 0.00%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                         | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 2A1A         | CUSIP: 66988UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3732188 | PA      | $3494166.76     | 0.00%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH4                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH4 M2           | CUSIP: 46630CAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32875000 | PA      | $30711795.41    | 0.01%             | 2037-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| ARES LIX CLO LTD 2021-59A                                                        | ARES CLO LTD ARES 2021 59A A 144A                          | CUSIP: 04018EAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12800000 | PA      | $12817974.02    | 0.01%             | 2034-04-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS8                                              | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS8 MI3           | CUSIP: 76110WC95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       895141 | PA      | $836613.00      | 0.00%             | 2034-09-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 638023 FN 04/32 FIXED 6.5                        | CUSIP: 31389WYU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1499 | PA      | $1550.18        | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1             | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |      5600000 | PA      | $0.06           | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  3 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                                | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/37 5.5       | CUSIP: P7807HAB1<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    117045000 | PA      | $39409051.50    | 0.02%             | 2037-04-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8379 FR 11/55 FIXED 5                  | CUSIP: 31427JJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1854859 | PA      | $1831014.09     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2004-FF8                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF8 M3             | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       625822 | PA      | $631714.60      | 0.00%             | 2034-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/31 6.388                     | CUSIP: 097023DR3<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     25500000 | PA      | $27202538.87    | 0.01%             | 2031-05-01      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004467 G2 06/39 FIXED 4                       | CUSIP: 36202E6C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3265 | PA      | $3128.94        | 0.00%             | 2039-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP5567 FN 06/50 FIXED 3.5                        | CUSIP: 3140KDFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11054 | PA      | $10260.31       | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA4                                                          | BCAP LLC TRUST BCAP 2007 AA4 13A1                          | CUSIP: 05530WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1152311 | PA      | $979447.38      | 0.00%             | 2047-06-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD6382 FR 07/54 FIXED 5                  | CUSIP: 3132DUCT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       570897 | PA      | $563992.79      | 0.00%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 2A4A           | CUSIP: 41161PHC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        44326 | PA      | $43623.20       | 0.00%             | 2034-11-19      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG7530 FR 07/53 FIXED 5.5                | CUSIP: 3133C8LK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3253962 | PA      | $3281305.04     | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A3            | CUSIP: 55275TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30759516 | PA      | $8474194.28     | 0.00%             | 2037-01-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR3                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR3 A6            | CUSIP: 25151AAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5840493 | PA      | $5337825.43     | 0.00%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX5193 FR 02/55 FIXED 7                  | CUSIP: 31426AXX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10378294 | PA      | $10927656.39    | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3285 FN 08/45 FIXED 4                          | CUSIP: 3138YUUK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       919664 | PA      | $885281.84      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4146                                                          | FREDDIE MAC FHR 4146 US                                    | CUSIP: 3137AXGY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1364079 | PA      | $1086755.29     | 0.00%             | 2042-12-15      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.51400 09/04/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2478987.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3112 FR 05/55 FIXED 5.5                | CUSIP: 31427QN65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26403421 | PA      | $26550915.23    | 0.01%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2025-2                                              | DRIVE AUTO RECEIVABLES TRUST DRIVE 2025 2 A2               | CUSIP: 262103AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85717945 | PA      | $85743814.77    | 0.04%             | 2028-10-16      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE1 M2            | CUSIP: 59020U3F0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10056775 | PA      | $9738531.92     | 0.00%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3458 FN 01/50 FIXED VAR                        | CUSIP: 3140X6ZY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     84681602 | PA      | $75785686.39    | 0.03%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.2914 05/08/25-01/02/29 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-10304948.98   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MSJP 2015-HAUL                                                                   | MSJP MSJP 2015 HAUL XA 144A                                | CUSIP: 553697AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46562958 | PA      | $755076.56      | 0.00%             | 2047-09-05      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB1 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB1 A1 144A             | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35322970 | PA      | $35380687.27    | 0.02%             | 2053-03-25      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2005-1                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2005 1 M6               | CUSIP: 29445FCT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1903915 | PA      | $1875526.20     | 0.00%             | 2035-04-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR17                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR17 1A1          | CUSIP: 45660LUS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2705615 | PA      | $1813259.25     | 0.00%             | 2035-09-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR15                                                         | BCAP LLC TRUST BCAP 2009 RR15 1A2 144A                     | CUSIP: 05532MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1384748 | PA      | $975400.66      | 0.00%             | 2035-10-26      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A D 144A          | CUSIP: 21050QAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15213263 | PA      | $15222412.48    | 0.01%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080461 G2 10/30 FLOATING VAR                  | CUSIP: 36225CQP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9875 | PA      | $9903.91        | 0.00%             | 2030-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 02/27 32.6                   | CUSIP: ACI2TT097<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  11800000000 | PA      | $250322341.11   | 0.11%             | 2027-02-10      | Fixed         | 32.60%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.25000 03/20/24-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-13553647.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A                 | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       470393 | PA      | $420689.15      | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-66                                                        | FANNIE MAE FNR 2012 66 IA                                  | CUSIP: 3136A6ZP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       362144 | PA      | $3890.62        | 0.00%             | 2027-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S2 2A4                 | CUSIP: 466247UW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1817830 | PA      | $1333326.15     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q48720 FG 06/47 FIXED 3                  | CUSIP: 3132WNVN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13642 | PA      | $12308.68       | 0.00%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SEA1                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SEA1 2A1 144A      | CUSIP: 23248AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       872432 | PA      | $845023.70      | 0.00%             | 2047-05-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF6 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF6 A1 144A      | CUSIP: 69393BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34098197 | PA      | $33815676.68    | 0.02%             | 2055-12-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF1                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF1 M3             | CUSIP: 32027NQN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2041777 | PA      | $2089166.79     | 0.00%             | 2034-12-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J2                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J2 2A1           | CUSIP: 12667F6M2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       104154 | PA      | $12033.04       | 0.00%             | 2034-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A7          | CUSIP: 02147QAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1563006 | PA      | $852287.51      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.00000 03/18/26-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $11811800.63    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10                          | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA10 2A1         | CUSIP: 32051GA88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       693782 | PA      | $524190.35      | 0.00%             | 2035-12-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2006-3                                                     | TERWIN MORTGAGE TRUST TMTS 2006 3 1A3 144A                 | CUSIP: 881561T79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11518105 | PA      | $11277502.92    | 0.01%             | 2037-04-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY6050 FN 05/45 FIXED 3.5                        | CUSIP: 3138YKWL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1224811 | PA      | $1151287.16     | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE7 M1                | CUSIP: 61744CGD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9735902 | PA      | $10305805.00    | 0.00%             | 2034-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                                       | NAVESINK CLO, LIMITED NAVS 2024 2A A1R 144A                | CUSIP: 63942YAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     59800000 | PA      | $59802753.19    | 0.03%             | 2036-01-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005054 G2 05/41 FIXED 4                       | CUSIP: 36202FTK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4338 | PA      | $4175.43        | 0.00%             | 2041-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-7                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 7 3A1             | CUSIP: 576433D52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       726675 | PA      | $436458.55      | 0.00%             | 2035-09-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2808 FN 11/46 FIXED 4                          | CUSIP: 31418CDN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3589921 | PA      | $3446072.11     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-6                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 6 1A             | CUSIP: 54251RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11618266 | PA      | $8312659.99     | 0.00%             | 2036-07-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 2A5           | CUSIP: 74922KAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1140819 | PA      | $873400.17      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 2A3                 | CUSIP: 46630PAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       349710 | PA      | $248090.54      | 0.00%             | 2037-04-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC6454 FN 11/54 FIXED 5                          | CUSIP: 3140AUE41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       172948 | PA      | $170809.62      | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2003-K                                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 K 2A1            | CUSIP: 05948XZG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16781 | PA      | $16330.66       | 0.00%             | 2033-12-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2594 FN 03/46 FIXED 4.5                        | CUSIP: 31418B3C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70142 | PA      | $69237.48       | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-262931.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8720 FR 11/55 FIXED 5                  | CUSIP: 31427JVN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17751534 | PA      | $17524248.54    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA3                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA3 A2            | CUSIP: 75114RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15050850 | PA      | $13547036.40    | 0.01%             | 2036-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 03/29 5.375                   | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    100400000 | PA      | $101997929.25   | 0.05%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R8                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R8 M5             | CUSIP: 03072SM44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2718000 | PA      | $2643444.99     | 0.00%             | 2035-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1B         | CUSIP: 45660LMH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1326197 | PA      | $1175830.67     | 0.00%             | 2035-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINANCE PLC                                                  | MITCHELLS + BUTLERS FINA SR SECURED REGS 12/30 VAR         | CUSIP: B1FL5YII7<br>LEI: 213800E7QA1U8BF34219 | Long             | DBT              | CORP              | GB        |        20534 | PA      | $19830.84       | 0.00%             | 2030-12-15      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8344 FR 07/53 FIXED 6.5                | CUSIP: 3132DWHV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70679 | PA      | $73209.81       | 0.00%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTGE 2004-14                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 14 1A             | CUSIP: 863579CB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       410081 | PA      | $394414.27      | 0.00%             | 2034-10-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 03/18/26-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2316038.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $267128.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-4CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 4CB 3A3          | CUSIP: 12667FCL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       476540 | PA      | $458606.02      | 0.00%             | 2034-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ALBA PLC 2006-2                                                                  | ALBA PLC ALBA 2006 2 A3A REGS                              | CUSIP: B1HMXTII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       395675 | PA      | $515723.61      | 0.00%             | 2038-12-15      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR11                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR11 A1A          | CUSIP: 92922F2G2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11063188 | PA      | $10576938.11    | 0.00%             | 2045-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7762 FN 05/55 FIXED 6.5                        | CUSIP: 3140B8TU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1621164 | PA      | $1680814.15     | 0.00%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1          | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60087 | PA      | $59077.30       | 0.00%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/17/25-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-7264487.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                                     | ACE SECURITIES CORP. ACE 2007 HE2 A2B                      | CUSIP: 00443PAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13968287 | PA      | $7423692.18     | 0.00%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP MEI                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $172.37         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-2 CLASS A PASS THROUGH TRUST                              | AMERN AIRLINE 16 2 A PTT PASS THRU CE 12/29 3.65           | CUSIP: 023764AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2922500 | PA      | $2836339.15     | 0.00%             | 2029-12-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                                    | ARGENT SECURITIES INC. ARSI 2006 M2 A2D                    | CUSIP: 04013BAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4036440 | PA      | $1305739.35     | 0.00%             | 2036-09-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G07786 FG 08/44 FIXED 4                  | CUSIP: 3128M96X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231726 | PA      | $224349.70      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0405 FN 03/40 FIXED 6                          | CUSIP: 31417YNX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2321 | PA      | $2392.19        | 0.00%             | 2040-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-1                                       | GS MORTGAGE BACKED SECURITIES GSMBS 2026 1 SA 144A         | CUSIP: 36274KDF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17406 | PA      | $17434.50       | 0.00%             | 2055-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD8232 FN 04/55 FIXED 5                          | CUSIP: 3140B9EE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1973504 | PA      | $1955484.23     | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0129 FN 11/34 FIXED VAR                        | CUSIP: 3140XFEB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3386391 | PA      | $3346613.25     | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TRUST 2005-3                                           | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 3 M4               | CUSIP: 29256PAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1059462 | PA      | $1058863.62     | 0.00%             | 2035-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2753 FN 04/26 FIXED 3.5                        | CUSIP: 31416YBX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            3 | PA      | $2.94           | 0.00%             | 2026-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A4            | CUSIP: 590238AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1352053 | PA      | $512277.39      | 0.00%             | 2047-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8768 FR 11/55 FIXED 5                  | CUSIP: 31427JW61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2652044 | PA      | $2621490.45     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4774 FN 03/53 FIXED VAR                        | CUSIP: 3140XLJU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       325962 | PA      | $329016.77      | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2003-BC5                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 BC5 2A2            | CUSIP: 126671K62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       285400 | PA      | $288760.33      | 0.00%             | 2033-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-B TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 B C               | CUSIP: 83407KAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20600000 | PA      | $20740106.78    | 0.01%             | 2034-06-15      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2026-1 DAC 26-1A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2026 1A A 144A        | CUSIP: ACI38ZH96<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     71700000 | PA      | $82874460.80    | 0.04%             | 2035-10-15      | Floating      | 3.15%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5352 FN 05/54 FIXED 5                          | CUSIP: 31418E5N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4382273 | PA      | $4326501.65     | 0.00%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2005-OPT1                                           | SG MORTGAGE SECURITIES TRUST SGMS 2005 OPT1 M3             | CUSIP: 81879MAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1905599.60     | 0.00%             | 2035-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                            | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 B B 144A         | CUSIP: 80280BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1451334 | PA      | $1460333.86     | 0.00%             | 2033-01-18      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A4            | CUSIP: 68403FAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2767343 | PA      | $1591653.84     | 0.00%             | 2037-04-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                              | CAPE LOOKOUT RE LTD UNSECURED 144A 03/33 VAR               | CUSIP: 13947LAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     12200000 | PA      | $12200000.00    | 0.01%             | 2033-03-21      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-18325.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3898 FN 04/48 FIXED VAR                        | CUSIP: 3140J8KL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89268 | PA      | $85570.73       | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B D 144A           | CUSIP: 83206NAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19263779 | PA      | $19376908.93    | 0.01%             | 2055-02-16      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 3A1           | CUSIP: 12668AXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       146274 | PA      | $138071.39      | 0.00%             | 2035-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4019 FN 09/47 FIXED 4                          | CUSIP: 3140GSPD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       148732 | PA      | $142876.78      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA STRUCTURED SECURITIES TRUST 2025-S3                           | FINANCE OF AMERICA STRUCTURED FASST 2025 S3 A1 144A        | CUSIP: 316919AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    856241194 | PA      | $834245984.57   | 0.37%             | 2055-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2025-1                                               | CAPITAL STREET MASTER TRUST CAPST 2025 1 A 144A            | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     51000000 | PA      | $50950030.20    | 0.02%             | 2029-08-16      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| AGL CLO 14 LTD 2021-14A                                                          | AGL CLO 14, LTD. AGL 2021 14A AR 144A                      | CUSIP: 00851WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     32100000 | PA      | $32132502.86    | 0.01%             | 2034-12-02      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2388                                                                 | FREDDIE MAC FHR 2388 EZ                                    | CUSIP: 31339M2H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4353 | PA      | $4631.26        | 0.00%             | 2031-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-2 2018-2A                               | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 2A B2 144A         | CUSIP: 64828CBS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3592750 | PA      | $3567863.78     | 0.00%             | 2058-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| PROVIDUS CLO II DAC 2A                                                           | PROVIDUS CLO PRVD 2A ARR 144A                              | CUSIP: ACI2RB411<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     69000000 | PA      | $79771298.74    | 0.04%             | 2038-10-15      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $423231.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-LC24                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2016 LC24 XA           | CUSIP: 95000HBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208476250 | PA      | $439134.37      | 0.00%             | 2049-10-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-1134.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) JUN26 XCBT 20260630                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       309404 | NC      | $-468869498.57  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                                    | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                    | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2576501 | PA      | $2115641.62     | 0.00%             | 2036-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                       | ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN     | CUSIP: 949ABFII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    761087656 | PA      | $783920285.61   | 0.35%             | 2028-09-15      | Fixed         | 11.64%                | No            |                  3 | On Loan: No      |
| AMERIQUEST MTGE SEC 2003-AR3                                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2003 AR3 M4            | CUSIP: 03072SHJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       732808 | PA      | $722005.66      | 0.00%             | 2033-06-25      | Floating      | 9.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7530 FN 11/28 FIXED VAR                        | CUSIP: 3138EQLL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          537 | PA      | $534.27         | 0.00%             | 2028-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-9                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 9 B1                      | CUSIP: 81744FEA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12971 | PA      | $10137.45       | 0.00%             | 2034-10-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                                 | GAZPROM PJSC (GAZ FN) SR UNSECURED 144A 02/27 1.5          | CUSIP: ACI1VT7X6<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |    137850000 | PA      | $123483813.47   | 0.05%             | 2027-02-17      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08658 FG 08/45 FIXED 3                  | CUSIP: 3128MJWU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       153719 | PA      | $139632.89      | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.50000 06/17/20-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1351931894.30  | 0.60%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-177090.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.01000 01/07/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $553201.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                                      | WATR ISSUER TRUST WATR 2025 1 C 144A                       | CUSIP: 942611AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10020000 | PA      | $10068290.19    | 0.00%             | 2050-06-17      | Fixed         | 5.81%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3159 FN 10/27 FIXED 3                          | CUSIP: 31418CQM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14427 | PA      | $14306.18       | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A13        | CUSIP: 02149JAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3284692 | PA      | $1094236.27     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6671 FN 02/46 FIXED 4                          | CUSIP: 3138WGMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1234147 | PA      | $1186989.07     | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $2420195.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2716 FN 08/36 FIXED 2.5                        | CUSIP: 31418CAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52148 | PA      | $48700.44       | 0.00%             | 2036-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2005-A4                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A4 2A2            | CUSIP: 59020UXK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       244328 | PA      | $228095.36      | 0.00%             | 2035-07-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REPU STATE STREET GLOBAL MARKE USD REPU SSB T              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -2574669602 | PA      | $-2574669602.40 | -1.15%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52046 FG 11/47 FIXED 3.5                | CUSIP: 3132XUHY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       573950 | PA      | $536714.98      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA2840 FR 01/56 FIXED 5                  | CUSIP: 3142JREN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       396967 | PA      | $391843.76      | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-18                                                   | GSAA HOME EQUITY TRUST GSAA 2006 18 AF4A                   | CUSIP: 3622ELAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19562278 | PA      | $5226461.62     | 0.00%             | 2036-11-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260403                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-341379.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3601 FN 11/55 FIXED 5                          | CUSIP: 3140BUAB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2547853 | PA      | $2514968.80     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-700777.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83592 FG 11/47 FIXED 3.5                | CUSIP: 3132L87D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       123547 | PA      | $115225.21      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                     | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6110149 | PA      | $5339566.38     | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $3332152.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES COMPANY GUAR 04/28 4.95                     | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      3980000 | PA      | $3975455.00     | 0.00%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6930 FR 02/53 FIXED 5.5                | CUSIP: 3133BUVX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1131391 | PA      | $1140862.49     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 AIOS 144A     | CUSIP: 17329YAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    776805159 | PA      | $6035115.80     | 0.00%             | 2061-05-01      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9530 FN 02/45 FIXED 3.5                        | CUSIP: 3138YBSU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       487088 | PA      | $457641.85      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4392 FN 12/30 FIXED 3                          | CUSIP: 3140E83A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34054 | PA      | $33047.21       | 0.00%             | 2030-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                       | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A A 144A          | CUSIP: ACI2MKRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    110195281 | PA      | $146003106.52   | 0.06%             | 2060-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD3334 FN 01/55 FIXED 7                          | CUSIP: 3140B3V41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       516350 | PA      | $545966.67      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF1             | CUSIP: 75970QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6639000 | PA      | $1608323.60     | 0.00%             | 2037-06-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| CRNCL-2019-11A                                                                   | CAIRN CLO BV CRNCL 2019 11A BR 144A                        | CUSIP: ACI34RR48<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     11900000 | PA      | $13775183.53    | 0.01%             | 2040-01-15      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A              | CUSIP: ACI0Y9KJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     46014000 | PA      | $60968039.93    | 0.03%             | 2049-12-21      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A         | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15803604 | PA      | $15876790.69    | 0.01%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 01/30 7             | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    102040000 | PA      | $104239778.32   | 0.05%             | 2030-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1589 FN 09/49 FIXED VAR                        | CUSIP: 3140X4XT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94146 | PA      | $87310.19       | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1327 FN 08/49 FIXED 3                          | CUSIP: 3140JVPM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1516853 | PA      | $1336718.49     | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8514 FN 03/53 FIXED 5.5                        | CUSIP: 3140NDN86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3947330 | PA      | $3980937.79     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R8                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R8 M2             | CUSIP: 03072SUA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       129918 | PA      | $129548.90      | 0.00%             | 2034-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-BC6                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 BC6 A1            | CUSIP: 86362VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11419467 | PA      | $10973689.13    | 0.00%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 5 25A1                 | CUSIP: 07386HUM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6519232 | PA      | $3931969.85     | 0.00%             | 2035-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-12                                               | VERUS SECURITIZATION TRUST VERUS 2025 12 A1FC 144A         | CUSIP: 92490FAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52283583 | PA      | $52138161.64    | 0.02%             | 2070-12-25      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| KKR CLO 38 LTD                                                                   | KKR FINANCIAL CLO LTD KKR 38A A1R 144A                     | CUSIP: 48259BAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     29400000 | PA      | $29374347.32    | 0.01%             | 2038-01-15      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2014-11R                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 11R 9A2 144A        | CUSIP: 12649FCL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1834749 | PA      | $1457972.64     | 0.00%             | 2036-10-27      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ3455 FR 10/54 FIXED 5                  | CUSIP: 3142GTZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       733219 | PA      | $724059.60      | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-2557173.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR3                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR3 2A1           | CUSIP: 45660LFJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6099 | PA      | $6116.32        | 0.00%             | 2035-04-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1439 FN 10/47 FIXED 3.5                        | CUSIP: 3140H2S58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       299616 | PA      | $279209.68      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-B TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 B R               | CUSIP: 83407KAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35522194 | PA      | $43202872.97    | 0.02%             | 2034-06-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                                 | GOLDEN BEAR RE LTD UNSECURED 144A 01/29 VAR                | CUSIP: 38090EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     39500000 | PA      | $40216925.00    | 0.02%             | 2029-01-08      | Floating      | 9.75%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2003-A                                                        | CENTEX HOME EQUITY CXHE 2003 A M2                          | CUSIP: 152314GS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        54496 | PA      | $54557.94       | 0.00%             | 2033-03-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260727                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1647124.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.56436 06/30/26-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $633557.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9454 FN 04/47 FIXED 4                          | CUSIP: 3138WKQG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103370 | PA      | $99110.18       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-OPT                                                             | GSAMP TRUST GSAMP 2004 OPT M1                              | CUSIP: 36242DNU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1032070 | PA      | $1009496.34     | 0.00%             | 2034-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7593 FN 11/46 FIXED 4                          | CUSIP: 3140FFNK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       411240 | PA      | $395563.30      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ2900 FR 09/55 FIXED 5.5                | CUSIP: 31427AGJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23361 | PA      | $23492.02       | 0.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-879529.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5798 FN 07/47 FIXED 4                          | CUSIP: 3140GUNQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       576759 | PA      | $552688.99      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1135 FN 04/32 FIXED VAR                        | CUSIP: 3140X4HM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       635968 | PA      | $627041.74      | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.76000 03/04/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-1162500.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 1A1            | CUSIP: 863579JD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       481121 | PA      | $476127.60      | 0.00%             | 2035-01-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -328700000 | NC      | $-293397.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-B                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 B M1              | CUSIP: 63860LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17031000 | PA      | $16312775.48    | 0.01%             | 2037-04-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                                  | AVON FINANCE AVON 4A A 144A                                | CUSIP: ACI2JTXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     58366031 | PA      | $77315347.74    | 0.03%             | 2049-12-28      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL6 PT 144A      | CUSIP: 36272QAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115988093 | PA      | $98310695.55    | 0.04%             | 2064-01-25      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $27627201.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                          | GSG BIDCO LTD SR SECURED 144A 06/36 5.375                  | CUSIP: ACI38RGS3<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |    109800000 | PA      | $126040466.32   | 0.06%             | 2036-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                                      | WATR ISSUER TRUST WATR 2025 1 A 144A                       | CUSIP: 942611AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61804529 | PA      | $61831134.93    | 0.03%             | 2050-06-17      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ1188 FR 08/55 FIXED 5.5                | CUSIP: 31426XKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       332147 | PA      | $333986.03      | 0.00%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 2 1A                 | CUSIP: 590219AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1985 | PA      | $2073.74        | 0.00%             | 2036-05-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.01300 01/15/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2891433.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-MLN1                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 MLN1 A1           | CUSIP: 59024UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23619237 | PA      | $18622890.09    | 0.01%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260819                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $2431414.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP JPS                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $427736.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A2          | CUSIP: 23242GAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1773071 | PA      | $1687403.86     | 0.00%             | 2046-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                                   | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                    | CUSIP: 36779CAU0<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |      5300000 | PA      | $5300000.00     | 0.00%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF4 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF4 A1 144A      | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13428929 | PA      | $13220063.21    | 0.01%             | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46441 FG 02/47 FIXED 3                  | CUSIP: 3132WLEP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3892324 | PA      | $3516535.37     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A5 4A1                 | CUSIP: 46632BAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3458601 | PA      | $2644883.70     | 0.00%             | 2037-10-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX0854 FR 12/54 FIXED 5                  | CUSIP: 31425U5Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1323267 | PA      | $1306364.29     | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A1 144A         | CUSIP: 21050QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23850990 | PA      | $23946498.55    | 0.01%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-H                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 H 1A1            | CUSIP: 05949CFT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1327506 | PA      | $1169519.47     | 0.00%             | 2035-09-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A4           | CUSIP: 14454AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4082656 | PA      | $3335538.79     | 0.00%             | 2036-10-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.35000 04/29/25-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $803694.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                                     | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A                  | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    137400000 | PA      | $137810310.75   | 0.06%             | 2037-04-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA5541 FN 04/50 FIXED 3                          | CUSIP: 3140QDEP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     64200532 | PA      | $57513809.37    | 0.03%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M MORTGAGE TRUST                                                     | MKT 2020 525M MORTGAGE TRUST MKT 2020 525M A 144A          | CUSIP: 55316PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16065000 | PA      | $14525491.05    | 0.01%             | 2040-02-12      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 05/27 5.04                          | CUSIP: 097023CU7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    125660000 | PA      | $126388908.42   | 0.06%             | 2027-05-01      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE2                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE2 A2D            | CUSIP: 784208AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7866589 | PA      | $1637983.55     | 0.00%             | 2036-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE5                                                             | GSAMP TRUST GSAMP 2005 HE5 M4                              | CUSIP: 362341ZE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2168077 | PA      | $2141934.49     | 0.00%             | 2035-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 7 1A1                  | CUSIP: 073875AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2018573 | PA      | $1866205.23     | 0.00%             | 2046-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9349 FN 04/45 FIXED 4                          | CUSIP: 3140GYL72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       105373 | PA      | $101204.39      | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AS.6 SP BOA                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $62.22          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-278232.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 1 4A1                     | CUSIP: 81744HAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       164186 | PA      | $107482.76      | 0.00%             | 2046-09-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8583 FN 01/47 FIXED 3.5                        | CUSIP: 3138WJRD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61366 | PA      | $57105.13       | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $59804.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 AIOS 144A    | CUSIP: 36265TAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    261360103 | PA      | $1712078.56     | 0.00%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4546 FN 11/49 FIXED 3                          | CUSIP: 3140QCBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42250393 | PA      | $37808158.38    | 0.02%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-1040072.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                                      | WATR ISSUER TRUST WATR 2025 1 D 144A                       | CUSIP: 942611AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17130000 | PA      | $17225371.96    | 0.01%             | 2050-06-17      | Fixed         | 6.77%                 | No            |                  3 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                          | BCAP LLC TRUST BCAP 2011 R11 8A7 144A                      | CUSIP: 05533FCN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       134054 | PA      | $111693.62      | 0.00%             | 2036-07-26      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-5F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 5F 4A1                    | CUSIP: 36242D6X6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       475206 | PA      | $455635.59      | 0.00%             | 2035-06-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                                    | EGYPT GOVERNMENT BOND BONDS 10/30 19.698                   | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |  30258800000 | PA      | $545063478.38   | 0.24%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.12 SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $16216.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC5                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC5 1A           | CUSIP: 02147HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8176844 | PA      | $7269306.14     | 0.00%             | 2036-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0007 FN 04/53 FIXED 5.5                        | CUSIP: 3140NGAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19748777 | PA      | $19936894.82    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH8919 FR 01/54 FIXED 6.5                | CUSIP: 3133CM4C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1442602 | PA      | $1492453.96     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3 JUMBOS                                 | CUSIP: 21H030658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    334300000 | PA      | $298237307.27   | 0.13%             | 2056-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW3048 FN 04/44 FIXED 4.5                        | CUSIP: 3138XSL62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15391 | PA      | $15160.35       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-MN1A                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 MN1A A4 144A      | CUSIP: 863613AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14383667 | PA      | $9139957.41     | 0.00%             | 2037-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB7394 FR 01/51 FIXED 2.5                | CUSIP: 3133AEGB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4346732 | PA      | $3694705.33     | 0.00%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-2 LTD                                                    | ROCKFORD TOWER CLO LTD ROCKT 2021 2A A1R 144A              | CUSIP: 77341LAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     33500000 | PA      | $33534662.45    | 0.01%             | 2034-07-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 11A2 144A       | CUSIP: 12642YGS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1444216 | PA      | $355393.06      | 0.00%             | 2036-08-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $89537353.76    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.83000 12/09/42-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $465746732.96   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4317 FN 01/49 FIXED 4                          | CUSIP: 3140JLYP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       175588 | PA      | $168646.25      | 0.00%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A5                                               | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A5 2A2            | CUSIP: 76114HAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6308413 | PA      | $3040137.90     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-18R                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 18R 4A4 144A        | CUSIP: 22944JDG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       790012 | PA      | $776602.57      | 0.00%             | 2038-04-26      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $21038.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 2A1                   | CUSIP: 36242DH71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19936 | PA      | $19062.53       | 0.00%             | 2035-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54727 FG 03/48 FIXED 3.5                | CUSIP: 3132XXHD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1195621 | PA      | $1115093.66     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2012-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2012 4 2A 144A          | CUSIP: 74931PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10026210 | PA      | $6729127.20     | 0.00%             | 2047-02-28      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX2561 FR 12/54 FIXED 5                  | CUSIP: 31425WZ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1782873 | PA      | $1762888.43     | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H4 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H4 A1 144A                 | CUSIP: 22758HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17967407 | PA      | $18116532.81    | 0.01%             | 2069-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-2                                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 2A B3 144A         | CUSIP: 64830DBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13554374 | PA      | $13242191.42    | 0.01%             | 2057-12-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 04/30 1.625                                | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1259567627 | PA      | $1272586240.89  | 0.57%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/21/23-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $9545618.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS3                                              | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS3 AII           | CUSIP: 74924YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4146613 | PA      | $4061822.37     | 0.00%             | 2037-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| PENTA CLO 9 DAC                                                                  | PENTA CLO S.A. PENTA 2021 9A A 144A                        | CUSIP: ACI1Y3GV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     55500000 | PA      | $63985354.97    | 0.03%             | 2036-07-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTAGE SEC INC 2004-R3                                                 | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R3 M2             | CUSIP: 03072SQD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7989699 | PA      | $7955744.06     | 0.00%             | 2034-05-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.71000 03/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-415758.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX4776 FR 01/55 FIXED 5.5                | CUSIP: 31426AJW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       732181 | PA      | $736271.02      | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-AR2                                               | HSI ASSET LOAN OBLIGATION HALO 2007 AR2 3A1                | CUSIP: 44329EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       767647 | PA      | $663084.32      | 0.00%             | 2037-09-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                      | PALM RE LTD UNSECURED 144A 06/31 VAR                       | CUSIP: 69664FAA6<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |      1700000 | PA      | $1779220.00     | 0.00%             | 2031-06-09      | Floating      | 13.22%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84392 FG 06/48 FIXED 4.5                | CUSIP: 3132L92Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1626062 | PA      | $1601575.40     | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260521                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-58275.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2020-A                                                    | SOFI ALTERNATIVE TRUST SAT 2020 A A 144A                   | CUSIP: 83406XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    100898946 | PA      | $95446064.71    | 0.04%             | 2046-02-15      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB1 2A                   | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23275 | PA      | $22444.04       | 0.00%             | 2034-05-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                           | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                     | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |     55199998 | PA      | $51128998.43    | 0.02%             | 2027-05-13      | Floating      | 10.70%                | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF9348 FN 01/56 FIXED 5                          | CUSIP: 3140U1L60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24995552 | PA      | $24703538.61    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9323 FN 09/47 FIXED 4                          | CUSIP: 3140GYLD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4546000 | PA      | $4363674.51     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA9360 FR 04/50 FIXED 3.5                | CUSIP: 3133A4MH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       338053 | PA      | $313322.74      | 0.00%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL4                                                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2022 RPL4 A1 144A        | CUSIP: 12663TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23737613 | PA      | $22732316.02    | 0.01%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.45000 10/20/23-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2883695.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DIAMOND INFRASTRUCTURE FUNDING LLC 2021 1A                                       | DIAMOND INFRASTRUCTURE FUNDING DNFRA 2021 1A A 144A        | CUSIP: 25265LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3500000 | PA      | $3422286.35     | 0.00%             | 2049-04-15      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA3845 FN 03/39 FIXED 4.5                        | CUSIP: 31416MHX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2080 | PA      | $2060.11        | 0.00%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $124233916.41   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1            | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2067364 | PA      | $1412429.08     | 0.00%             | 2035-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 238575 FN 03/33 FLOATING VAR                     | CUSIP: 31370Q6L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2810 | PA      | $2785.55        | 0.00%             | 2033-03-01      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-38637.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR11                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR11 A6          | CUSIP: 94984CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       107745 | PA      | $102298.89      | 0.00%             | 2036-08-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FE             | CUSIP: 38376RRG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1858157 | PA      | $1872135.48     | 0.00%             | 2066-03-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX0825 FN 09/44 FIXED 4                          | CUSIP: 3138Y14K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24409 | PA      | $23521.42       | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-284617.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 4A1B                 | CUSIP: 126694BQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       115062 | PA      | $114200.20      | 0.00%             | 2035-10-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A2 144A        | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8803870 | PA      | $8827082.70     | 0.00%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                                          | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 1A           | CUSIP: 939336G23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       114621 | PA      | $108130.23      | 0.00%             | 2033-06-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0808 FN 11/47 FIXED 4                          | CUSIP: 3140Q73S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75364 | PA      | $72510.23       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH9561 FN 08/26 FIXED 3.5                        | CUSIP: 3138ABTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3450 | PA      | $3437.98        | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                        | HILTON USA TRUST HILT 2016 SFP A 144A                      | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71800000 | PA      | $61560996.90    | 0.03%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260403                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-691862.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $320173.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 899859 FN 11/37 FIXED 6.5                        | CUSIP: 31410WWU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1481 | PA      | $1553.12        | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR1                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR1 4A           | CUSIP: 76112BKP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        58134 | PA      | $58874.60       | 0.00%             | 2035-03-18      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4964 FN 08/47 FIXED 3.5                        | CUSIP: 3140GTQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       116472 | PA      | $108804.06      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2018 4 M1 144A              | CUSIP: 89175TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16981078 | PA      | $13593697.65    | 0.01%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                      | PALM RE LTD UNSECURED 144A 06/32 VAR                       | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |      5800000 | PA      | $5979220.00     | 0.00%             | 2032-06-07      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6796 FN 03/46 FIXED 4                          | CUSIP: 3138WGRS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       270566 | PA      | $260283.35      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R1                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M5             | CUSIP: 03072SYC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6952000 | PA      | $6522750.85     | 0.00%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A10          | CUSIP: 761118PZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2645487 | PA      | $2302121.11     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1              | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     44031000 | PA      | $42690434.38    | 0.02%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR2                                                | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR2 2A1A                | CUSIP: 23332UDC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       761486 | PA      | $732644.77      | 0.00%             | 2045-03-19      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5603 FN 01/55 FIXED 7                          | CUSIP: 31418FGM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       389271 | PA      | $409547.04      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD8474 FN 05/55 FIXED 5                          | CUSIP: 3140B9MY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53284 | PA      | $53109.11       | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1798721.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY LOAN TRUST 2006-A                                             | CENTEX HOME EQUITY CXHE 2006 A M2                          | CUSIP: 15231AAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16004835 | PA      | $15915355.41    | 0.01%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                                   | ARGENT SECURITIES INC. ARSI 2004 W11 M6                    | CUSIP: 040104ML2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2189306 | PA      | $1956510.06     | 0.00%             | 2034-11-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A7          | CUSIP: 32052FAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       605465 | PA      | $150071.33      | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8960 FN 10/40 FIXED 3.5                        | CUSIP: 3140FG5W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       178072 | PA      | $168473.30      | 0.00%             | 2040-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0007 FR 04/55 FIXED 5                  | CUSIP: 3142J6AH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8048601 | PA      | $7946615.00     | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC3722 FN 11/54 FIXED 5.5                        | CUSIP: 3140ARD49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1253093 | PA      | $1262216.12     | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2224 G2 09/44 FIXED 4                       | CUSIP: 36179QPH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44575 | PA      | $42832.50       | 0.00%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD3093 FN 01/55 FIXED 7                          | CUSIP: 3140B3NK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       118733 | PA      | $125856.06      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1015 FN 09/53 FIXED 4.5                        | CUSIP: 3140A1DV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       658600 | PA      | $640551.22      | 0.00%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/0.70000 09/18/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $91007620.18    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3120 FN 11/47 FIXED 3.5                        | CUSIP: 3140H4PE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15669 | PA      | $14582.65       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8267 FR 11/52 FIXED 5                  | CUSIP: 3132DWFG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39163 | PA      | $38927.61       | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-19A LTD                                              | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 19A A 144A        | CUSIP: 03331VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    103400000 | PA      | $102497923.92   | 0.05%             | 2040-10-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 SA 144A        | CUSIP: 12660QAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       296965 | PA      | $291670.80      | 0.00%             | 2061-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A C 144A                          | CUSIP: ACI2M18S5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    129635000 | PA      | $171870462.72   | 0.08%             | 2035-06-21      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA5422 FN 03/50 FIXED 3                          | CUSIP: 3140QDAY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     77804783 | PA      | $69586706.13    | 0.03%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-9                                         | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 9 A11 144A       | CUSIP: 16160QAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31100467 | PA      | $31179704.88    | 0.01%             | 2055-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-NC2                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC2 M1            | CUSIP: 75156TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1065184 | PA      | $1034287.75     | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-17685523.66   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4979 FN 04/53 FIXED 5.5                        | CUSIP: 31418EQ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30089445 | PA      | $30358808.93    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J12                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J12 1A3          | CUSIP: 12668ASR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1531447 | PA      | $664485.19      | 0.00%             | 2035-11-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 1A1          | CUSIP: 45660LMF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10344198 | PA      | $6901503.34     | 0.00%             | 2035-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9590 FN 12/46 FIXED 4                          | CUSIP: 3140FHUQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       142678 | PA      | $136431.49      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ7700 FR 11/55 FIXED 5                  | CUSIP: 31427HRW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6062180 | PA      | $6022013.33     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20261027                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $2228956.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2C               | CUSIP: 617538AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3720491 | PA      | $1870596.55     | 0.00%             | 2036-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XIX LTD 2018-1A                                                  | SOUND POINT CLO LTD SNDPT 2018 1A A 144A                   | CUSIP: 83610JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       307892 | PA      | $308038.78      | 0.00%             | 2031-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/26 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $912295.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EDUCATION FUNDING TRUST 2018-A-GS TRUST                                          | EDUCATION FUNDING TRUST EFT 2018 AGS E 144A                | CUSIP: 28140WAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45371912 | PA      | $39827391.74    | 0.02%             | 2050-02-01      | Fixed         | 3.56%                 | No            |                  2 | On Loan: No      |
| EMF-UK PLC 2008-1X                                                               | EMF  UK PLC EUMF 2008 1X A1A REGS                          | CUSIP: ACI00S0H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7687126 | PA      | $10195842.72    | 0.00%             | 2046-03-13      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-4N                                                          | LEHMAN XS TRUST LXS 2007 4N 2A                             | CUSIP: 52524HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46883561 | PA      | $41310901.12    | 0.02%             | 2047-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 22A1                 | CUSIP: 07386HC25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5105432 | PA      | $4201592.40     | 0.00%             | 2036-02-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260408                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-31725.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A1                 | CUSIP: 46630GAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9607 | PA      | $9674.33        | 0.00%             | 2035-07-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1948 FN 01/42 FIXED VAR                        | CUSIP: 3138EJEW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       199719 | PA      | $192958.73      | 0.00%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE1 A4                | CUSIP: 61746REV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3896793 | PA      | $3948737.94     | 0.00%             | 2034-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5792 FN 08/55 FIXED 5.5                        | CUSIP: 31418FNJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3062711 | PA      | $3079819.79     | 0.00%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                     | BONOS TESORERIA PESOS BONDS 144A REGS 10/34 5.8            | CUSIP: ACI2KT0J4<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   2290000000 | PA      | $2512384.10     | 0.00%             | 2034-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1132 FN 01/48 FIXED 4.5                        | CUSIP: 3140H2HJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       540578 | PA      | $529866.23      | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A3              | CUSIP: 617463AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1430892 | PA      | $465829.90      | 0.00%             | 2036-11-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1 LTD                                                            | CQS US CLO LTD CQS 2021 1A AR 144A                         | CUSIP: 12659UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     48400000 | PA      | $48416073.16    | 0.02%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4354 FN 02/49 FIXED 4                          | CUSIP: 3140JLZU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4906777 | PA      | $4716488.93     | 0.00%             | 2049-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-HE1                                | SECURITIZED ASSET BACKED RECEI SABR 2005 HE1 M1            | CUSIP: 81375WGF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3064534 | PA      | $2549113.85     | 0.00%             | 2035-10-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0462 FN 09/47 FIXED 3.5                        | CUSIP: 3140Q7QQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47369 | PA      | $44201.15       | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-9                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 9 1A             | CUSIP: 41161PHR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9458478 | PA      | $7871549.82     | 0.00%             | 2034-12-19      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2436 FN 01/47 FIXED 3.5                        | CUSIP: 3140F9V69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9219616 | PA      | $8645921.10     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF3                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF3 M1             | CUSIP: 36228FU61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1670868 | PA      | $1647636.30     | 0.00%             | 2034-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY2                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 1A1           | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2139658 | PA      | $1978672.89     | 0.00%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5506 FN 09/47 FIXED 4                          | CUSIP: 3140GUDL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179471 | PA      | $171908.09      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20300513                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $445436.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-239757.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A E 144A                 | CUSIP: ACI34G9N0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     10359000 | PA      | $11999743.74    | 0.01%             | 2059-08-22      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 20060BNC1                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC1 A5           | CUSIP: 86358EC95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9970531 | PA      | $5234826.99     | 0.00%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-58425028.17   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA8                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA8 1A8          | CUSIP: 32052DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       155226 | PA      | $39038.08       | 0.00%             | 2037-02-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUT+5.89/0.00000 03/15/21-8Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $300988610.57   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                                     | ACE SECURITIES CORP. ACE 2007 WM1 A2C                      | CUSIP: 004424AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5857728 | PA      | $2394173.08     | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-10405015.41   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 SA 144A       | CUSIP: 173114AR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       231094 | PA      | $228772.18      | 0.00%             | 2070-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 XS 144A        | CUSIP: 12660QAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    252619710 | PA      | $1312043.62     | 0.00%             | 2061-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4879 FN 04/46 FIXED 3.5                        | CUSIP: 3140E9M52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15442 | PA      | $14426.88       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 454138 GN 04/28 FIXED 6.49                       | CUSIP: 36208LPX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13543 | PA      | $13780.57       | 0.00%             | 2028-04-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $79503062.14    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.77000 04/16/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1886373.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A2              | CUSIP: 86360WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25978642 | PA      | $19120568.62    | 0.01%             | 2036-07-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A5           | CUSIP: 93364EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12767584 | PA      | $11574730.05    | 0.01%             | 2037-05-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 1 2A                      | CUSIP: 81743PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       103526 | PA      | $101818.70      | 0.00%             | 2033-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 69 A1            | CUSIP: 12668AN27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1964429 | PA      | $1805528.45     | 0.00%             | 2035-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0476 FR 09/53 FIXED 6.5                | CUSIP: 3133CCQ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2084239 | PA      | $2160988.50     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE4350 FN 10/40 FIXED 4                          | CUSIP: 31419EZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1433333 | PA      | $1386105.14     | 0.00%             | 2040-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR2648 FN 02/51 FIXED 2.5                        | CUSIP: 3140L05J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4429259 | PA      | $3755669.31     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13          | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12894957 | PA      | $12665723.49    | 0.01%             | 2036-12-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2632 FR 05/53 FIXED 5                  | CUSIP: 3133C24R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44611 | PA      | $44201.17       | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH3925 FN 09/47 FIXED 3.5                        | CUSIP: 3140GSLF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15643 | PA      | $14629.53       | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-2                                                    | GSAA HOME EQUITY TRUST GSAA 2007 2 AF3                     | CUSIP: 3622EUAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32749161 | PA      | $5693320.54     | 0.00%             | 2037-03-25      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R3                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R3 M5             | CUSIP: 03072SA39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7354779 | PA      | $7208307.18     | 0.00%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX8779 FN 02/30 FIXED 3                          | CUSIP: 3138YAXH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        63006 | PA      | $61890.17       | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84237 FG 05/48 FIXED 3.5                | CUSIP: 3132L9V69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47688 | PA      | $44342.42       | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2005-BC3                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC3 M5             | CUSIP: 1266733G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3936565 | PA      | $3936321.42     | 0.00%             | 2035-06-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3897 FN 01/35 FIXED 3                          | CUSIP: 31418DKK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       380510 | PA      | $366564.75      | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ2831 FR 08/55 FIXED 5                  | CUSIP: 31427AED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       853299 | PA      | $842352.12      | 0.00%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2025-INV4                                     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 INV4 A1 144A      | CUSIP: 26846DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21903476 | PA      | $21826152.14    | 0.01%             | 2070-10-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-9                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 9 1A             | CUSIP: 54251WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38547219 | PA      | $20974551.91    | 0.01%             | 2036-10-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0075 FR 12/55 FIXED 5                  | CUSIP: 3142J6CM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3556100286 | PA      | $3509656620.78  | 1.56%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3797 FN 03/55 FIXED VAR                        | CUSIP: 3140W4GF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19100385 | PA      | $19845660.79    | 0.01%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6311 FN 12/45 FIXED 3.5                        | CUSIP: 3138WGAM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4217 | PA      | $3958.39        | 0.00%             | 2045-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 2A1 144A       | CUSIP: 12597GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68466195 | PA      | $68539165.97    | 0.03%             | 2059-09-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX6130 FN 11/44 FIXED 4                          | CUSIP: 3138Y7Y48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1690568 | PA      | $1628845.17     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ5154 FR 07/55 FIXED 5                  | CUSIP: 3142GVWQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4687319 | PA      | $4628645.53     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN4960 FR 04/49 FIXED 4.5                | CUSIP: 3131YBQM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57008 | PA      | $55939.16       | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-36                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 36 2A1A          | CUSIP: 12667GWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       467093 | PA      | $449016.07      | 0.00%             | 2035-08-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 1A2            | CUSIP: 43710EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21766626 | PA      | $8536472.39     | 0.00%             | 2037-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1051 FN 01/48 FIXED 3.5                        | CUSIP: 3140Q8EZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       627487 | PA      | $584749.77      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT2                                               | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M4           | CUSIP: 40430HED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5700000 | PA      | $5071959.18     | 0.00%             | 2036-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345              | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     71663000 | PA      | $69766101.89    | 0.03%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5867 FN 07/47 FIXED 3.5                        | CUSIP: 3140GUQV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1192019 | PA      | $1115763.21     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-1557721.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEX BONOS DESARR FIX RT BONDS 05/31 7.75                   | CUSIP: 975UCXII2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5392900000 | PA      | $287051643.14   | 0.13%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.14259 03/31/26-28Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $95925.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 1A3                 | CUSIP: 466247WK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22075 | PA      | $21360.70       | 0.00%             | 2035-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/17/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-6860835.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6674 FN 02/53 FIXED 5.5                        | CUSIP: 3140NBMY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       390458 | PA      | $393436.01      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF9878 FN 01/56 FIXED 5                          | CUSIP: 3140U16Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11927334 | PA      | $11772843.55    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC XA 144A     | CUSIP: 465981AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    217800000 | PA      | $1917086.49     | 0.00%             | 2040-10-05      | Variable      | 0.36%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A4 144A       | CUSIP: 14688GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20000000 | PA      | $20365732.00    | 0.01%             | 2029-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7138 G2 01/51 FIXED 3.5                     | CUSIP: 36179V4X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       336877 | PA      | $313968.56      | 0.00%             | 2051-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A2          | CUSIP: 92922F4B1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3492540 | PA      | $3318424.14     | 0.00%             | 2035-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2005 8F 3A5                    | CUSIP: 362341WB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       239032 | PA      | $73006.95       | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-5                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 5 2A1B           | CUSIP: 41161PNQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1267684 | PA      | $1134928.39     | 0.00%             | 2045-07-19      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2016-GS4                                            | GS MORTGAGE SECURITIES TRUST GSMS 2016 GS4 XA              | CUSIP: 36251XAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     99790318 | PA      | $57199.81       | 0.00%             | 2049-11-10      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR18 2A1          | CUSIP: 92922F8Q4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       461816 | PA      | $435891.38      | 0.00%             | 2036-01-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR5 A2            | CUSIP: 86364HAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10745219 | PA      | $9429419.57     | 0.00%             | 2047-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 748135 FN 11/33 FIXED 6.5                        | CUSIP: 31403GEG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11229 | PA      | $11613.42       | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3386 FR 07/53 FIXED 5.5                | CUSIP: 3132DQXP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18094182 | PA      | $18262629.42    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 653638 FN 07/32 FIXED 6.5                        | CUSIP: 31390REK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3017 | PA      | $3120.44        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MORTGAGE SECUR 2004-AA1                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AA1 M2            | CUSIP: 22541SG28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2339597 | PA      | $2338988.69     | 0.00%             | 2035-02-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3736 FN 11/45 FIXED 3                          | CUSIP: 3138YVEJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82118 | PA      | $74816.09       | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0233 FN 08/47 FIXED 3.5                        | CUSIP: 3140Q7HK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12794232 | PA      | $11951928.05    | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-D                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 D A3                 | CUSIP: 59020UGH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15906 | PA      | $15602.96       | 0.00%             | 2029-09-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S3 1A2           | CUSIP: 16162XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2031862 | PA      | $822403.43      | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC1                                           | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC1 A            | CUSIP: 585525FN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30342 | PA      | $18902.08       | 0.00%             | 2030-09-15      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH2941 FR 10/53 FIXED 6                  | CUSIP: 3133CFHS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38139 | PA      | $39171.07       | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4721 FN 12/45 FIXED 4                          | CUSIP: 3140E9G75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11328 | PA      | $10899.67       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-9F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 9F 3A1                    | CUSIP: 3622X7AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8940848 | PA      | $8275382.86     | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD5164 FN 12/46 FIXED 4                          | CUSIP: 3140FCW20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       163295 | PA      | $156414.47      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4168 FN 12/44 FIXED 4                          | CUSIP: 3138WDT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22966 | PA      | $22127.46       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/17/26-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $10363496.70    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-6F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 6F 2A4                    | CUSIP: 36298BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1510670 | PA      | $821931.89      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-447318.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 XS 144A        | CUSIP: 12662NAQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    427239441 | PA      | $17911885.38    | 0.01%             | 2061-05-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO 2022 XVIIIA LTD                                                    | JAMESTOWN CLO LTD JTWN 2022 18A AR 144A                    | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     79100000 | PA      | $79205979.76    | 0.04%             | 2035-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A2            | CUSIP: 14689MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5505491 | PA      | $5507532.48     | 0.00%             | 2028-06-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81               | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    161702000 | PA      | $146976961.50   | 0.07%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A E 144A                       | CUSIP: ACI2NGD06<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     16808000 | PA      | $19257695.03    | 0.01%             | 2058-06-28      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA4                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA4 A             | CUSIP: 748939AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4711169 | PA      | $4352851.17     | 0.00%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-8 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 8 A1 144A         | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18961548 | PA      | $18956931.07    | 0.01%             | 2029-12-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-44222.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A2            | CUSIP: 43710EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       332696 | PA      | $185748.81      | 0.00%             | 2037-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-4                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2005 4 3A1              | CUSIP: 02660TGS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       128865 | PA      | $91029.51       | 0.00%             | 2045-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A3            | CUSIP: 46602UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     74181893 | PA      | $23877623.32    | 0.01%             | 2037-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB5                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB5 A2           | CUSIP: 12464YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1931848 | PA      | $1154777.06     | 0.00%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A7CB                                            | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A7CB 1A5          | CUSIP: 76113NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3962511 | PA      | $2470681.24     | 0.00%             | 2036-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8241 FN 11/31 FIXED 2.5                        | CUSIP: 3138WJEP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       197818 | PA      | $190865.46      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WMC1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WMC1 M1           | CUSIP: 17307GZ68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10030388 | PA      | $9797919.86     | 0.00%             | 2035-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-60                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 60 1A1                    | CUSIP: 12669FJC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1386 | PA      | $1396.92        | 0.00%             | 2034-02-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/9.15000 01/06/25-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $2260032.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $27068030.77    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BASIC ASSET BACKED SECURITIES TRUST 2006-1                                       | BASIC ASSET BACKED SECURITIES BASIC 2006 1 M1              | CUSIP: 06983NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7286065 | PA      | $6955651.60     | 0.00%             | 2036-04-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2016-1KRA                                                     | WIND RIVER CLO LTD WINDR 2016 1KRA A1R3 144A               | CUSIP: 97314DAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     65695487 | PA      | $65734713.49    | 0.03%             | 2034-10-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.38000 12/31/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-3415190.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                     | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6632502 | PA      | $6137887.94     | 0.00%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-245394.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY45 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $173761409.68   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ4450 FR 09/54 FIXED 5.5                | CUSIP: 3133CU5K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       200068 | PA      | $201185.17      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO9178 FN 02/50 FIXED 4                          | CUSIP: 3140K5FU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       523860 | PA      | $512339.27      | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1455398.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 B1             | CUSIP: 863579JK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9161 | PA      | $8653.57        | 0.00%             | 2035-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2022-D                                         | WORLD OMNI AUTO RECEIVABLES TR WOART 2022 D A3             | CUSIP: 98163VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1345464 | PA      | $1348387.16     | 0.00%             | 2028-02-15      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 B4 144A      | CUSIP: 36263MCG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2066130 | PA      | $1769996.14     | 0.00%             | 2052-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                          | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 D 144A        | CUSIP: 69546YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5726178 | PA      | $5725251.24     | 0.00%             | 2032-04-15      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.53700 07/24/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-11564981.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                                     | ACE SECURITIES CORP. ACE 2007 HE2 A2A                      | CUSIP: 00443PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2051990 | PA      | $1090636.72     | 0.00%             | 2036-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7784 FN 01/56 FIXED 5                          | CUSIP: 3140BYUJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4138636 | PA      | $4087131.65     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-1A                                                      | AFFIRM MASTER TRUST AFRMT 2025 1A A 144A                   | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     97700000 | PA      | $98327077.68    | 0.04%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A3 144A       | CUSIP: 14686TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10327716 | PA      | $10344139.52    | 0.00%             | 2028-04-10      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 2A2            | CUSIP: 68403HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5756877 | PA      | $3115084.08     | 0.00%             | 2037-05-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| GS REFT 2026-FL1 ISSUER LTD                                                      | GS REFT 2026 FL1 ISSUER LTD GSREFT 2026 FL1 A 144A         | CUSIP: 36274DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    104185000 | PA      | $104445462.50   | 0.05%             | 2043-04-19      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                          | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A         | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26300000 | PA      | $26259674.21    | 0.01%             | 2038-11-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A4 2A1                 | CUSIP: 466247RP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3413 | PA      | $3391.81        | 0.00%             | 2035-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-9                                                                | FANNIE MAE FNR 2003 9 NZ                                   | CUSIP: 31392HA45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18031 | PA      | $18773.18       | 0.00%             | 2033-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SDE2 PIMCO FXVAN CALL USD TRY 49.65000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -195200000 | NC      | $-668364.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-40216.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 9 A12                     | CUSIP: 12544XAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       469182 | PA      | $207064.97      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2200 FN 11/55 FIXED 5                          | CUSIP: 3140BSNS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39627681 | PA      | $39120289.49    | 0.02%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2760 FN 08/42 FIXED VAR                        | CUSIP: 3138EKB61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       240478 | PA      | $238123.52      | 0.00%             | 2042-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2020-B21                                               | BENCHMARK MORTGAGE TRUST BMARK 2020 B21 XA                 | CUSIP: 08163LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    205712904 | PA      | $10464759.42    | 0.00%             | 2053-12-17      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AS.6 SP MYI                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $145.44         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-32499.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2057 FN 10/44 FIXED 4                          | CUSIP: 31418BJB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81500 | PA      | $78550.56       | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 3A A2 144A       | CUSIP: 78436XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       231922 | PA      | $231982.08      | 0.00%             | 2028-05-22      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6 JUMBOS                                 | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2181700000 | PA      | $2216065069.37  | 0.99%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM4457 FN 07/35 FIXED VAR                        | CUSIP: 3140X75T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43864747 | PA      | $42286024.31    | 0.02%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-713567.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-1963390.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 780481 FH 05/33 FLOATING VAR             | CUSIP: 31342ARA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2862 | PA      | $2921.51        | 0.00%             | 2033-05-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-JP3                    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP3 XA           | CUSIP: 46590RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108263498 | PA      | $52875.89       | 0.00%             | 2049-08-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54036 FG 02/48 FIXED 3.5                | CUSIP: 3132XWPW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4434406 | PA      | $4133902.57     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7073 FR 02/53 FIXED 5.5                | CUSIP: 3133BU2E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2183472 | PA      | $2202584.67     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ICG EURO CLO 2023-2 DAC 23-2A                                                    | ICG EURO CLO ICGE 2023 2A B1R 144A                         | CUSIP: ACI38GSR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      6900000 | PA      | $7977200.85     | 0.00%             | 2038-01-26      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT0522 FR 09/48 FIXED 4.5                | CUSIP: 3132ACSK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       680675 | PA      | $669374.68      | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICA TREASURY BILL SOUTH AFRICAN T BILLS 0  07/10  | CUSIP: ACI30Y657<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     67500000 | PA      | $3857141.46     | 0.00%             | 2026-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                      | CUSIP: 05494AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28198000 | PA      | $26062313.09    | 0.01%             | 2056-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M1          | CUSIP: 46626LFN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       116839 | PA      | $116200.06      | 0.00%             | 2035-05-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/41 2.125                                | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     19157145 | PA      | $18555140.15    | 0.01%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R11                                                 | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R11 M4            | CUSIP: 03072SWT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3838141 | PA      | $3668698.47     | 0.00%             | 2034-11-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO X DAC 10A                                                     | HAYFIN EMERALD CLO HAYEM 10A ARR 144A                      | CUSIP: ACI2ZWCP4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     55000000 | PA      | $63535125.71    | 0.03%             | 2039-10-18      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260403                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-529366.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0912 FN 09/53 FIXED 6.5                        | CUSIP: 3140A1AN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       301005 | PA      | $311921.54      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2927 FN 10/27 FIXED VAR                        | CUSIP: 3138EKHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18348 | PA      | $18255.48       | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4663 FN 05/53 FIXED VAR                        | CUSIP: 3140XLFD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4971874 | PA      | $4944567.22     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1B 144A         | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56473908 | PA      | $57035151.73    | 0.03%             | 2056-03-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ9520 FR 11/54 FIXED 5                  | CUSIP: 3133D1SH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7625515 | PA      | $7528188.68     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICA TREASURY BILL SA TREASURY BILL 0 08/26        | CUSIP: ACI34G249<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1343000000 | PA      | $77731000.26    | 0.03%             | 2026-08-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-1                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2006 1 M5              | CUSIP: 9497EUAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3440000 | PA      | $3353851.74     | 0.00%             | 2036-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB4023 FN 05/54 FIXED 6.5                        | CUSIP: 3140ADPH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1680761 | PA      | $1754742.81     | 0.00%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A2         | CUSIP: 92922F7Q5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1908367 | PA      | $1763743.52     | 0.00%             | 2045-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J1                        | COUNTRYWIDE HOME LOANS CWHL 2007 J1 2A1                    | CUSIP: 12669MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2398626 | PA      | $838229.64      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS8                                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS8 M6            | CUSIP: 76110W3W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4230000 | PA      | $4174296.40     | 0.00%             | 2035-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 3 A3             | CUSIP: 80287LAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28083667 | PA      | $28161211.22    | 0.01%             | 2029-01-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2004-3                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2004 3 2A               | CUSIP: 02660TBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       279143 | PA      | $278513.59      | 0.00%             | 2034-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-AR1                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 AR1 M2            | CUSIP: 86359DVX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5652236 | PA      | $5475480.49     | 0.00%             | 2035-09-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-8                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 8 1A1             | CUSIP: 576433QQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22018 | PA      | $20604.79       | 0.00%             | 2034-09-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6003 FN 02/47 FIXED 4                          | CUSIP: 3140FRU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       265589 | PA      | $254505.90      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7813 FN 08/46 FIXED 4                          | CUSIP: 3138WHVF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       114395 | PA      | $110094.63      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-3375553.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2609 FN 05/46 FIXED 3.5                        | CUSIP: 31418B3T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26196 | PA      | $24538.10       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1                 | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6401160 | PA      | $4835811.51     | 0.00%             | 2035-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SECURITIES TRUST 2007-AR10                           | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR10 1A1         | CUSIP: 94986MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2860273 | PA      | $2624759.63     | 0.00%             | 2038-01-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KZT BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-950.50        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2006-1                                            | AMERICAN HOME MORTGAGE INVESTM AHM 2006 1 2A3              | CUSIP: 02660TJG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       257561 | PA      | $79408.23       | 0.00%             | 2035-12-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0857 FN 06/47 FIXED 4.5                        | CUSIP: 3140FK5T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56066 | PA      | $55343.20       | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM0804 FR 02/46 FIXED 4                  | CUSIP: 3131XT3M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27593 | PA      | $26536.21       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX A 144A       | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       200000 | PA      | $192697.76      | 0.00%             | 2038-09-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 16                                                                   | KKR FINANCIAL CLO LTD KKR 16 A1R3 144A                     | CUSIP: 48251BBE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    181600000 | PA      | $181785379.10   | 0.08%             | 2034-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB6596 FN 05/53 FIXED 5.5                        | CUSIP: 3140QSKJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9921196 | PA      | $10012533.77    | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2169                                                                 | FREDDIE MAC FHR 2169 TB                                    | CUSIP: 3133TL5G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7810 | PA      | $8011.15        | 0.00%             | 2029-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2020-A                                                    | SOFI ALTERNATIVE TRUST SAT 2020 A B 144A                   | CUSIP: 83406XAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54100000 | PA      | $46580900.68    | 0.02%             | 2046-02-15      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MTGE INVESTMENT CORP 2005-3                                           | FIELDSTONE MORTGAGE INVESTMENT FMIC 2005 3 M1              | CUSIP: 31659TEJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5458458 | PA      | $4885321.82     | 0.00%             | 2036-02-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1662 FN 12/47 FIXED 3.5                        | CUSIP: 3140H2Z43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96774 | PA      | $90182.63       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                                     | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 5.75        | CUSIP: 553283AG7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |      5060705 | PA      | $3877034.09     | 0.00%             | 2030-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A Z 144A                                | CUSIP: ACI2J9894<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9694000 | PA      | $12339611.36    | 0.01%             | 2050-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA8                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA8 CB21          | CUSIP: 761118BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2197782 | PA      | $1094355.46     | 0.00%             | 2035-07-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3929 FN 12/47 FIXED 3.5                        | CUSIP: 3140H5LK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       379434 | PA      | $355415.23      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $2331772.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM44 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-905268.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE1                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE1 A3            | CUSIP: 45071KDD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9108617 | PA      | $4742023.32     | 0.00%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 04/28 6                         | CUSIP: ACI05MPY0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 216000000000 | PA      | $50838332.45    | 0.02%             | 2028-04-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8149 G2 07/52 FIXED 3.5                     | CUSIP: 36179XBS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    216118794 | PA      | $199968238.74   | 0.09%             | 2052-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BCC-2021-5A                                                                      | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 5A A1R 144A        | CUSIP: 05682EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     22500000 | PA      | $22527375.75    | 0.01%             | 2034-10-23      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1036 FN 04/53 FIXED 5                          | CUSIP: 3140NHEJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        91284 | PA      | $90450.67       | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-9T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 9T1 A1           | CUSIP: 12668BVA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       249206 | PA      | $90131.04       | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-34                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 34 A2            | CUSIP: 02148AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1988526 | PA      | $868006.29      | 0.00%             | 2046-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                                | OSCAR US FUNDING TRUST OSCAR 2024 2A A3 144A               | CUSIP: 68784BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9300000 | PA      | $9335542.74     | 0.00%             | 2029-03-12      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                           | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2E           | CUSIP: 84751NAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8589262 | PA      | $4725489.06     | 0.00%             | 2037-11-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| COSTAR GROUP INC                                                                 | COSTAR GROUP INC COMPANY GUAR 144A 07/30 2.8               | CUSIP: 22160NAA7<br>LEI: 984500Q1D53D08E2E698 | Long             | DBT              | CORP              | US        |     29567000 | PA      | $26748799.22    | 0.01%             | 2030-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-NC1                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 NC1 M4            | CUSIP: 86359BZ46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4989208 | PA      | $5435626.60     | 0.00%             | 2035-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4451 G2 05/47 FIXED 3.5                     | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38464 | PA      | $36186.95       | 0.00%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5910 FN 12/55 FIXED 5.5                        | CUSIP: 31418FR82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24194957 | PA      | $24324443.99    | 0.01%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-15650.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 489342 GN 01/29 FIXED 6.49                       | CUSIP: 36210DS77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2490 | PA      | $2501.10        | 0.00%             | 2029-01-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $28088989.17    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q36638 FG 10/45 FIXED 3.5                | CUSIP: 3132QTLU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2519 | PA      | $2369.62        | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-6                                                           | LEHMAN XS TRUST LXS 2005 6 1A1                             | CUSIP: 525221CT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1188665 | PA      | $981960.53      | 0.00%             | 2035-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ5158 FR 11/55 FIXED 5.5                | CUSIP: 3142GVWU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29091266 | PA      | $29671070.11    | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VB DPR FINANCE COMPANY                                                           | VB DPR FINANCE COMPANY VAKIFBANK DPR 2025 E 4A2 SR SE      | CUSIP: 959DHQII0<br>LEI: 549300Y3LKKHCL3AQW08 | Long             | DBT              | CORP              | US        |     52500000 | PA      | $53069631.30    | 0.02%             | 2035-03-15      | Fixed         | 6.83%                 | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260414                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-728853.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-8                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 8 1A             | CUSIP: 54251UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34741824 | PA      | $22488344.26    | 0.01%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H18                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H18 FA             | CUSIP: 38376RXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2841938 | PA      | $2849964.52     | 0.00%             | 2066-08-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 03/18/26-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-10184290.28   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1107022.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD5222 FN 05/30 FIXED 4.5                        | CUSIP: 31418SYU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4441 | PA      | $4446.88        | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP2                                                             | RAAC SERIES RAAC 2007 RP2 M1 144A                          | CUSIP: 74919WAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16295898 | PA      | $16266835.80    | 0.01%             | 2046-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 520790 FN 04/28 FLOATING VAR                     | CUSIP: 31384DRK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          413 | PA      | $415.40         | 0.00%             | 2028-04-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.59000 08/19/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1338585.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.0* 9/28/23-29Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $26381808.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX8825 FR 02/55 FIXED 5                  | CUSIP: 31426FYX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       880095 | PA      | $870161.58      | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-AM2                                     | MASTR ASSET BACKED SECURITIES MABS 2006 AM2 A4 144A        | CUSIP: 57645FAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1394839 | PA      | $1323639.90     | 0.00%             | 2036-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB6                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB6 A24          | CUSIP: 14986PAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12279232 | PA      | $11844408.57    | 0.01%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2004-A8                                   | RESIDENTIAL ASSET SECURITIZATI RAST 2004 A8 A5             | CUSIP: 45660N4M4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       515753 | PA      | $462321.59      | 0.00%             | 2034-11-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                                  | VERAISON RE LTD UNSECURED 144A 03/34 VAR                   | CUSIP: 92335TAG4<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |      3500000 | PA      | $3502275.00     | 0.00%             | 2034-03-08      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA1544 FR 10/49 FIXED 3.5                | CUSIP: 3133KGWD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       541716 | PA      | $501988.01      | 0.00%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9256 FN 02/47 FIXED 4                          | CUSIP: 3140FVJA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       288099 | PA      | $276091.28      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2005-J2                        | COUNTRYWIDE HOME LOANS CWHL 2005 J2 3A14                   | CUSIP: 12669GW56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       310737 | PA      | $193125.11      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R6                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R6 M4             | CUSIP: 03072SG58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2782000 | PA      | $2729075.51     | 0.00%             | 2035-08-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL1 SA 144A      | CUSIP: 36268LAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       337582 | PA      | $330097.19      | 0.00%             | 2063-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD5406 FN 09/46 FIXED 3.5                        | CUSIP: 3140FDAG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       579688 | PA      | $540897.92      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW4965 FN 02/53 FIXED 6                          | CUSIP: 3140MWQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6806700 | PA      | $6990868.68     | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/27 3.3              | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    164659000 | PA      | $161295584.70   | 0.07%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY3688 FR 05/55 FIXED 5                  | CUSIP: 31426NC24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1072823 | PA      | $1060958.24     | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE2                                                             | GSAMP TRUST GSAMP 2005 HE2 M2                              | CUSIP: 36242DA60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2723089 | PA      | $2643381.76     | 0.00%             | 2035-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-3F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 3F 3A1                    | CUSIP: 362334HG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10099562 | PA      | $3256867.31     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A D 144A               | CUSIP: 193938AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3559791 | PA      | $3635353.04     | 0.00%             | 2055-05-25      | Fixed         | 6.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1155808.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-C                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 C 1A4             | CUSIP: 059522AW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15567 | PA      | $13713.06       | 0.00%             | 2036-05-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2006-2                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2006 2 1A2              | CUSIP: 02660YAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11161185 | PA      | $1869596.68     | 0.00%             | 2046-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-702003.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-2 SP MYI                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-590355.56     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO4144 FN 06/42 FIXED 4                          | CUSIP: 3138LUTA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2148 | PA      | $2074.26        | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831646 FN 08/26 FIXED 6.5                        | CUSIP: 31407H5F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          379 | PA      | $391.59         | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA7007 FN 02/46 FIXED 4.5                        | CUSIP: 3140EBYD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64535 | PA      | $63609.49       | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE BACKED SEC 2006-7                                           | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 7 2A1            | CUSIP: 94982XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       209885 | PA      | $188679.12      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/34 VAR                   | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    102400000 | PA      | $106891885.57   | 0.05%             | 2034-01-12      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003470 G2 11/33 FIXED 4.5                     | CUSIP: 36202D2B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2863 | PA      | $2844.98        | 0.00%             | 2033-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM2885 FR 03/47 FIXED 4.5                | CUSIP: 3131XWF24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19878 | PA      | $19312.93       | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR 2007-5AX                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 5AX 2A1            | CUSIP: 61751GAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2743375 | PA      | $519423.26      | 0.00%             | 2037-02-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2007-1                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2007 1 M1              | CUSIP: 00438QAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14366141 | PA      | $14320012.86    | 0.01%             | 2037-02-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2026-1 2026-1A                                                   | REACH FINANCIAL LLC REACH 2026 1A A 144A                   | CUSIP: 75526XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34113054 | PA      | $34121964.51    | 0.02%             | 2033-02-15      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A3            | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34764101 | PA      | $34876305.28    | 0.02%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8301 FR 02/53 FIXED 6                  | CUSIP: 3132DWGJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       853806 | PA      | $876907.66      | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 3A1          | CUSIP: 45661KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       175516 | PA      | $106454.67      | 0.00%             | 2036-06-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC2 2A3          | CUSIP: 12668BRG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4932784 | PA      | $4648208.47     | 0.00%             | 2036-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINANCE PLC                                                  | MITCHELLS + BUTLERS FINA SECURED REGS 12/30 6.013          | CUSIP: 337792II8<br>LEI: 213800E7QA1U8BF34219 | Long             | DBT              | CORP              | GB        |      2930430 | PA      | $3881650.77     | 0.00%             | 2030-12-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK6549 FN 07/48 FIXED 4.5                        | CUSIP: 3140HLH33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       130475 | PA      | $127387.84      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-52                                                               | FANNIE MAE FNR 2001 52 YZ                                  | CUSIP: 313921MN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1380 | PA      | $1430.30        | 0.00%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.79500 08/06/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $107711.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 11 1A2 144A       | CUSIP: 17324LAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5998090 | PA      | $5882757.85     | 0.00%             | 2035-03-25      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 11A1           | CUSIP: 07384M2V3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       626580 | PA      | $575625.71      | 0.00%             | 2034-11-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM5199 FN 05/50 FIXED VAR                        | CUSIP: 3140X8X51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       274337 | PA      | $254239.15      | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2006-1                                          | AEGIS ASSET BACKED SECURITIES AABST 2006 1 A3              | CUSIP: 00764SAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5108739 | PA      | $3897296.66     | 0.00%             | 2037-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021-1 TRUST                                            | HOME PARTNERS OF AMERICA TRUST HPA 2021 1 A 144A           | CUSIP: 437300AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6571842 | PA      | $6014641.19     | 0.00%             | 2041-09-17      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S3 1A12          | CUSIP: 16163HAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1706407 | PA      | $685919.86      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A A2 144A        | CUSIP: 210927AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166770000 | PA      | $171462073.95   | 0.08%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| CLARITEV CORPORATION                                                             | CLARITEV CORP SR SECURED 144A 03/31 6.75                   | CUSIP: 62548MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     34353135 | PA      | $22329537.75    | 0.01%             | 2031-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A          | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       231919 | PA      | $233411.81      | 0.00%             | 2045-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $3002327.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6734 FN 12/55 FIXED 5                          | CUSIP: 3140BXPU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23881897 | PA      | $23573667.46    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PROJECT PANAMA SPV LIMITED LIABILITY CO                                          | PROJECT PANAMA SPV LLC 01/29 1                             | CUSIP: 74290GAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    174657000 | PA      | $175662606.89   | 0.08%             | 2029-01-03      | Floating      | 7.20%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8821 FN 02/47 FIXED 4                          | CUSIP: 3138WJYT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       176756 | PA      | $169508.57      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 3A1           | CUSIP: 12667GCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1511398 | PA      | $1198417.44     | 0.00%             | 2035-05-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8505 FR 02/55 FIXED 5                  | CUSIP: 3132DWNW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23702221 | PA      | $23398242.92    | 0.01%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2001-B                                                        | CENTEX HOME EQUITY CXHE 2001 B A7                          | CUSIP: 152314DR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30459 | PA      | $28443.36       | 0.00%             | 2032-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MB0297 FN 01/55 FIXED 5.5                        | CUSIP: 3138MTKK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11248747 | PA      | $11312216.14    | 0.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $1040.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0897 FR 10/52 FIXED 4                  | CUSIP: 3133BM7J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3350141 | PA      | $3171059.69     | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2006-HE6                                           | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE6 M1           | CUSIP: 04544NAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35400914 | PA      | $35230086.50    | 0.02%             | 2036-11-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.70000 08/13/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-841902.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC SR SECURED 06/31 3.25               | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     86160000 | PA      | $79506742.89    | 0.04%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.07100 01/15/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2430235.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ8604 FN 02/27 FIXED 3                          | CUSIP: 3138E1R25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8172 | PA      | $8116.29        | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1701 FN 05/48 FIXED 4                          | CUSIP: 3140Q83K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1255994 | PA      | $1203587.18     | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTG SEC-1999-B                                                | BOMBARDIER CAPITAL MORTGAGE SE BCM 1999 B A2               | CUSIP: 09774XBC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8917915 | PA      | $445194.82      | 0.00%             | 2029-12-17      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-6                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 6 3A1             | CUSIP: 86364CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23378 | PA      | $14580.00       | 0.00%             | 2037-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H09 FA             | CUSIP: 38380LFE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15378163 | PA      | $15682466.51    | 0.01%             | 2068-04-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 09/29 VAR                        | CUSIP: 06738ECK9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     25800000 | PA      | $26869628.53    | 0.01%             | 2029-09-13      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-6640211.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2007-1                                                          | MORTGAGEIT TRUST MHL 2007 1 2A12                           | CUSIP: 61915YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1203428 | PA      | $1032309.99     | 0.00%             | 2047-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE4409 FN 10/55 FIXED 5                          | CUSIP: 3140BG3T8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1533235 | PA      | $1513564.26     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                            | MERCURY AGGREGATOR L P TRANCHE 1 TERM LOAN                 | CUSIP: BA000FDV1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     17666738 | PA      | $0.18           | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2637 FN 11/55 FIXED 5                          | CUSIP: 3140BS4X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1070820 | PA      | $1058813.04     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TROPIC CDO CORP 2006-5A                                                          | TROPIC CDO CORP TROPC 2006 5A A1L2 144A                    | CUSIP: 89708BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     27592000 | PA      | $26764240.40    | 0.01%             | 2036-07-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-B                                                   | FREMONT HOME LOAN TRUST FHLT 2005 B M6                     | CUSIP: 35729PKA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5257000 | PA      | $4695297.96     | 0.00%             | 2035-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DG0774 FN 01/56 FIXED 5                          | CUSIP: 3140U32G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6883118 | PA      | $6793538.32     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC8945 FN 06/46 FIXED 3.5                        | CUSIP: 3140F45F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50773 | PA      | $47482.66       | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1                | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2871 | PA      | $2803.42        | 0.00%             | 2044-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-OP1                                                     | ACE SECURITIES CORP. ACE 2006 OP1 A1A                      | CUSIP: 00442PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2814159 | PA      | $2767847.72     | 0.00%             | 2036-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZI4145 FR 01/36 FIXED 6.5                | CUSIP: 3131WGTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          625 | PA      | $652.47         | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2C           | CUSIP: 00075WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48919966 | PA      | $27372115.11    | 0.01%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.43500 11/01/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2481257.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0381 FN 09/28 FIXED 3                          | CUSIP: 3138W9M72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       114476 | PA      | $113087.31      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2212 FN 12/45 FIXED 4                          | CUSIP: 3140E6N65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       557050 | PA      | $537606.62      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $4747560.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                                             | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A        | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     20668451 | PA      | $20387605.98    | 0.01%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR2                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR2 1A1B          | CUSIP: 45661EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5120501 | PA      | $4809643.55     | 0.00%             | 2046-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2002-4                                                   | HOME EQUITY ASSET TRUST HEAT 2002 4 M2                     | CUSIP: 22541NQN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3043805 | PA      | $2947058.89     | 0.00%             | 2033-03-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BNC1                                         | STRUCTURED ASSET SECURITIES CO SASC 2007 BNC1 A2           | CUSIP: 86364XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     84081165 | PA      | $36416073.86    | 0.02%             | 2037-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES10                                                   | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES10 A1A 144A       | CUSIP: 74939LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149399794 | PA      | $148530182.13   | 0.07%             | 2055-11-25      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZL2322 FR 11/41 FIXED 5                  | CUSIP: 3131XHSK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3045 | PA      | $3032.43        | 0.00%             | 2041-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J7                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J7 1A4           | CUSIP: 23244FAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4363712 | PA      | $1986876.47     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 A2 144A         | CUSIP: 52473LAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    415707776 | PA      | $385153961.55   | 0.17%             | 2056-12-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                       | ENVISION HEALTHCARE CORPORTION 2023 1ST LIEN FIRST OUT TL  | CUSIP: 949ABEII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    178896476 | PA      | $178896475.64   | 0.08%             | 2026-11-03      | Floating      | 11.64%                | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ2288 FR 09/54 FIXED 5                  | CUSIP: 3142GSRJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2817764 | PA      | $2782928.30     | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2019 RPL2 PT 144A         | CUSIP: 52475LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87736212 | PA      | $82371748.28    | 0.04%             | 2057-06-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.64500 08/07/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1391638.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $4714882.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5752 FN 11/47 FIXED 3.5                        | CUSIP: 3140GUMA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2689253 | PA      | $2509430.38     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3621 FN 03/39 FIXED 3.5                        | CUSIP: 31418DAX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       175495 | PA      | $168545.21      | 0.00%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-2361859.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                    | HESTIA RE LTD UNSECURED 144A 03/32 VAR                     | CUSIP: 42815KAD4<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |      3600000 | PA      | $3679380.00     | 0.00%             | 2032-03-13      | Floating      | 11.77%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1850 FN 08/49 FIXED 3                          | CUSIP: 3140JWBU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32717407 | PA      | $29291139.76    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CLP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |            1 | NC      | $8563808.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3A            | CUSIP: 59024FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24118731 | PA      | $5588298.02     | 0.00%             | 2037-03-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ5722 FN 09/30 FIXED 3.5                        | CUSIP: 3138YXLC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103179 | PA      | $101675.98      | 0.00%             | 2030-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                      | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  19652000000 | PA      | $109422405.34   | 0.05%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 468309 GN 02/28 FIXED 6.49                       | CUSIP: 36209DGS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10690 | PA      | $10924.15       | 0.00%             | 2028-02-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35           | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      7300000 | PA      | $7536556.79     | 0.00%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2014-3                                              | RIO OIL FINANCE TRUST SR SECURED REGS 01/27 9.75           | CUSIP: U76673AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       270495 | PA      | $276605.22      | 0.00%             | 2027-01-06      | Variable      | 9.75%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF1 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF1 A1 144A      | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1511604 | PA      | $1493015.24     | 0.00%             | 2054-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-15359.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2019-1735                                                    | DBGS MORTGAGE TRUST DBGS 2019 1735 A 144A                  | CUSIP: 23307EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2690000 | PA      | $2533197.75     | 0.00%             | 2037-04-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                               | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                  | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |     50862666 | NS      | $120544518.42   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6687 FN 08/46 FIXED 3.5                        | CUSIP: 3140FEND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76745 | PA      | $71708.85       | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITY-PEACE PARK CLO LTD 2022-1A                                                 | UNITY PEACE PARK CLO, LTD. UNPPK 2022 1A A1R 144A          | CUSIP: 913318AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    150600000 | PA      | $150642273.42   | 0.07%             | 2035-04-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $2561751.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU0049 FN 09/51 FIXED 2.5                        | CUSIP: 3140M1BT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5093839 | PA      | $4356781.35     | 0.00%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD9916 FN 09/55 FIXED 5.5                        | CUSIP: 3140BBAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       356632 | PA      | $360359.68      | 0.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXV LTD                                                | PREFERRED TERM SECS XXV SR SECURED 144A 06/37 VAR          | CUSIP: 74042FAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     48367009 | PA      | $43530308.37    | 0.02%             | 2037-06-22      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL5                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL5 PT 144A      | CUSIP: 362951AR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175666508 | PA      | $148666882.06   | 0.07%             | 2064-07-25      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8710 FN 07/29 FIXED VAR                        | CUSIP: 3138ETVC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           59 | PA      | $58.39          | 0.00%             | 2029-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-OPT1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 OPT1 A2C          | CUSIP: 59022VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       172930 | PA      | $167077.66      | 0.00%             | 2037-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-C                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 C 1A1             | CUSIP: 058930AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       261559 | PA      | $217372.22      | 0.00%             | 2036-04-20      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B B 144A           | CUSIP: 78450CAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7688037 | PA      | $8009455.70     | 0.00%             | 2052-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260721                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-89964.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX3980 FR 12/54 FIXED 5.5                | CUSIP: 31425YM61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       268087 | PA      | $269584.45      | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0932 FN 12/41 FIXED 3.5                        | CUSIP: 31418ABA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1946 | PA      | $1830.32        | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6.5 JUMBOS                               | CUSIP: 21H062651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2012145000 | PA      | $2085345466.84  | 0.93%             | 2054-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08749 FG 02/47 FIXED 4                  | CUSIP: 3128MJZP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4664 | PA      | $4478.50        | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60000 01/17/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1115221.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-4                                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 4 1A1             | CUSIP: 863579MP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7170742 | PA      | $6027737.04     | 0.00%             | 2035-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1795 FN 11/47 FIXED 4.5                        | CUSIP: 3140H27H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       132013 | PA      | $129874.44      | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-447318.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BXP TRUST 2017-GM                                                                | BXP TRUST BXP 2017 GM A 144A                               | CUSIP: 056083AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28700000 | PA      | $28221476.29    | 0.01%             | 2039-06-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3798 FN 11/55 FIXED VAR                        | CUSIP: 3140W4GG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22438026 | PA      | $23341823.09    | 0.01%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2889 FN 11/45 FIXED 4                          | CUSIP: 3140E7F70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2291 | PA      | $2181.43        | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7033 FR 11/54 FIXED 5                  | CUSIP: 3132DUY68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14288531 | PA      | $14105649.65    | 0.01%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 2A3            | CUSIP: 05949CPJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41918 | PA      | $37980.73       | 0.00%             | 2036-01-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-76                                                               | FANNIE MAE FNR 2010 76 ZC                                  | CUSIP: 31398TFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       928259 | PA      | $918733.87      | 0.00%             | 2040-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX5759 FN 10/44 FIXED 4                          | CUSIP: 3138Y7MH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       168007 | PA      | $162012.30      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF6             | CUSIP: 75971EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       548079 | PA      | $170138.02      | 0.00%             | 2036-11-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-2                                                | IMPAC SECURED ASSETS CORP. IMSA 2007 2 1A1C                | CUSIP: 452570AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9025439 | PA      | $7804593.92     | 0.00%             | 2037-05-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5807 FN 04/48 FIXED VAR                        | CUSIP: 3140JANZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41993578 | PA      | $39135946.70    | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08769 FG 07/47 FIXED 3                  | CUSIP: 3128MJ2B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5911 | PA      | $5327.80        | 0.00%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZJ3074 FR 10/28 FIXED 6.5                | CUSIP: 3131WTMX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1812 | PA      | $1888.98        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA0666 FR 12/55 FIXED 5                  | CUSIP: 3142JNW44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     76510266 | PA      | $75532610.06    | 0.03%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH1 A1D          | CUSIP: 02150KAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9586687 | PA      | $8576230.34     | 0.00%             | 2047-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 1A             | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34491886 | PA      | $27296647.75    | 0.01%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A3          | CUSIP: 12668AUS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1535123 | PA      | $583718.08      | 0.00%             | 2035-12-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                                  | AVON FINANCE AVON 4A D 144A                                | CUSIP: ACI2JTNR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      8841000 | PA      | $11725701.93    | 0.01%             | 2049-12-28      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC6                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC6 M1            | CUSIP: 86358ECL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       233441 | PA      | $232847.08      | 0.00%             | 2033-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2003-A5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A5 1A             | CUSIP: 5899293M8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49281 | PA      | $48356.65       | 0.00%             | 2033-07-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6382 FN 10/27 FIXED 3.5                        | CUSIP: 31417DCU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26556 | PA      | $26304.98       | 0.00%             | 2027-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 739477 FN 10/33 FIXED 6.5                        | CUSIP: 31402VQ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1186 | PA      | $1226.86        | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-AR1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 AR1 3A             | CUSIP: 65535VDR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       562380 | PA      | $553591.90      | 0.00%             | 2034-08-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-10XS                                              | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 10XS A18           | CUSIP: 61751MAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        98503 | PA      | $91677.35       | 0.00%             | 2037-02-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 4A1                 | CUSIP: 46628BCC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       555966 | PA      | $421002.21      | 0.00%             | 2036-10-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR4                                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR4 A1             | CUSIP: 07401JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3261797 | PA      | $3226444.73     | 0.00%             | 2036-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-25                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 25 1A2           | CUSIP: 02151UAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7767572 | PA      | $3273992.60     | 0.00%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 4A1           | CUSIP: 12667GCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1015243 | PA      | $967225.13      | 0.00%             | 2035-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.51453 09/03/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $400414.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 1A1            | CUSIP: 05949A5Z9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       309454 | PA      | $227249.14      | 0.00%             | 2035-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF1 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 RCF1 A1 144A      | CUSIP: 69381AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26511938 | PA      | $26249502.07    | 0.01%             | 2053-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q53661 FG 01/48 FIXED 3.5                | CUSIP: 3132XWB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       131384 | PA      | $122697.31      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.65000 08/14/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-924509.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF1                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF1 M2             | CUSIP: 32027NQM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       214937 | PA      | $253101.20      | 0.00%             | 2034-12-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDNTIAL COLL TR 2002-BC5                                           | AMORTIZING RESIDENTIAL COLLATE ARC 2002 BC5 M2             | CUSIP: 86358RZ75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7183 | PA      | $8712.06        | 0.00%             | 2032-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4506 FN 02/30 FIXED 3                          | CUSIP: 3138WEAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       161369 | PA      | $158415.49      | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                      | URSA RE LTD UNSECURED 144A 12/26 VAR                       | CUSIP: 90323WAP5<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |     38700000 | PA      | $39272760.00    | 0.02%             | 2026-12-07      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55016 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $417504.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN1099 FR 12/34 FIXED 3                  | CUSIP: 3133G7GG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1575786 | PA      | $1516934.18     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 5A1                 | CUSIP: 46628LAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       231516 | PA      | $155184.29      | 0.00%             | 2036-06-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-30CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 30CB 1A5         | CUSIP: 12667GXP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2252580 | PA      | $1463340.33     | 0.00%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5469 FN 09/54 FIXED 5                          | CUSIP: 31418FCF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1061382 | PA      | $1047797.25     | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA F 144A                       | CUSIP: ACI2QV5G4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     17515000 | PA      | $22905451.26    | 0.01%             | 2055-05-28      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL6 SA 144A      | CUSIP: 36272QAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51384 | PA      | $50609.29       | 0.00%             | 2064-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 10CB 1A1         | CUSIP: 12667GAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7618952 | PA      | $5573300.60     | 0.00%             | 2035-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG37 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $16786.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 3A4          | CUSIP: 761118DA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       883782 | PA      | $639517.10      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-4                                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 4A A2 144A        | CUSIP: 36271BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19781109 | PA      | $19825482.34    | 0.01%             | 2029-12-17      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3             | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     29811000 | PA      | $30159729.08    | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS9345 FN 10/54 FIXED VAR                        | CUSIP: 3140XRL37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       457475 | PA      | $451619.72      | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC5475 FN 11/54 FIXED 5.5                        | CUSIP: 3140ATCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2768484 | PA      | $2783949.28     | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO5023 FN 12/49 FIXED 3                          | CUSIP: 3140K0SM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90146595 | PA      | $80668413.43    | 0.04%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-4                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 4 6A              | CUSIP: 86360BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3227063 | PA      | $1778946.67     | 0.00%             | 2036-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-7                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 10A2              | CUSIP: 22942KCD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3271271 | PA      | $1401628.25     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL4                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL4 A1A 144A    | CUSIP: 16160NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13107145 | PA      | $11737632.07    | 0.01%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                                 | BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1                | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1964574 | PA      | $1885275.22     | 0.00%             | 2036-01-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.01500 12/30/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1935599.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO MORGAN STANLEY                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |      -827780 | PA      | $-957595.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 252162 FN 12/28 FIXED 6.5                        | CUSIP: 31371HB72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          290 | PA      | $300.33         | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3443 FR 05/53 FIXED 5.5                | CUSIP: 3132DQZG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11680642 | PA      | $11762893.16    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1640 FR 01/49 FIXED 4.5                | CUSIP: 3132ADZD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137462 | PA      | $134967.14      | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8351 FR 03/53 FIXED 5.5                | CUSIP: 3133BWH48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5521918 | PA      | $5576224.27     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2024-BA ASSET-BACKED NOTES              | FORD AUTO SECURITIZATION TRUST FASTR 2024 BA A3 144A       | CUSIP: 345214BV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     29300000 | PA      | $21065941.96    | 0.01%             | 2030-09-15      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  JUN26 XCME 20260915                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         3132 | NC      | $-313880.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM35 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1549.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54777 FG 03/48 FIXED 3.5                | CUSIP: 3132XXJX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10145 | PA      | $9461.76        | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 2 2A1            | CUSIP: 07401EAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3686799 | PA      | $3113433.20     | 0.00%             | 2046-12-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-6 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 6 A1 144A         | CUSIP: 74390PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7263031 | PA      | $7273812.48     | 0.00%             | 2029-11-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A2            | CUSIP: 251513AU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7200681 | PA      | $6284581.80     | 0.00%             | 2036-10-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 4 B              | CUSIP: 802919AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37500000 | PA      | $37730602.50    | 0.02%             | 2029-09-17      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4084 FN 10/47 FIXED 3.5                        | CUSIP: 3140GSRE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53934 | PA      | $50349.64       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2023-A                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2023 A PT 144A         | CUSIP: 17295GAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315173026 | PA      | $230670126.20   | 0.10%             | 2063-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-273844.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889529 FN 03/38 FIXED VAR                        | CUSIP: 31410KHE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47864 | PA      | $50238.91       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-158.10        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4027 FN 05/40 FIXED 3.5                        | CUSIP: 31418DPM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1303071 | PA      | $1244109.49     | 0.00%             | 2040-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA6015 FN 03/54 FIXED 6.5                        | CUSIP: 3140A6VH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       168394 | PA      | $175430.70      | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4460 FN 02/46 FIXED 4                          | CUSIP: 3140EY5W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       262807 | PA      | $252711.01      | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 15 A5                     | CUSIP: 12669GQ95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1658283 | PA      | $811407.08      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                                     | ACE SECURITIES CORP. ACE 2005 HE5 M5                       | CUSIP: 004421RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1722170 | PA      | $1497388.52     | 0.00%             | 2035-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0265 FN 09/47 FIXED 4                          | CUSIP: 3140Q7JK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67464 | PA      | $64670.00       | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2005-1                                                 | AEGIS ASSET BACKED SECURITIES AABST 2005 1 M5              | CUSIP: 00764MEP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9221179 | PA      | $8337623.74     | 0.00%             | 2035-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| OWNIT MTGE LN ASSET-BACKED CERT 2005-2                                           | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 2 M6             | CUSIP: 691215BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3066610 | PA      | $2735648.88     | 0.00%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 2A3          | CUSIP: 933637AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1558438 | PA      | $1360934.94     | 0.00%             | 2037-01-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.8413 11/26/25-01/02/31 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-13232875.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 6.77000 03/10/26-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $-514738.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3823 FN 11/55 FIXED 5                          | CUSIP: 3140BGG98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4277928 | PA      | $4222757.77     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NRZT 2019-5A                                                                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 5A B5B 144A        | CUSIP: 64830MEC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13651749 | PA      | $12785776.64    | 0.01%             | 2059-08-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 09/54 2.1                      | CUSIP: ACI2RLJN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  37213650000 | PA      | $170082360.53   | 0.08%             | 2054-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4465 FN 11/51 FIXED 2                          | CUSIP: 31418D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10407184 | PA      | $8438851.85     | 0.00%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847212 FH 12/33 FLOATING VAR             | CUSIP: 3128JRAM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12182 | PA      | $12504.46       | 0.00%             | 2033-12-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM1 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM1 A1 144A      | CUSIP: 693977AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6637583 | PA      | $6679330.76     | 0.00%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BQ2355 FN 09/50 FIXED 2.5                        | CUSIP: 3140KMTM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7666546 | PA      | $6517894.61     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TR 2006-3                                               | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4              | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5778039 | PA      | $5548971.10     | 0.00%             | 2036-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.0520* 03/16/26-30Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $590897.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LANDMARK MORTGAGE SECURITIES NO 3 PLC                                            | LANDMARK MORTGAGE SECURITIES P LMS 3 A REGS                | CUSIP: ACI0B57H7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     14382894 | PA      | $18703967.84    | 0.01%             | 2044-04-17      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2005 NC2 M6                | CUSIP: 61744CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2526064 | PA      | $2339064.96     | 0.00%             | 2035-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H8 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H8 A1 144A                 | CUSIP: 22757GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13872968 | PA      | $13926272.39    | 0.01%             | 2069-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5971 FN 02/56 FIXED 5                          | CUSIP: 31418FT56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    984529173 | PA      | $971670749.28   | 0.43%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-360072.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-49                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 49 A9                     | CUSIP: 12669EG59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3389 | PA      | $3331.20        | 0.00%             | 2033-12-19      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2025-3A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2025 3A A2 144A            | CUSIP: 37989YAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     44456996 | PA      | $44506552.02    | 0.02%             | 2028-07-17      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 7A4                 | CUSIP: 46630GBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18600 | PA      | $16917.54       | 0.00%             | 2035-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9600 FN 02/47 FIXED 4                          | CUSIP: 3138WKU29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46594 | PA      | $44727.13       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M2            | CUSIP: 04542BHN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       316272 | PA      | $207914.63      | 0.00%             | 2034-01-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $2360766.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2314 FN 10/55 FIXED 5                          | CUSIP: 3140BSSC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9791738 | PA      | $9666618.73     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-7AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 7AR 2A1            | CUSIP: 61748HCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       642467 | PA      | $637466.77      | 0.00%             | 2034-09-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| MERRION SQUARE RESIDENTIAL 2024-1 DAC24-1A                                       | MERRION SQUARE RESIDENTIAL MERRI 2024 1A A 144A            | CUSIP: ACI2PXBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     78113381 | PA      | $90549743.79    | 0.04%             | 2081-03-24      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR               | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    383591157 | PA      | $257389666.35   | 0.11%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB4                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB4 2A2                  | CUSIP: 12669FY72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51311 | PA      | $49651.47       | 0.00%             | 2034-09-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO5                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO5 A1            | CUSIP: 761118QM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8625773 | PA      | $6691012.96     | 0.00%             | 2046-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB3514 FR 09/50 FIXED 2.5                | CUSIP: 3133A93X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6915828 | PA      | $5895925.73     | 0.00%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR             | CUSIP: 903724CE0<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      3627465 | PA      | $1563437.42     | 0.00%             | 2034-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-7                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 7 2A3A            | CUSIP: 17307GB80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       196249 | PA      | $144332.76      | 0.00%             | 2035-09-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 21A1                 | CUSIP: 07386HVR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3275304 | PA      | $2541826.40     | 0.00%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-10                                                        | FANNIE MAE FNR 2024 10 AF                                  | CUSIP: 3136BQ6A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10223864 | PA      | $10184388.92    | 0.00%             | 2050-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $246819.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SRT ISSUER II LLC 2025-2                                                         | SRT ISSUER SRTI 2025 2 A2A                                 | CUSIP: 78475DAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167500000 | PA      | $167653711.40   | 0.07%             | 2031-12-02      | Floating      | 6.76%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0110 FN 08/47 FIXED 3.5                        | CUSIP: 3140Q7DQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5597 | PA      | $5225.08        | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FS RIALTO 2026-FL11 ISSUER LLC 2026-FL11                                         | FS RIALTO ISSUER LTD FSRIA 2026 FL11 A 144A                | CUSIP: 30343TAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     85850000 | PA      | $85866390.48    | 0.04%             | 2044-01-19      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-582356.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2474 FR 01/55 FIXED 5.5                | CUSIP: 31427PXC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4846252 | PA      | $4901495.93     | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8221 FN 09/44 FIXED 4                          | CUSIP: 3138XYD35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1002114 | PA      | $966050.54      | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-2                                           | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 2 M6             | CUSIP: 68383NBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       789096 | PA      | $788719.02      | 0.00%             | 2035-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3184 FN 11/47 FIXED 4.5                        | CUSIP: 31418CRE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11828 | PA      | $11600.77       | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P4 A4 144A       | CUSIP: 14687NAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15200000 | PA      | $15610474.48    | 0.01%             | 2029-09-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $43435.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM 2024-HOME1 TRUST                                                           | PRKCM TRUST PRKCM 2024 HOME1 A1 144A                       | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       593392 | PA      | $599162.11      | 0.00%             | 2059-05-25      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-889617.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q49035 FG 06/47 FIXED 3.5                | CUSIP: 3132WPBD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47058 | PA      | $43834.72       | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 5A1                   | CUSIP: 36242D4V2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1866498 | PA      | $1592472.95     | 0.00%             | 2035-05-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                                   | ARGENT SECURITIES INC. ARSI 2004 W11 M3                    | CUSIP: 040104MG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       618974 | PA      | $633098.58      | 0.00%             | 2034-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/29 3.875       | CUSIP: 92564RAL9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5805000 | PA      | $5643143.89     | 0.00%             | 2029-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260408                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1530069.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA STRUCTURED SECURITIES TRUST SERIES 2026-S1                    | FINANCE OF AMERICA STRUCTURED FASST 2026 S1 A1 144A        | CUSIP: 316930AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279000000 | PA      | $269638350.30   | 0.12%             | 2056-03-25      | Variable      | 3.50%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 29 2A1                    | CUSIP: 12669GJB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       209312 | PA      | $198525.78      | 0.00%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 A3 144A       | CUSIP: 14687WAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     46089299 | PA      | $46133001.07    | 0.02%             | 2029-01-10      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-112                                                              | FANNIE MAE FNR 2007 112 SD                                 | CUSIP: 31396X4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       820746 | PA      | $79098.31       | 0.00%             | 2037-12-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO III LTD                                                               | CARVAL CLO LTD CARVL 2019 2A AR2 144A                      | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     60486190 | PA      | $60447709.68    | 0.03%             | 2032-07-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8011 FR 10/34 FIXED 3                  | CUSIP: 3132D53U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18299 | PA      | $17645.03       | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM10 TRUST                                                             | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM10 A1 144A            | CUSIP: 67449CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22357098 | PA      | $22517394.14    | 0.01%             | 2063-10-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE2                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE2 2A1           | CUSIP: 92926SAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        39696 | PA      | $14248.36       | 0.00%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A2            | CUSIP: 68401TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35841607 | PA      | $17489109.50    | 0.01%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S4                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S4 A3            | CUSIP: 16162YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       106363 | PA      | $41000.66       | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0619 G2 09/55 FIXED 3.5                     | CUSIP: 3618N5VM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    266621777 | PA      | $244735502.02   | 0.11%             | 2055-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB4                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB4 3A                   | CUSIP: 125431AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3520431 | PA      | $3339756.33     | 0.00%             | 2036-06-20      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1571 FN 09/43 FIXED 4                          | CUSIP: 31418AW95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41188 | PA      | $39775.93       | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5629 FN 08/45 FIXED 3.5                        | CUSIP: 3138WFHF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59107 | PA      | $55518.40       | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A3              | CUSIP: 12669VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26299 | PA      | $26275.50       | 0.00%             | 2047-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4005 FN 04/30 FIXED 2                          | CUSIP: 31418DNX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27848 | PA      | $26938.43       | 0.00%             | 2030-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-2A                                                               | RCKT TRUST RCKTL 2025 2A A 144A                            | CUSIP: 74939HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4243850 | PA      | $4244911.85     | 0.00%             | 2034-11-27      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A3                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A3 2A             | CUSIP: 59020UHG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        42920 | PA      | $38733.90       | 0.00%             | 2034-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP JPM                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $197746.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.43500 11/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5456536.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                                             | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A M4 144A       | CUSIP: 07325QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       825700 | PA      | $846614.91      | 0.00%             | 2037-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVEST INC 2005-A1                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A1 2A1            | CUSIP: 59020UQD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2913 | PA      | $2954.49        | 0.00%             | 2034-12-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51774 FG 10/47 FIXED 3.5                | CUSIP: 3132XT6L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       989694 | PA      | $925906.08      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $2948752.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6441 FN 02/53 FIXED 6.5                        | CUSIP: 3140NBEP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101116 | PA      | $105046.43      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NRPL-2023-RPL1                                                                   | NRPL TRUST SERIES NRPL 2023 RPL1 SA 144A                   | CUSIP: 62955FAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       350410 | PA      | $345324.13      | 0.00%             | 2062-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2183 FN 11/55 FIXED 5                          | CUSIP: 3140BSM95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39990511 | PA      | $39480537.98    | 0.02%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 4A1                   | CUSIP: 362341XC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1003145 | PA      | $430711.33      | 0.00%             | 2035-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2006-HE1                                           | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE1 M2           | CUSIP: 04541GVM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17735890 | PA      | $16450676.23    | 0.01%             | 2036-01-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V84748 FG 10/48 FIXED 3.5                | CUSIP: 3132LAHZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1271654 | PA      | $1179719.04     | 0.00%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.56500 08/28/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2063012.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ8904 FR 11/54 FIXED 5.5                | CUSIP: 3133D03M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       398825 | PA      | $401053.36      | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A10         | CUSIP: 12668BFK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       466158 | PA      | $253986.69      | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                          | BCAP LLC TRUST BCAP 2011 RR4 7A1 144A                      | CUSIP: 05533XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1261478 | PA      | $675610.90      | 0.00%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A1                     | CUSIP: 12669GYY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8921279 | PA      | $7969316.17     | 0.00%             | 2035-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A C 144A         | CUSIP: 21056EAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8939487 | PA      | $9231616.25     | 0.00%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2079 FR 10/52 FIXED 4                  | CUSIP: 3132DPJY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          820 | PA      | $774.67         | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-8                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 4A1             | CUSIP: 05953LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2175411 | PA      | $1753899.84     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-113                                                       | FANNIE MAE FNR 2006 113 BQ                                 | CUSIP: 31396LZ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       254783 | PA      | $10094.53       | 0.00%             | 2036-11-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED REGS 06/47 5.25            | CUSIP: X5424XBQ0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    455800000 | PA      | $4.56           | 0.00%             | 2047-06-23      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                                   | AVOLON TLB BORROWER 1 US LLC 2023 TERM LOAN B6             | CUSIP: 05400KAJ9<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |      7792902 | PA      | $7817255.06     | 0.00%             | 2030-06-24      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2006-BC2                                          | STRUCTURED ASSET SECURITIES CO SASC 2006 BC2 A3            | CUSIP: 86361GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3276649 | PA      | $3201355.83     | 0.00%             | 2036-09-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ5228 FR 11/55 FIXED 5.5                | CUSIP: 3142GVY21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22018814 | PA      | $22524974.36    | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF1573 FR 10/52 FIXED 5.5                | CUSIP: 3133BNXA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5925761 | PA      | $5975603.92     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO XII DAC  12A                                                    | INVESCO EURO CLO XII DAC INVSC 12A A1R 144A                | CUSIP: ACI387VH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     60700000 | PA      | $69967722.34    | 0.03%             | 2037-07-15      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2145                                                                 | FREDDIE MAC FHR 2145 MZ                                    | CUSIP: 3133TKE22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18311 | PA      | $18566.81       | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 670551 FN 08/32 FIXED 6.5                        | CUSIP: 31391L5L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          625 | PA      | $646.28         | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                  | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2651581 | PA      | $1186165.14     | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-CES4                                        | JP MORGAN MORTGAGE TRUST JPMMT 2025 CES4 PT 144A           | CUSIP: 46659UAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    299869052 | PA      | $320081635.23   | 0.14%             | 2056-01-25      | Fixed         | 8.51%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | COMMONSPIRIT HEALTH SECURED 09/30 4.352                    | CUSIP: 20268JAY9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     42900000 | PA      | $42286135.32    | 0.02%             | 2030-09-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF231 RR                               | CUSIP: ACI2QBKR7<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     22875915 | PA      | $26613792.77    | 0.01%             | 2028-10-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-AF2                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AF2 AV2B          | CUSIP: 59023NAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4908708 | PA      | $2756820.12     | 0.00%             | 2037-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-1 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 1 AA PTT PASS THRU CE 07/29 3.575          | CUSIP: 02376UAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      7136468 | PA      | $7042136.09     | 0.00%             | 2029-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-23                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 2A4             | CUSIP: 12666CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1574609 | PA      | $1537179.57     | 0.00%             | 2037-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-9F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 9F 4A1                    | CUSIP: 3622X7AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       541112 | PA      | $183340.22      | 0.00%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5039 FR 03/40 FIXED 3.5                | CUSIP: 3133KYS42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98046 | PA      | $93651.34       | 0.00%             | 2040-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY43 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $19739408.81    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING LTD 2026-20A                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2026 20A B 144A        | CUSIP: 03333NAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     21800000 | PA      | $21800000.00    | 0.01%             | 2042-04-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2952 FN 12/28 FIXED 3                          | CUSIP: 3140FAH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56264 | PA      | $55799.49       | 0.00%             | 2028-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 1A1            | CUSIP: 68402BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46961010 | PA      | $32732748.82    | 0.01%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08765 FG 06/47 FIXED 3                  | CUSIP: 3128MJZ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5225222 | PA      | $4709898.09     | 0.00%             | 2047-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4557 FN 10/46 FIXED 4                          | CUSIP: 3140F0B37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       154073 | PA      | $147814.10      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SI2002 FR 03/48 FIXED 4                  | CUSIP: 3133USGK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       317292 | PA      | $304045.99      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-1                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 9M1             | CUSIP: 007036AP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2170049 | PA      | $1936507.26     | 0.00%             | 2035-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2024-B                                                     | SBNA AUTO LEASE TRUST SBALT 2024 B A3 144A                 | CUSIP: 78437VAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33380949 | PA      | $33485204.40    | 0.01%             | 2027-11-22      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1            | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       177182 | PA      | $160066.18      | 0.00%             | 2035-10-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2008-R2                                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R2 A1 144A       | CUSIP: 466306AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2931130 | PA      | $1430392.13     | 0.00%             | 2036-11-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9489 FN 04/47 FIXED 4                          | CUSIP: 3138WKRK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6706235 | PA      | $6426406.83     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-11                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 11 2A42           | CUSIP: 007036VE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1129968 | PA      | $709952.28      | 0.00%             | 2036-02-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX2843 FR 01/55 FIXED 5.5                | CUSIP: 31425XER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       577290 | PA      | $580514.84      | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 900371 FN 09/36 FIXED 6.5                        | CUSIP: 31410XJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1273 | PA      | $1325.79        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-5                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 5 A51                     | CUSIP: 12544VCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5244831 | PA      | $2422585.33     | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A F                      | CUSIP: ACI2Q4L35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     19849000 | PA      | $22424567.68    | 0.01%             | 2067-08-22      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A3          | CUSIP: 83612TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14885784 | PA      | $10047207.36    | 0.00%             | 2037-06-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-16                                                   | GSAA HOME EQUITY TRUST GSAA 2006 16 A2                     | CUSIP: 362256AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35160463 | PA      | $8142713.18     | 0.00%             | 2036-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A2            | CUSIP: 06050HKQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6601 | PA      | $6484.88        | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-R1                                      | GS MORTGAGE BACKED SECURITIES GSMBS 2025 R1 PT 144A        | CUSIP: 36273QAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    399728251 | PA      | $393153720.22   | 0.17%             | 2065-03-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-J1                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 J1 1A3                    | CUSIP: 126694XR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       378425 | PA      | $142265.45      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ6522 FR 10/54 FIXED 5                  | CUSIP: 3133CXG79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96263 | PA      | $95057.67       | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3396 FN 03/28 FIXED VAR                        | CUSIP: 3138EKX26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4071 | PA      | $4014.41        | 0.00%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-NC1                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 NC1 A1            | CUSIP: 86360PAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5375564 | PA      | $5331724.27     | 0.00%             | 2036-05-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2005-3 2005-3                              | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 3 2A1             | CUSIP: 576433YQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1497512 | PA      | $1381730.47     | 0.00%             | 2035-04-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -23700000 | PA      | $-19084980.29   | -0.01%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ9484 FR 11/55 FIXED 5                  | CUSIP: 31427KRE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9328054 | PA      | $9207781.97     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2740 FN 07/27 FIXED VAR                        | CUSIP: 3138EKBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21402 | PA      | $21278.38       | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7855 FN 04/46 FIXED 4                          | CUSIP: 3140F3WR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       147111 | PA      | $141778.54      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM2                                                     | ACE SECURITIES CORP. ACE 2004 FM2 M4                       | CUSIP: 004421GM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       819326 | PA      | $704315.64      | 0.00%             | 2034-06-25      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7119 FN 05/46 FIXED 3.5                        | CUSIP: 3140F24D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11581 | PA      | $11068.40       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-7                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 7 1A5            | CUSIP: 93934FBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       279964 | PA      | $244657.48      | 0.00%             | 2035-09-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP3                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP3 PT 144A         | CUSIP: 12654RAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513892424 | PA      | $439080324.44   | 0.20%             | 2048-06-25      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8495 FR 11/55 FIXED 5                  | CUSIP: 31427JNM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1867634 | PA      | $1843946.89     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                                    | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A       | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2342248 | PA      | $2338667.12     | 0.00%             | 2037-01-17      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 07/30 VAR        | CUSIP: 63861VAE7<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     57892000 | PA      | $56607632.40    | 0.03%             | 2030-07-18      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM6138 FR 04/48 FIXED 4.5                | CUSIP: 3131Y0ZB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       458769 | PA      | $451579.01      | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6179 FN 02/53 FIXED 5                          | CUSIP: 3140NA2M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12262175 | PA      | $12159962.82    | 0.01%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-3F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 3F 1A6                    | CUSIP: 362334JM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       199411 | PA      | $265454.18      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ABFC 2004-AHL1 TRUST                                                             | ASSET BACKED FUNDING CERTIFICA ABFC 2004 AHL1 M1           | CUSIP: 04542BGG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       577337 | PA      | $566111.33      | 0.00%             | 2033-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3343 FN 02/30 FIXED VAR                        | CUSIP: 3140X6WD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27198 | PA      | $26769.15       | 0.00%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.2* 06/16/21-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1754129557.57  | 0.78%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-4                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 4 4A1             | CUSIP: 86360BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4215410 | PA      | $3294171.05     | 0.00%             | 2036-05-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8823 FN 02/47 FIXED 4                          | CUSIP: 3138WJYV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3647216 | PA      | $3498046.53     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A5             | CUSIP: 55275RAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8110649 | PA      | $3869874.53     | 0.00%             | 2036-10-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 B2 144A        | CUSIP: 12653HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113040297 | PA      | $76390179.74    | 0.03%             | 2057-07-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-12R                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 12R 2A2 144A        | CUSIP: 12651DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4083873 | PA      | $3779379.19     | 0.00%             | 2037-11-30      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME LOAN TRUST 2005-1                                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 1 M5              | CUSIP: 83611MCR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       463831 | PA      | $456308.18      | 0.00%             | 2035-04-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $17675690.64    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2A LTD                                                             | VOYA CLO LTD VOYA 2019 2A AR 144A                          | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1500477 | PA      | $1499857.34     | 0.00%             | 2032-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $63552.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8972 FR 11/55 FIXED 5                  | CUSIP: 31427J6J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7759542 | PA      | $7658679.65     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                                             | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A M3 144A       | CUSIP: 07325QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       891593 | PA      | $904850.41      | 0.00%             | 2037-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2020-R5                                                                | CIM TRUST CIM 2020 R5 B1 144A                              | CUSIP: 12559UAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10152000 | PA      | $9821808.23     | 0.00%             | 2059-12-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B C 144A           | CUSIP: 83206NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19966870 | PA      | $19541064.03    | 0.01%             | 2055-02-16      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2837 FN 10/55 FIXED 5                          | CUSIP: 3140BTEK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8298802 | PA      | $8193193.84     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-7190208.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A5             | CUSIP: 74958YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45236 | PA      | $34489.73       | 0.00%             | 2037-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4103 FN 12/41 FIXED 3.5                        | CUSIP: 31417ARZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9682 | PA      | $9166.59        | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC7 A1           | CUSIP: 07384YPH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3025458 | PA      | $2481396.30     | 0.00%             | 2034-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 15 A8                     | CUSIP: 12669GR45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1105522 | PA      | $540938.06      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8493 FR 11/55 FIXED 5                  | CUSIP: 31427JNK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1353252 | PA      | $1335704.00     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-4                                              | SAXON ASSET SECURITIES TRUST SAST 2005 4 M2                | CUSIP: 805564TK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6494235 | PA      | $6346590.24     | 0.00%             | 2037-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG7652 G2 06/48 FIXED 4                       | CUSIP: 3617GSQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       853566 | PA      | $810510.42      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP JPM                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $873983.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR9                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR9 1A1           | CUSIP: 45660LMV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4013112 | PA      | $2089602.55     | 0.00%             | 2035-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| NRPLM 2024-RPL1                                                                  | NRPLM TRUST SERIES NRPLM 2024 RPL1 CERT 144A               | CUSIP: 62956LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7286994 | PA      | $6013190.06     | 0.00%             | 2063-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5786 FN 07/45 FIXED 7                          | CUSIP: 31418FNC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       381286 | PA      | $401140.83      | 0.00%             | 2045-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                                     | BAYOU RE LTD UNSECURED 144A 04/31 VAR                      | CUSIP: 07304LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      5800000 | PA      | $6026200.00     | 0.00%             | 2031-04-30      | Floating      | 11.85%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-9582323.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0933 G2 02/56 FIXED 3.5                     | CUSIP: 3618N6BB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30160367 | PA      | $27684582.06    | 0.01%             | 2056-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7100 FR 02/30 FIXED 3                  | CUSIP: 3132A73H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18891 | PA      | $18578.05       | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR4                                                          | BCAP LLC TRUST BCAP 2009 RR4 10A2 144A                     | CUSIP: 05531RAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       627205 | PA      | $499022.95      | 0.00%             | 2036-01-26      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6846 FN 03/46 FIXED 4                          | CUSIP: 3138WGTC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       133530 | PA      | $128454.75      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C09029 FG 03/43 FIXED 3                  | CUSIP: 31292SA67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6398 | PA      | $5870.69        | 0.00%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-WF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 WF1 M6            | CUSIP: 863576FN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4889000 | PA      | $4832118.93     | 0.00%             | 2036-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-69674.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-18907.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                          | 83208D9E9 SMB 2026 B A1B SOFR30A+120BP                     | CUSIP: 990ACZVB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    115365000 | PA      | $115365000.00   | 0.05%             | 2054-03-11      | Floating      | 4.87%                 | No            |                  3 | On Loan: No      |
| REACH ABS TRUST 2025-2A                                                          | REACH FINANCIAL LLC REACH 2025 2A A 144A                   | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39080838 | PA      | $39246302.85    | 0.02%             | 2032-08-18      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7698 FN 10/47 FIXED 3.5                        | CUSIP: 3140FTRU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78812 | PA      | $73198.26       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 1A1            | CUSIP: 225470RS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       352985 | PA      | $73719.61       | 0.00%             | 2036-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 909164 FN 03/38 FIXED 4.5                        | CUSIP: 31411JB96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4925 | PA      | $4876.57        | 0.00%             | 2038-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR14                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR14 2A2A         | CUSIP: 45660LAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1194217 | PA      | $929298.59      | 0.00%             | 2035-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC2 A2D               | CUSIP: 617451EF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       916426 | PA      | $915181.31      | 0.00%             | 2036-02-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/26 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $77806.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP5226 FN 04/50 FIXED 4                          | CUSIP: 3140KCYY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       517050 | PA      | $491298.34      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                            | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A4            | CUSIP: 57645MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29807114 | PA      | $9523617.38     | 0.00%             | 2036-10-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1014.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8566 G2 01/53 FIXED 3.5                     | CUSIP: 36179XQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43157855 | PA      | $40047965.08    | 0.02%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.7* 09/25/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $19585617.83    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-12                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 1A1 144A       | CUSIP: 17307GY36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1023425 | PA      | $1013250.24     | 0.00%             | 2035-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US LONG BOND(CBT) JUN26 XCBT 20260618                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -25199 | NC      | $98673760.01    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                                             | EUROSAIL PLC ESAIL 2007 1X B1C REGS                        | CUSIP: B1TQVJII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      6876650 | PA      | $9057637.70     | 0.00%             | 2045-03-13      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-5                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M4              | CUSIP: 86358ETJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1138321 | PA      | $1112006.59     | 0.00%             | 2035-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES VIII LTD / PREFERRED TERM SECURITIES VIII INC          | PREFERRED TERM SECS VIII SR SECURED 144A 01/33 VAR         | CUSIP: 74041PAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      2647759 | PA      | $2647758.89     | 0.00%             | 2033-01-03      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 21 A38                    | CUSIP: 126694EE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1684903 | PA      | $876743.84      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 B2 144A        | CUSIP: 12662NAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14392500 | PA      | $9854079.87     | 0.00%             | 2061-05-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| MARZIO FINANCE SRL 24-15                                                         | MARZIO FINANCE MARFI 2024 15 A REGS                        | CUSIP: ACI2PM0F2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |      4793013 | PA      | $5564259.45     | 0.00%             | 2049-09-28      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 A A2B             | CUSIP: 14319UAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15522885 | PA      | $15536901.82    | 0.01%             | 2028-05-15      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5019 FR 10/39 FIXED 4                  | CUSIP: 3133KYSG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34840 | PA      | $34011.00       | 0.00%             | 2039-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1692 FN 12/47 FIXED 3.5                        | CUSIP: 3140H23A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13469 | PA      | $12574.27       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLT 2024-INV1 MORTGAGE LOAN TRUST                                               | COLT FUNDING LLC COLT 2024 INV1 A1 144A                    | CUSIP: 12672RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10855889 | PA      | $10896219.01    | 0.00%             | 2068-12-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-2                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 2 5A1             | CUSIP: 863579V47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       403682 | PA      | $323391.09      | 0.00%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2535 FN 02/46 FIXED 4.5                        | CUSIP: 31418BY91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10892 | PA      | $10751.61       | 0.00%             | 2046-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF5670 FN 11/55 FIXED 5                          | CUSIP: 3140BWJQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2028774 | PA      | $2004463.47     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6746 FN 01/56 FIXED 5                          | CUSIP: 3140BXP83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10918078 | PA      | $10776657.73    | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET E                                      | CUSIP: ACI01UGQ3<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.59900 08/28/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1765963.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH0469 FN 06/47 FIXED 4                          | CUSIP: 3140GNQX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       399008 | PA      | $384217.71      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL5                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL5 SA 144A         | CUSIP: 52474TAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       705720 | PA      | $631142.38      | 0.00%             | 2058-08-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7436 FN 10/46 FIXED 3.5                        | CUSIP: 3140FFHN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18893 | PA      | $17680.16       | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5394 FR 01/53 FIXED 5.5                | CUSIP: 3133BS7F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1100561 | PA      | $1110093.55     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.64500 07/24/24-2Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $25530829.61    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7748 FN 12/55 FIXED 5                          | CUSIP: 3140BYTE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4091282 | PA      | $4039109.43     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2020-A                                                    | SOFI ALTERNATIVE TRUST SAT 2020 A R1 144A                  | CUSIP: 83406X103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       950000 | PA      | $13025783.84    | 0.01%             | 2046-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4797 FN 04/45 FIXED 3.5                        | CUSIP: 3138WEKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        61088 | PA      | $57395.10       | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7593 FN 03/47 FIXED 4                          | CUSIP: 3140FTNK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26163 | PA      | $25074.10       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0040 FR 08/55 FIXED 5.5                | CUSIP: 3142J6BJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       461971 | PA      | $464551.74      | 0.00%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2025-INV1                                   | DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2025 INV1 A1 144A      | CUSIP: 24382EAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14939296 | PA      | $14907409.59    | 0.01%             | 2060-11-25      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8935 FN 06/49 FIXED 3.5                        | CUSIP: 3140JR4V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4421615 | PA      | $4102852.38     | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2004-3                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 3 M1             | CUSIP: 542514GM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1163819 | PA      | $1175493.51     | 0.00%             | 2034-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD6968 FR 11/54 FIXED 5.5                | CUSIP: 3132DUW52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60631988 | PA      | $61674806.49    | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0055 FR 10/55 FIXED 5                  | CUSIP: 3142J6BZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170700743 | PA      | $168523932.83   | 0.07%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-OA1                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 OA1 1A1                   | CUSIP: 362631AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43700645 | PA      | $8640360.48     | 0.00%             | 2046-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM4 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM4 A1 144A             | CUSIP: 67448GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26897580 | PA      | $26861300.42    | 0.01%             | 2063-03-25      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5011 FN 05/45 FIXED 3.5                        | CUSIP: 3138WER92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23507 | PA      | $22037.63       | 0.00%             | 2045-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2002-5                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2002 5 M1             | CUSIP: 68389FCT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       939307 | PA      | $1149611.18     | 0.00%             | 2032-10-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                                     | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                   | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |     51000000 | PA      | $59335982.08    | 0.03%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-13393347.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.24250 08/07/24-2Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $10169058.14    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 13 A5                     | CUSIP: 17025JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       709017 | PA      | $309378.27      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260410                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-56216.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS2                                              | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS2 AI4           | CUSIP: 74924WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4948750 | PA      | $4821547.82     | 0.00%             | 2037-02-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2004-BNC2                                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 M1           | CUSIP: 86358ENJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       512216 | PA      | $504652.19      | 0.00%             | 2034-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 7/20/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3711142.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F              | CUSIP: 38375UXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12674656 | PA      | $12722178.27    | 0.01%             | 2066-05-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                          | BCAP LLC TRUST BCAP 2011 RR4 8A1 144A                      | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       653819 | PA      | $239006.90      | 0.00%             | 2036-02-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY8751 FR 07/55 FIXED 5                  | CUSIP: 31426TWM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       221309 | PA      | $219697.18      | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                               | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                   | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14700000 | PA      | $14714829.65    | 0.01%             | 2034-10-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 7/18/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-7244918.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2004-12                                                    | BEAR STEARNS ALT A TRUST BALTA 2004 12 2A2                 | CUSIP: 07386HPE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       202148 | PA      | $186523.56      | 0.00%             | 2035-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-712574.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM6262 FN 01/28 FIXED VAR                        | CUSIP: 3140X95Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       157366 | PA      | $156031.88      | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A Z 144A             | CUSIP: ACI2DJD92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7038698 | PA      | $9315492.06     | 0.00%             | 2053-03-14      | Floating      | 14.23%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8406 FN 08/35 FIXED VAR                        | CUSIP: 3140XCKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1575973 | PA      | $1519142.40     | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HEXAGON IV RE LTD                                                                | HEXAGON IV RE LTD HEXAGON IV RE LTD                        | CUSIP: ACI2L2QX3<br>LEI: 984500B4771ADC9FDE26 | Long             | DBT              | CORP              | BM        |     21312000 | PA      | $25856532.17    | 0.01%             | 2031-01-07      | Floating      | 10.45%                | No            |                  2 | On Loan: No      |
| BONANZA RE LTD                                                                   | BONANZA RE LTD UNSECURED 144A 01/27 VAR                    | CUSIP: 09785EAR2<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |      9600000 | PA      | $8145600.00     | 0.00%             | 2027-01-08      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q49553 FG 07/47 FIXED 4                  | CUSIP: 3132WPTK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1785 | PA      | $1708.79        | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2007-1                                                       | LUDGATE FUNDING PLC LGATE 2007 1 A2B REGS                  | CUSIP: B1Z520II7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1217082 | PA      | $1376729.37     | 0.00%             | 2061-01-01      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 12A1           | CUSIP: 07384M2B7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8327 | PA      | $8157.32        | 0.00%             | 2034-11-25      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC6                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC6 M4           | CUSIP: 76112BK58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7000000 | PA      | $6641737.90     | 0.00%             | 2035-11-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-118839.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                                    | NPC UKRENERGO GOVT GUARANT 144A 11/28 6.875                | CUSIP: 63718LAA2<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |       400000 | PA      | $369000.00      | 0.00%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF5 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF5 A1 144A      | CUSIP: 69384AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5669192 | PA      | $5611524.49     | 0.00%             | 2055-10-25      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY8724 FR 07/55 FIXED 7                  | CUSIP: 31426TVS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5880998 | PA      | $6195156.65     | 0.00%             | 2055-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-AG1                                                     | ACE SECURITIES CORP. ACE 2005 AG1 M1                       | CUSIP: 004427CC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1472892 | PA      | $1458645.59     | 0.00%             | 2035-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC10 1A          | CUSIP: 23245FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6464067 | PA      | $6553162.73     | 0.00%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3591 FR 08/53 FIXED 5.5                | CUSIP: 3132DQ7C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32981262 | PA      | $33613075.61    | 0.01%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROVIDUS CLO VII DAC 7A                                                          | PROVIDUS CLO PRVD 7A ARR 144A                              | CUSIP: ACI38JRZ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     43100000 | PA      | $49667508.74    | 0.02%             | 2038-07-15      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-33230.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5754 FN 12/47 FIXED 3.5                        | CUSIP: 3140H7MC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       454120 | PA      | $419652.75      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                                  | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 04/34 8.625     | CUSIP: 368266AA0<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |    111630000 | PA      | $92094750.00    | 0.04%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR2 1A1           | CUSIP: 92925CDQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1164200 | PA      | $1066188.41     | 0.00%             | 2036-03-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-A                                                   | FREMONT HOME LOAN TRUST FHLT 2006 A 2A4                    | CUSIP: 35729RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6402110 | PA      | $4216820.13     | 0.00%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF1 A2E           | CUSIP: 17307G4K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1685990 | PA      | $757580.99      | 0.00%             | 2036-03-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A A 144A             | CUSIP: ACI2DJCV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     33294907 | PA      | $44122552.48    | 0.02%             | 2053-03-14      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0207 G2 02/55 FIXED 6.5                     | CUSIP: 3618N5GR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    136190416 | PA      | $141627771.78   | 0.06%             | 2055-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-252887.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE5 1A4          | CUSIP: 073859AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       164030 | PA      | $163563.27      | 0.00%             | 2047-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZI5095 FR 07/36 FIXED 6.5                | CUSIP: 3131WHUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          106 | PA      | $110.75         | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.25000 06/17/20-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $363093393.62   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004657 G2 03/40 FIXED 4.5                     | CUSIP: 36202FE69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4088 | PA      | $4055.94        | 0.00%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY13                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY13 4A1         | CUSIP: 02149DAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       385948 | PA      | $347403.33      | 0.00%             | 2037-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 6A                                                  | ALESCO PREFERRED FUNDING LTD ALESC 6A A2 144A              | CUSIP: 01448XAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5000000 | PA      | $4812500.00     | 0.00%             | 2035-03-23      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A             | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41878482 | PA      | $22052643.30    | 0.01%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4860 FN 12/49 FIXED 3                          | CUSIP: 3140QCMJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5417885 | PA      | $4848251.67     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-7                                                | VERUS SECURITIZATION TRUST VERUS 2023 7 A1 144A            | CUSIP: 92539YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34884015 | PA      | $35148254.56    | 0.02%             | 2068-10-25      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2023-RP1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2023 RP1 PT 144A       | CUSIP: 173118AS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1042555288 | PA      | $845500974.46   | 0.38%             | 2062-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3369 FN 01/48 FIXED VAR                        | CUSIP: 3140J7W76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        66980 | PA      | $64185.68       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260518                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-30326.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A2            | CUSIP: 75115AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4569696 | PA      | $3852397.72     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1            | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25558 | PA      | $20102.27       | 0.00%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC4237 FN 10/54 FIXED 5.5                        | CUSIP: 3140ARV72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1299977 | PA      | $1307239.04     | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D B 144A           | CUSIP: 78450PAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42557452 | PA      | $44722834.30    | 0.02%             | 2053-09-15      | Fixed         | 6.93%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10                             | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE10 21A2        | CUSIP: 07389RAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3796832 | PA      | $3798376.30     | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2006-RZ4                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RZ4 M1            | CUSIP: 75156XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1470887 | PA      | $1449920.57     | 0.00%             | 2036-10-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK6782 FN 03/27 FIXED 3                          | CUSIP: 3138EBRC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24653 | PA      | $24492.91       | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2004-2                                           | MASTR SEASONED SECURITIZATION MSSTR 2004 2 A2              | CUSIP: 55265WCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14177 | PA      | $14124.02       | 0.00%             | 2032-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A A 144A                 | CUSIP: ACI2Q4KY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |    789934746 | PA      | $914135514.12   | 0.41%             | 2067-08-22      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1+24/8.55* 12/18/25-3Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $1090207.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-1852.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.99798 06/30/26-27Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $745601.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/2026 MYC                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1059084.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE9395 FR 09/52 FIXED 4                  | CUSIP: 3133BKNL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9411288 | PA      | $8914720.81     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A5                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A5 1A2                 | CUSIP: 466247SE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1393 | PA      | $1360.29        | 0.00%             | 2035-08-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR6 A3            | CUSIP: 86359LFK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          584 | PA      | $576.73         | 0.00%             | 2035-02-19      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-721529.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                                   | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A             | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1727023 | PA      | $1729157.52     | 0.00%             | 2029-10-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA6600 G2 04/50 FIXED 3.5                     | CUSIP: 36179VKM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1244111 | PA      | $1161382.53     | 0.00%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4570 FN 03/45 FIXED 3.5                        | CUSIP: 3138WECG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6838 | PA      | $6426.44        | 0.00%             | 2045-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8871 FN 03/47 FIXED 4                          | CUSIP: 3140FU2D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16567 | PA      | $16356.18       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9420 FN 03/53 FIXED 5                          | CUSIP: 3140NEPE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13840025 | PA      | $13740611.18    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/9.13500 01/02/25-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $2209552.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2004-1                                           | AAMES MORTGAGE INVESTMENT TRUS AMIT 2004 1 M7              | CUSIP: 00252FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7500000 | PA      | $6112895.25     | 0.00%             | 2035-01-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4117 FN 11/47 FIXED 4.5                        | CUSIP: 3140H5SF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2204 | PA      | $2166.97        | 0.00%             | 2047-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5869 FN 08/45 FIXED 7                          | CUSIP: 31418FQX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       670686 | PA      | $706242.73      | 0.00%             | 2045-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-7                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 7 A 144A          | CUSIP: 69545AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3560540 | PA      | $3573437.39     | 0.00%             | 2031-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                              | SPACE COAST CREDIT UNION SCCU 2024 1A A4 144A              | CUSIP: 78436RAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36300000 | PA      | $36765707.22    | 0.02%             | 2030-05-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2348 FN 11/55 FIXED 5                          | CUSIP: 3140BSTE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2183787 | PA      | $2155938.77     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256571 FN 12/26 FIXED 6.5                        | CUSIP: 31371M6G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5688 | PA      | $5881.16        | 0.00%             | 2026-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB8748 FN 06/54 FIXED 7                          | CUSIP: 3140QUWJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81821 | PA      | $86033.34       | 0.00%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-1476904.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                          | 83208D909 SMB 2026 B R 144A                                | CUSIP: 990ACZUY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51000 | PA      | $8355448.69     | 0.00%             | 2054-03-11      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE 2002-26                                                               | FANNIE MAE FNR 2002 26 A1                                  | CUSIP: 31392CR30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5621 | PA      | $5795.71        | 0.00%             | 2048-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN 2019-1A                                            | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 1A B1 144A         | CUSIP: 64830CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14769313 | PA      | $13998620.36    | 0.01%             | 2057-09-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6408 FN 01/46 FIXED 3.5                        | CUSIP: 3138WGDN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8969 | PA      | $8417.23        | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR27                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR27 2A2          | CUSIP: 45661LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1703762 | PA      | $1563491.00     | 0.00%             | 2036-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                     | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1169600000 | PA      | $68378529.48    | 0.03%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-4306101.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5539 FN 02/47 FIXED 4                          | CUSIP: 3140FREM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120018 | PA      | $115023.13      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC7 A2           | CUSIP: 07384YPJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2627689 | PA      | $2154677.65     | 0.00%             | 2034-01-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A A3 144A            | CUSIP: 36270YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11582185 | PA      | $11595363.18    | 0.01%             | 2028-07-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A3 144A         | CUSIP: 39571XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6624000 | PA      | $6702098.28     | 0.00%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2007 AR1 4A1                   | CUSIP: 362290AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        63836 | PA      | $60930.93       | 0.00%             | 2037-03-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ0203 FR 11/53 FIXED 6.5                | CUSIP: 3142GQGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29690 | PA      | $30867.93       | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9152 FN 09/45 FIXED 3.5                        | CUSIP: 3140E2E23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26220 | PA      | $24634.91       | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3933 FN 02/40 FIXED 2.5                        | CUSIP: 31418DLP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29527 | PA      | $26927.84       | 0.00%             | 2040-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2B           | CUSIP: 00075WAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8715589 | PA      | $4876886.99     | 0.00%             | 2037-01-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 3A1B                 | CUSIP: 1266944F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9227992 | PA      | $8710235.88     | 0.00%             | 2036-05-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK8736 FN 01/49 FIXED 4.5                        | CUSIP: 3140HNV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15864 | PA      | $15566.54       | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $582133.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-9                                                         | FANNIE MAE FNR 2008 9 SA                                   | CUSIP: 31396YGT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2925234 | PA      | $342986.57      | 0.00%             | 2038-02-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-7260201.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUIFIRST LOAN SECURITIZATION TRUST 2007-1                                       | EQUIFIRST LOAN SECURITIZATION EQLS 2007 1 A1 144A          | CUSIP: 29445UAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21809725 | PA      | $20540940.32    | 0.01%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL4                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL4 SA 144A        | CUSIP: 12653MAL0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        10382 | PA      | $9973.65        | 0.00%             | 2058-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80000 08/22/23-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $335008.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TAUPE FUNDING TRUST I 2024-1A                                                    | TAUPE FUNDING TRUST TAUPE 2024 1A A4 144A                  | CUSIP: 876692AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69065000 | PA      | $69605658.09    | 0.03%             | 2031-01-21      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7642 FN 06/46 FIXED 4                          | CUSIP: 3140F3P44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20776 | PA      | $19897.13       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 5 22A1                 | CUSIP: 07386HUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14825483 | PA      | $8537010.03     | 0.00%             | 2035-07-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2002 FN 10/47 FIXED VAR                        | CUSIP: 3140J6GL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    228450365 | PA      | $219106886.40   | 0.10%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.08244 06/30/26-27Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $439745.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KENTMERE PLC 3A                                                                  | KENTMERE KMR 3A A 144A                                     | CUSIP: ACI2RTSC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    152626755 | PA      | $202177627.59   | 0.09%             | 2051-01-28      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.55000 08/03/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $2244046.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM4 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM4 A1 144A      | CUSIP: 69381UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12486988 | PA      | $12540354.08    | 0.01%             | 2069-12-26      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-6                                                    | GSAA HOME EQUITY TRUST GSAA 2007 6 1A2                     | CUSIP: 36245RAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4861123 | PA      | $2853396.29     | 0.00%             | 2047-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A14         | CUSIP: 02147QAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1081327 | PA      | $590140.08      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A1            | CUSIP: 75115AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2727652 | PA      | $2299497.21     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $5423466.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2026-1                                             | CMLTI 2026 1 PT 144A                                       | CUSIP: 958QMZII6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    300774168 | PA      | $277551782.49   | 0.12%             | 2075-10-01      | Fixed         | 3.40%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4690 FN 03/30 FIXED 2.5                        | CUSIP: 3138WEF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15326 | PA      | $14903.48       | 0.00%             | 2030-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.41000 08/04/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $2383141.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENE KING FINANCE PLC                                                          | GREENE KING FINANCE PLC SR SECURED 03/34 5.106             | CUSIP: B142WRII6<br>LEI: 213800QIJMYMW6TSBG41 | Long             | DBT              | CORP              | GB        |       986631 | PA      | $1272952.24     | 0.00%             | 2034-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-3032480.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7348 FN 06/46 FIXED 3.5                        | CUSIP: 3138WHEW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11293 | PA      | $10588.02       | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A      | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92048605 | PA      | $92798395.80    | 0.04%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5223 FR 01/43 FIXED 7                  | CUSIP: 3133KYYU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       100634 | PA      | $105741.51      | 0.00%             | 2043-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W10                                                   | ARGENT SECURITIES INC. ARSI 2004 W10 M1                    | CUSIP: 040104LN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       408921 | PA      | $398935.41      | 0.00%             | 2034-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2145 FN 10/55 FIXED 5                          | CUSIP: 3140BSL39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14317089 | PA      | $14133774.19    | 0.01%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP4 SA 144A       | CUSIP: 17330WAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       312424 | PA      | $294957.39      | 0.00%             | 2061-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC9775 FN 01/55 FIXED 5                          | CUSIP: 3140AX2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32591 | PA      | $32191.31       | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 11A1          | CUSIP: 466278AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28521181 | PA      | $14480620.04    | 0.01%             | 2037-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 1 A13                     | CUSIP: 170255AX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10717 | PA      | $4389.51        | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE THREE LLC                                                     | GOODMAN US FIN THREE COMPANY GUAR 144A 03/28 3.7           | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     26267000 | PA      | $25857526.63    | 0.01%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH2 AF4          | CUSIP: 46630MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       494570 | PA      | $241556.47      | 0.00%             | 2037-01-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 07/30 1.75                          | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     55700000 | PA      | $56729836.19    | 0.03%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-1A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A A1 144A       | CUSIP: 16678RCT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1257562 | PA      | $1222942.19     | 0.00%             | 2036-01-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S3 1A13          | CUSIP: 16163HAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8978888 | PA      | $3602142.34     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-11                                             | RBSSP RESECURITIZATION TRUST RBSSP 2009 11 4A3 144A        | CUSIP: 74928TAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17254993 | PA      | $14965784.79    | 0.01%             | 2037-12-26      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4654 G2 08/47 FIXED 4.5                     | CUSIP: 36179TE35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32026 | PA      | $31613.91       | 0.00%             | 2047-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA B 144A                       | CUSIP: ACI2N0NK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     51843000 | PA      | $68596609.45    | 0.03%             | 2054-05-28      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A2                 | CUSIP: 46628KAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1103718 | PA      | $902820.77      | 0.00%             | 2036-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS10                                             | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS10 M4           | CUSIP: 76110WG67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1947987 | PA      | $1960942.31     | 0.00%             | 2034-11-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A E 144A                                | CUSIP: ACI2J97X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11976000 | PA      | $15877533.72    | 0.01%             | 2050-11-28      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 2A4            | CUSIP: 126670KN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4205325 | PA      | $3850350.57     | 0.00%             | 2036-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-4                                              | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 4 M4               | CUSIP: 29256PAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5473973 | PA      | $5372402.17     | 0.00%             | 2036-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A E 144A              | CUSIP: ACI2PHLV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11272462 | PA      | $14985437.89    | 0.01%             | 2048-06-20      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A1 144A      | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3921072 | PA      | $2624077.05     | 0.00%             | 2037-07-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS1017 FR 01/36 FIXED 6.5                | CUSIP: 3132A1DW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1962 | PA      | $2061.55        | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3620 FN 01/48 FIXED 4                          | CUSIP: 3140H5AW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2660336 | PA      | $2555124.10     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08846 FG 11/48 FIXED 3.5                | CUSIP: 3128MJ5G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70486 | PA      | $65556.34       | 0.00%             | 2048-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A A 144A                       | CUSIP: ACI2V53L6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    599734875 | PA      | $793571371.28   | 0.35%             | 2056-08-28      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT4                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT4 M1           | CUSIP: 83611MJL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6827030 | PA      | $6415506.01     | 0.00%             | 2035-12-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW8962 FN 09/52 FIXED 5.5                        | CUSIP: 3140N15Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2723895 | PA      | $2747918.48     | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -210150000 | PA      | $-176632718.37  | -0.08%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4                             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 4 A3             | CUSIP: 10806EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17746062 | PA      | $17770381.04    | 0.01%             | 2028-09-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-5                                                 | AEGIS ASSET BACKED SECURITIES AABST 2004 5 M3              | CUSIP: 00764MDJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       107808 | PA      | $13568.50       | 0.00%             | 2034-12-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0352 FR 09/53 FIXED 5.5                | CUSIP: 3133CCL95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       760663 | PA      | $767540.55      | 0.00%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-NC1                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 NC1 M1           | CUSIP: 46626LJR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12701374 | PA      | $13325363.75    | 0.01%             | 2036-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1             | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5097522 | PA      | $5073775.45     | 0.00%             | 2036-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A B3 144A         | CUSIP: 64830KBK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13858106 | PA      | $13538100.57    | 0.01%             | 2058-05-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260401                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $12937.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3931 FN 02/35 FIXED 3                          | CUSIP: 31418DLM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24444 | PA      | $23533.17       | 0.00%             | 2035-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $51960.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/17/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2228775.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $179584741.25   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-210444.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC5                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC5 M5               | CUSIP: 61744CRV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       284457 | PA      | $284228.53      | 0.00%             | 2035-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2013-8                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2013 8 2A2 144A        | CUSIP: 17321PAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       721398 | PA      | $472720.59      | 0.00%             | 2036-11-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A D 144A                         | CUSIP: ACI2SNZ51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     15924000 | PA      | $21034809.08    | 0.01%             | 2066-05-16      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0336 FN 01/59 FIXED 4                          | CUSIP: 3140FXLS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       352082 | PA      | $334652.45      | 0.00%             | 2059-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                                     | ALAMO RE LTD UNSECURED 144A 06/27 VAR                      | CUSIP: 011395AP5<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |     33700000 | PA      | $34930050.00    | 0.02%             | 2027-06-07      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-3                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2025 3 A2             | CUSIP: 80288JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86824708 | PA      | $86979108.80    | 0.04%             | 2028-10-16      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9008 FN 04/28 FIXED 3                          | CUSIP: 31417GAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93202 | PA      | $92072.24       | 0.00%             | 2028-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7683 FN 01/47 FIXED 4                          | CUSIP: 3140FFRD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14042 | PA      | $13450.18       | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                           | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M5           | CUSIP: 04541GUS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16330000 | PA      | $14580118.03    | 0.01%             | 2035-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8482 FR 03/28 FIXED 2                  | CUSIP: 3132A9M79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18641 | PA      | $18292.35       | 0.00%             | 2028-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-2055464.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-2A                                                          | REACH FINANCIAL LLC REACH 2024 2A A 144A                   | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1387562 | PA      | $1390456.10     | 0.00%             | 2031-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 22A1             | CUSIP: 026935AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8083453 | PA      | $7229257.94     | 0.00%             | 2037-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $836494.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOGIX CANADIAN ISSUER LP 2022-1CAN                                             | COLOGIX DATA CENTERS ISSUER LL CLGIX 2022 1CAN A2 144A     | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     20400000 | PA      | $14583265.04    | 0.01%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| JUBILEE PLACE 6 BV 6                                                             | JUBILEE PLACE JPMF 6 A REGS                                | CUSIP: ACI2NPQC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      5846216 | PA      | $6771438.72     | 0.00%             | 2060-09-17      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7707 G2 11/51 FIXED 3.5                     | CUSIP: 36179WR42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       221140 | PA      | $205007.11      | 0.00%             | 2051-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4439 FN 04/46 FIXED 4                          | CUSIP: 3140EY4Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12156 | PA      | $11706.54       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS F 144A                   | CUSIP: 90137LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17113000 | PA      | $15324691.50    | 0.01%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-NP14                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 NP14 M1 144A      | CUSIP: 22541NDH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       172508 | PA      | $88986.20       | 0.00%             | 2031-11-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                         | LEHMAN XS TRUST LXS 2007 15N 1CA1                          | CUSIP: 52524VAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19851802 | PA      | $16661601.86    | 0.01%             | 2037-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0862 FN 09/47 FIXED 3.5                        | CUSIP: 3140Q75Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2236842 | PA      | $2073135.05     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-749455.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1866 FR 04/49 FIXED 5                  | CUSIP: 3132AECB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1281423 | PA      | $1285513.46     | 0.00%             | 2049-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA 12.750 401128                         | CUSIP: 968DPRII8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 500000000000 | PA      | $132524873.08   | 0.06%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2004-OPT5                                             | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A1           | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1428381 | PA      | $1436002.18     | 0.00%             | 2034-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA2030 FR 01/56 FIXED 5                  | CUSIP: 3142JQHG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6910035 | PA      | $6820213.53     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA0608 FN 02/55 FIXED VAR                        | CUSIP: 3140W0VA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150965762 | PA      | $151825246.69   | 0.07%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION 2007-EQ1                                 | STRUCTURED ASSET SECURITIES CO SASC 2007 EQ1 A3            | CUSIP: 86363HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3398261 | PA      | $1247434.90     | 0.00%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                                   | FREMONT HOME LOAN TRUST FHLT 2006 3 2A3                    | CUSIP: 35729MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17041248 | PA      | $5059822.66     | 0.00%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING A 2004-CB7                                          | CREDIT BASED ASSET SERVICING A CBASS 2004 CB7 M1           | CUSIP: 17307GLP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1387930 | PA      | $1317336.99     | 0.00%             | 2034-10-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 B6 144A      | CUSIP: 36263MCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3749290 | PA      | $1760528.01     | 0.00%             | 2052-03-25      | Variable      | 2.55%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-1                                                   | CARMAX AUTO OWNER TRUST CARMX 2024 1 A3                    | CUSIP: 14318WAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4650882 | PA      | $4677632.48     | 0.00%             | 2028-10-16      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-6HE                                                   | TERWIN MORTGAGE TRUST TMTS 2005 6HE M6                     | CUSIP: 881561RE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1857315 | PA      | $1853826.31     | 0.00%             | 2036-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2004-3                                                    | GSAA HOME EQUITY TRUST GSAA 2004 3 AF4                     | CUSIP: 36228F3P9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1392900 | PA      | $1381435.94     | 0.00%             | 2034-04-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 928413 FN 06/37 FIXED 6.5                        | CUSIP: 31412LN63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1585 | PA      | $1658.76        | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A CR 144A                          | CUSIP: ACI1745T9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     38495000 | PA      | $43035036.13    | 0.02%             | 2054-10-29      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A2           | CUSIP: 45661VAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4208171 | PA      | $4361126.68     | 0.00%             | 2046-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $66155.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER SELECT AUTOMOBILE RECEIVABLES TRUST 2025-2                                | EXETER SELECT AUTOMOBILE RECEI ESART 2025 2 A2             | CUSIP: 30185EAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10011911 | PA      | $10023166.16    | 0.00%             | 2029-06-15      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A1         | CUSIP: 92922F7P7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1314025 | PA      | $1223220.29     | 0.00%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD1284 FN 07/46 FIXED 3.5                        | CUSIP: 3140F8NA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173832 | PA      | $167081.66      | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-L                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 L 2A1            | CUSIP: 05949AZE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3459919 | PA      | $3349411.94     | 0.00%             | 2035-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8365 FN 06/48 FIXED 4.5                        | CUSIP: 3140FUJK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58052 | PA      | $57016.65       | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3 TRUST                                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL3 A1 144A      | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33217306 | PA      | $32357462.34    | 0.01%             | 2065-04-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM10                        | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM10 A1FC 144A   | CUSIP: 617955AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49635727 | PA      | $49543329.98    | 0.02%             | 2070-11-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 1A3          | CUSIP: 74924VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6055103 | PA      | $5709952.13     | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-74561.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3380 FR 02/55 FIXED 5.5                | CUSIP: 31427QXJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14768492 | PA      | $15035202.04    | 0.01%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-5648661.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A4          | CUSIP: 12668RAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4186856 | PA      | $3448180.44     | 0.00%             | 2047-02-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST 2005-2                                                           | IMPAC CMB TRUST IMM 2005 2 1A1                             | CUSIP: 45254NMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       748205 | PA      | $747134.22      | 0.00%             | 2035-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA9                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB41          | CUSIP: 761118FM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1547576 | PA      | $1304983.16     | 0.00%             | 2035-08-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0201 FN 05/53 FIXED 5.5                        | CUSIP: 3140NGGK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1421869 | PA      | $1433147.68     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1            | CUSIP: 576433SV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       116560 | PA      | $107626.69      | 0.00%             | 2034-10-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 RPL1 A1 144A      | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27974145 | PA      | $27236046.81    | 0.01%             | 2064-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745933 FN 09/36 FIXED VAR                        | CUSIP: 31403DV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4956 | PA      | $5200.63        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV7157 FN 04/44 FIXED 4                          | CUSIP: 3138XJ5T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       167902 | PA      | $161911.47      | 0.00%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HERITAGE AUTO RECEIVABLES TRUST 2025-1A                                 | AMERICAN HERITAGE AUTO RECEIVA AHART 2025 1A A2 144A       | CUSIP: 02650VAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17082749 | PA      | $17100743.84    | 0.01%             | 2028-08-15      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES TRUST2006-EFC1                                                       | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 EFC1 M3           | CUSIP: 76112BV98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1832599 | PA      | $1807159.79     | 0.00%             | 2036-02-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-294465.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2902 FR 05/53 FIXED 5.5                | CUSIP: 3132DQGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1395129 | PA      | $1407760.04     | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J1 1A3           | CUSIP: 12668BJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       927105 | PA      | $611849.66      | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-SB1                                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 SB1 A1A          | CUSIP: 41162BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4564673 | PA      | $4277203.67     | 0.00%             | 2036-12-19      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2005-1                                           | MASTR SEASONED SECURITIZATION MSSTR 2005 1 4A1             | CUSIP: 55265WCK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29317 | PA      | $28597.64       | 0.00%             | 2032-10-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| TAUPE FUNDING TRUST I 2024-1A                                                    | TAUPE FUNDING TRUST TAUPE 2024 1A A3 144A                  | CUSIP: 876692AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26556345 | PA      | $26605750.76    | 0.01%             | 2031-01-21      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4                                      | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A4 1A11           | CUSIP: 12566VAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2626130 | PA      | $2328826.39     | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3441 FN 07/55 FIXED 5                          | CUSIP: 3140BFZF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2410651 | PA      | $2395197.38     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 064731 FN 12/27 FLOATING VAR                     | CUSIP: 31362L4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          133 | PA      | $131.98         | 0.00%             | 2027-12-01      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-108508.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/31 4               | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5300000 | PA      | $5027952.59     | 0.00%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC1                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC1 M2             | CUSIP: 126670XS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2159167 | PA      | $2154434.74     | 0.00%             | 2036-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 B2 144A       | CUSIP: 17329HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30313550 | PA      | $25244115.00    | 0.01%             | 2060-10-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1128621.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1072 FN 10/46 FIXED 3.5                        | CUSIP: 3140FLFN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       245116 | PA      | $228624.62      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO5071 FN 06/27 FIXED 3                          | CUSIP: 3138LVT52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1228 | PA      | $1214.73        | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-9                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 9 MF2              | CUSIP: 126673GC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1888142 | PA      | $1850590.92     | 0.00%             | 2034-11-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-1                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 1 1A1             | CUSIP: 007036AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        96303 | PA      | $92826.38       | 0.00%             | 2035-01-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2177 FN 02/35 FIXED 4                          | CUSIP: 31418BM37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2741 | PA      | $2707.64        | 0.00%             | 2035-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A3                | CUSIP: 61755CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20320057 | PA      | $18646952.14    | 0.01%             | 2037-05-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ1157 FN 06/45 FIXED 4                          | CUSIP: 3138YSJB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39061 | PA      | $37625.04       | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A3            | CUSIP: 68401TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4423462 | PA      | $2158311.00     | 0.00%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-135833.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-2                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 2 A1             | CUSIP: 05950GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1471265 | PA      | $1291802.16     | 0.00%             | 2046-07-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                                   | ADLER GROUP SA   VTG SHS COMMON STOCK                      | CUSIP: ACI2RMKR2<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | EP               | CORP              | LU        |       520871 | NS      | $0.60           | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5965 FN 06/28 FIXED VAR                        | CUSIP: 3138ENTX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25243 | PA      | $25004.38       | 0.00%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-SP3                                                             | RAAC SERIES RAAC 2007 SP3 A2                               | CUSIP: 74978FAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5638212 | PA      | $5713354.34     | 0.00%             | 2047-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA0234 FR 12/55 FIXED 5                  | CUSIP: 3142JNHL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       554952 | PA      | $548720.85      | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF5             | CUSIP: 75970QAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38172072 | PA      | $9917257.03     | 0.00%             | 2037-06-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-1107457.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 2A1            | CUSIP: 65535VRZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       242470 | PA      | $177944.57      | 0.00%             | 2036-02-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XII LTD / PREFERRED TERM SECURITIES XII INC            | PREFERRED TERM SECS XII SECURED 144A 12/33 VAR             | CUSIP: 74041NAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      2289230 | PA      | $2283506.99     | 0.00%             | 2033-12-24      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8963 FN 07/44 FIXED 4                          | CUSIP: 3138XY5Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65788 | PA      | $63431.05       | 0.00%             | 2044-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRAINER WORTHAM FIRST REPUBLIC CBO V LTD                                         | TRAINER WORTHAM FIRST REPUBLIC TRAIN 2004 5A A2 144A       | CUSIP: 89288FAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4689651 | PA      | $1674270.89     | 0.00%             | 2040-01-04      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| WATR 2026-1                                                                      | WATR 2026 1 C 144A                                         | CUSIP: 990ADAAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15638000 | PA      | $15658317.83    | 0.01%             | 2051-04-19      | Fixed         | 5.81%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX2530 FR 01/55 FIXED 7                  | CUSIP: 31425WY47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1552683 | PA      | $1638366.37     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIII LTD / PREFERRED TERM SECURITIES XXIII INC        | PREFERRED TERM XXIII SR SECURED 144A 12/36 VAR             | CUSIP: 74043AAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     42058855 | PA      | $41007383.45    | 0.02%             | 2036-12-22      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260422                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-156892.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5332 FN 07/45 FIXED 4                          | CUSIP: 3138WE4S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8533 | PA      | $8220.69        | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIII LTD / PREFERRED TERM SECURITIES XXIII INC        | PREFERRED TERM XXIII SECURED 144A 12/36 VAR                | CUSIP: 74043AAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      6537062 | PA      | $6144838.48     | 0.00%             | 2036-12-22      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-4 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 4 A1 144A         | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26851890 | PA      | $26823998.68    | 0.01%             | 2030-06-25      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| GOODLEAP SUSTAINABLE HOME IMPROVEMENT LOAN TRUST 2023-3C                         | GOODLEAP SUSTAINABLE HOME IMPR GOOD 2023 3C A 144A         | CUSIP: 38237CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7461555 | PA      | $7320095.49     | 0.00%             | 2055-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-149                                                       | FANNIE MAE FNR 2012 149 NI                                 | CUSIP: 3136AA4K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1111077 | PA      | $76885.54       | 0.00%             | 2042-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-7                                                         | FANNIE MAE FNR 2013 7 IO                                   | CUSIP: 3136ABUE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       853028 | PA      | $15177.58       | 0.00%             | 2028-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6560 FR 07/53 FIXED 5.5                | CUSIP: 3133C7JD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35820826 | PA      | $36122772.98    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-742691.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A1             | CUSIP: 61752UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5560863 | PA      | $2844837.01     | 0.00%             | 2037-04-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                      | ILLINOIS ST ILS 04/35 FIXED 6.725                          | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |        53846 | PA      | $56397.69       | 0.00%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-I                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 IM1 A1           | CUSIP: 07387UFD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3898009 | PA      | $4268517.80     | 0.00%             | 2036-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| RASC TRUST 2005-AHL1                                                             | RESIDENTIAL ASSET SECURITIES C RASC 2005 AHL1 M2           | CUSIP: 76110W4G8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5609010 | PA      | $5407178.52     | 0.00%             | 2035-09-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 5A1             | CUSIP: 05954DAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       859896 | PA      | $759302.79      | 0.00%             | 2047-06-20      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL2 SA 144A         | CUSIP: 52474EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       417394 | PA      | $406461.35      | 0.00%             | 2057-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GMAC COMMERCIAL MORTGAGE ASSET CORPORATION 2003 BRAG                             | GMAC COMMERCIAL MORTGAGE ASSET GMACN 2003 BRAG CERT 144A   | CUSIP: 36185PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4269010 | PA      | $4176428.18     | 0.00%             | 2038-08-10      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-R5                                                                | CIM TRUST CIM 2019 R5 B1 144A                              | CUSIP: 12558RAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7242000 | PA      | $7134672.11     | 0.00%             | 2059-09-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA3684 FN 06/49 FIXED 4.5                        | CUSIP: 3140QBCW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9129439 | PA      | $8930928.24     | 0.00%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE4                                                             | GSAMP TRUST GSAMP 2006 HE4 A1                              | CUSIP: 362439AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2138133 | PA      | $2118821.92     | 0.00%             | 2036-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX S A COMMON STOCK                          | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       207100 | NS      | $4763300.00     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO3552 FN 06/42 FIXED 4                          | CUSIP: 3138LT5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       248871 | PA      | $239498.71      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA B 144A         | CUSIP: 21050UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13683356 | PA      | $13820786.00    | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CANADA SQUARE FUNDING 2021-1 PLC 21-1                                            | CANADA SQUARE FUNDING CSF 2021 1 A REGS                    | CUSIP: ACI1W5667<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       287418 | PA      | $383510.14      | 0.00%             | 2058-06-17      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2006-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 2 AF3             | CUSIP: 759676AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       662311 | PA      | $221287.78      | 0.00%             | 2036-08-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL XX LTD 2023-3A                                               | FORTRESS CREDIT BSL LIMITED FCBSL 2023 3A AR 144A          | CUSIP: 349936AL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     60100000 | PA      | $60126542.56    | 0.03%             | 2037-01-23      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2024-NQM2                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2024 NQM2 PT1 144A       | CUSIP: 06745JAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128016889 | PA      | $130263624.15   | 0.06%             | 2064-03-25      | Variable      | 8.68%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 1A4           | CUSIP: 16163EAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       682935 | PA      | $346757.60      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-28CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 28CB 1A6         | CUSIP: 12667GWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2440807 | PA      | $2071170.40     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ4365 FR 09/55 FIXED 5                  | CUSIP: 31427BZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2454383 | PA      | $2422737.44     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8052 FR 02/53 FIXED 5.5                | CUSIP: 3133BV5M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       129499 | PA      | $131132.35      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847555 FH 04/36 FLOATING VAR             | CUSIP: 3128JRMC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1611 | PA      | $1646.56        | 0.00%             | 2036-04-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/26 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $70053.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-18CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 18CB A7          | CUSIP: 02147FAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13211209 | PA      | $4723918.84     | 0.00%             | 2036-07-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-1233.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55625 FG 04/48 FIXED 4                  | CUSIP: 3132XYHB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15937 | PA      | $15291.51       | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 C A               | CUSIP: 83407XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110856619 | PA      | $110669825.82   | 0.05%             | 2034-10-25      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| MANSARD MORTGAGES PLC 2007-2X                                                    | MANSARD MORTGAGES PLC MANSD 2007 2X A1 REGS                | CUSIP: B29VVWII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2324347 | PA      | $3078193.34     | 0.00%             | 2049-12-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-1                                                   | HOME EQUITY ASSET TRUST HEAT 2004 1 B1                     | CUSIP: 437084AY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1609797 | PA      | $1626758.64     | 0.00%             | 2034-06-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-11 2004-11                           | STRUCTURED ASSET INVESTMENT LO SAIL 2004 11 M2             | CUSIP: 86358EPR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5003843 | PA      | $4844615.14     | 0.00%             | 2035-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA2                                                          | BCAP LLC TRUST BCAP 2007 AA2 2A11                          | CUSIP: 05530NAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4827757 | PA      | $1967988.89     | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA3798 FR 01/56 FIXED 5                  | CUSIP: 3142JSGG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10783289 | PA      | $10644667.54    | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90000 04/10/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $683401.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-3077105.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD1817 FN 02/55 FIXED 5                          | CUSIP: 3140B2AT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1064852 | PA      | $1051883.32     | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-6                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 6 A4             | CUSIP: 02150AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       336641 | PA      | $168174.33      | 0.00%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F022444<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2950000 | PA      | $2787613.71     | 0.00%             | 2041-04-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | FORD MOTOR COMPANY SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $878627.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A1A                 | CUSIP: 126670JX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7927 | PA      | $7049.70        | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                             | DISH DBS CORP SR SECURED 144A 12/26 5.25                   | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    284326000 | PA      | $282050925.71   | 0.13%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.97000 01/15/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $748488.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A1                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A1 A2B            | CUSIP: 59023MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6217909 | PA      | $1857585.52     | 0.00%             | 2037-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-3                                           | JP MORGAN MORTGAGE TRUST JPMMT 2025 3 A1D 144A             | CUSIP: 46593RAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29605940 | PA      | $29590056.79    | 0.01%             | 2055-09-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 784345 G2 07/47 FIXED 3.5                     | CUSIP: 3622A2ZJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     81598290 | PA      | $77751216.75    | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                                 | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29537000 | PA      | $27672881.53    | 0.01%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2006-HE6                                           | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE6 A1           | CUSIP: 04544NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4394861 | PA      | $4335078.17     | 0.00%             | 2036-11-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $45709.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3801 FN 12/55 FIXED 5                          | CUSIP: 3140BUGK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14272513 | PA      | $14088010.82    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2025 2 A2             | CUSIP: 80287NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35938422 | PA      | $35962881.60    | 0.02%             | 2028-06-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV INC 2004-WMC5                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 WMC5 M1           | CUSIP: 59020UMF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5096971 | PA      | $5145000.30     | 0.00%             | 2035-07-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE T BILL BILLS 06/26 0.00000                         | CUSIP: ACI3884N9<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   3100000000 | PA      | $64806291.55    | 0.03%             | 2026-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $484419.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR5                                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR5 1A1            | CUSIP: 07401NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2448873 | PA      | $2201157.61     | 0.00%             | 2046-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                          | GSG BIDCO LTD SR SECURED 144A 06/51 6.375                  | CUSIP: ACI38RD49<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |    170400000 | PA      | $195608707.71   | 0.09%             | 2051-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M2             | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6957640 | PA      | $6780361.72     | 0.00%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080283 G2 05/29 FLOATING VAR                  | CUSIP: 36225CJ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1014 | PA      | $1012.45        | 0.00%             | 2029-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRUST 2006-OW1                    | STRUCTURED ASSET SECURITIES CO SASC 2006 OW1 A5 144A       | CUSIP: 863576ER1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10267490 | PA      | $9511053.24     | 0.00%             | 2035-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2024-1                                               | CAPITAL STREET MASTER TRUST CAPST 2024 1 B 144A            | CUSIP: 14051LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10100000 | PA      | $10107352.80    | 0.00%             | 2028-10-16      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2025-1                                  | AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2025 1 A2A 144A       | CUSIP: 03067FAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49600000 | PA      | $49639104.64    | 0.02%             | 2029-03-19      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD9763 FN 08/55 FIXED 5                          | CUSIP: 3140BAZ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1607772 | PA      | $1589768.38     | 0.00%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2003-S9                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1             | CUSIP: 76111JZ72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14627 | PA      | $14780.01       | 0.00%             | 2032-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-1                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 1 1A                 | CUSIP: 59020UNM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        44578 | PA      | $44051.44       | 0.00%             | 2034-12-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2026-A                                                 | NELNET STUDENT LOAN TRUST NSLT 2026 A A1B 144A             | CUSIP: 64032UAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    161602520 | PA      | $162457364.58   | 0.07%             | 2061-02-21      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 1A3           | CUSIP: 86363NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8328526 | PA      | $7726179.00     | 0.00%             | 2047-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A B 144A                 | CUSIP: ACI34GB80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     25898000 | PA      | $30005964.30    | 0.01%             | 2059-08-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK5260 FN 05/48 FIXED 4.5                        | CUSIP: 3140HJZ20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       175357 | PA      | $172554.29      | 0.00%             | 2048-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1786825.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6585 FN 05/55 FIXED 5                          | CUSIP: 3140B7J79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       297567 | PA      | $293758.25      | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                           | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A            | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    120200000 | PA      | $120121788.26   | 0.05%             | 2034-10-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-3                                              | UPSTART SECURITIZATION TRUST UPST 2025 3 B 144A            | CUSIP: 91684FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5700000 | PA      | $5706996.18     | 0.00%             | 2035-09-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-4240.91       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES9                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES9 A1A 144A        | CUSIP: 74942JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72834750 | PA      | $72275670.04    | 0.03%             | 2055-09-25      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260727                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-110269.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ8901 FR 11/54 FIXED 5                  | CUSIP: 3133D03J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       169741 | PA      | $167564.52      | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-2XS                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 2XS M2            | CUSIP: 86359B2L4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       234050 | PA      | $216877.38      | 0.00%             | 2035-02-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q47180 FG 04/47 FIXED 3.5                | CUSIP: 3132WL6S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       161288 | PA      | $150224.72      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB8466 FN 05/54 FIXED 5                          | CUSIP: 3140QUMQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2095147 | PA      | $2069461.12     | 0.00%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV3                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV3 A1 144A         | CUSIP: 92540CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11326284 | PA      | $11422787.31    | 0.01%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3766 FN 11/55 FIXED 5                          | CUSIP: 3140BUFG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10467665 | PA      | $10332874.18    | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9485 G2 02/54 FIXED 4                       | CUSIP: 36179YRE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       331563 | PA      | $313087.75      | 0.00%             | 2054-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3148 FN 10/47 FIXED 3.5                        | CUSIP: 31418CQA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       779596 | PA      | $725766.10      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                                | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 05/35 9.75      | CUSIP: P7807HAQ8<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     52840000 | PA      | $22076552.00    | 0.01%             | 2035-05-17      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB4484 FN 09/54 FIXED 5.5                        | CUSIP: 3140AD6W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1252879 | PA      | $1259878.13     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO4                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO4 2A1           | CUSIP: 761118NN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       283247 | PA      | $155451.01      | 0.00%             | 2045-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-252239.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 704756 FN 03/33 FIXED 6.5                        | CUSIP: 31401C5R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1709 | PA      | $1767.20        | 0.00%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA E 144A                       | CUSIP: ACI2N0NH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     25027000 | PA      | $32973148.28    | 0.01%             | 2054-05-28      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3893 FN 11/55 FIXED 5.5                        | CUSIP: 3140BUKF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2365751 | PA      | $2378510.40     | 0.00%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2006-A                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 A M2             | CUSIP: 73316PJX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1007240 | PA      | $972449.24      | 0.00%             | 2036-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5632 FN 02/48 FIXED 4                          | CUSIP: 3140H7HJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       581317 | PA      | $560928.36      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.6* 07/29/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $16224146.98    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08788 FG 11/47 FIXED 3.5                | CUSIP: 3128MJ2W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2602341 | PA      | $2423374.10     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $62067732.14    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.45000 10/11/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3115340.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G61254 FG 01/48 FIXED 4                  | CUSIP: 31335BMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2819190 | PA      | $2704951.33     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2005-CB7                     | CREDIT BASED ASSET SERVICING A CBASS 2005 CB7 M2           | CUSIP: 12489WPM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2616407 | PA      | $2529433.91     | 0.00%             | 2035-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-8890301.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB7                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB7 1A2                  | CUSIP: 12669GBZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       101316 | PA      | $97923.54       | 0.00%             | 2034-11-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA6 1A2          | CUSIP: 12668BE33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9842084 | PA      | $9134954.76     | 0.00%             | 2046-07-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| EMC MORTGAGE LOAN TRUST 2003-B                                                   | EMC MORTGAGE LOAN TRUST EMCM 2003 B A1 144A                | CUSIP: 268668CJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27937 | PA      | $28061.10       | 0.00%             | 2041-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 11/28 3.45                          | CUSIP: 097023CA1<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      4404000 | PA      | $4302861.96     | 0.00%             | 2028-11-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES3                                              | TOWD POINT MORTGAGE TRUST TPMT 2025 CES3 A1A 144A          | CUSIP: 891949BU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60443216 | PA      | $60419637.11    | 0.03%             | 2065-08-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SG74 PIMCO FXVAN CALL USD TRY 49.99000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -97300000 | NC      | $-768961.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.52500 09/04/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2398153.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-9                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 9 5A5            | CUSIP: 93934FFF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       288757 | PA      | $237694.18      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 1A             | CUSIP: 542514RH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5660201 | PA      | $5627294.24     | 0.00%             | 2036-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS7                                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS7 M7            | CUSIP: 76110W3D6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4551000 | PA      | $4452651.98     | 0.00%             | 2035-08-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                          | 83208D9Y5 SMB 2026 B C 144A                                | CUSIP: 990ACZVD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10175000 | PA      | $10084152.61    | 0.00%             | 2054-03-11      | Fixed         | 5.88%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0218 FN 08/40 FIXED VAR                        | CUSIP: 31419AG43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2296 | PA      | $2273.37        | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 A1 144A        | CUSIP: 12660QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96800981 | PA      | $92092116.98    | 0.04%             | 2061-02-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875           | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     74886507 | PA      | $76187480.37    | 0.03%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-6AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 6AR 6A             | CUSIP: 61748HBT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       279744 | PA      | $256070.22      | 0.00%             | 2034-08-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 B1 144A       | CUSIP: 17329HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36119000 | PA      | $30932466.91    | 0.01%             | 2060-10-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R11                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R11 M3            | CUSIP: 03072SV36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3323156 | PA      | $3293836.51     | 0.00%             | 2036-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ2701 FR 08/54 FIXED 5.5                | CUSIP: 3142GTAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       174617 | PA      | $175592.56      | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8448 FR 07/54 FIXED 6.5                | CUSIP: 3132DWL50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    128751811 | PA      | $133272809.51   | 0.06%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A F 144A             | CUSIP: ACI2DJF09<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9237032 | PA      | $12228666.55    | 0.01%             | 2053-03-14      | Floating      | 11.73%                | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/54 4.25                                 | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    338200000 | PA      | $302979642.32   | 0.13%             | 2054-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-33078.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $160753.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2008-R3                                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R3 3A2 144A      | CUSIP: 466308AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15670000 | PA      | $1170120.43     | 0.00%             | 2037-05-26      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD2215 FN 02/55 FIXED 5                          | CUSIP: 3140B2N91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1580275 | PA      | $1562975.09     | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6783 FN 05/46 FIXED 3.5                        | CUSIP: 3140F2RD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       151835 | PA      | $142381.82      | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-SA3                                           | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA3 3A1           | CUSIP: 749575AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4679 | PA      | $4141.30        | 0.00%             | 2036-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 B2 144A       | CUSIP: 17330EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28296700 | PA      | $24796650.05    | 0.01%             | 2061-08-01      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 1 1A1             | CUSIP: 83612PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6914326 | PA      | $6601375.04     | 0.00%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 1A1B          | CUSIP: 25151XAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24558703 | PA      | $23322069.03    | 0.01%             | 2047-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2003-3                                          | AEGIS ASSET BACKED SECURITIES AABST 2003 3 M1              | CUSIP: 00764MAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       302448 | PA      | $305334.89      | 0.00%             | 2034-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-8                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 8 2A3            | CUSIP: 54251UAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2849950 | PA      | $709035.74      | 0.00%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3467 FN 10/44 FIXED 4                          | CUSIP: 3138WCZ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2973 | PA      | $2866.02        | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1218 FN 02/48 FIXED 3.5                        | CUSIP: 3140HEK84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3950 | PA      | $3778.72        | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DG0481 FN 01/56 FIXED 5                          | CUSIP: 3140U3RB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8376748 | PA      | $8268631.43     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH4474 G2 07/48 FIXED 4                       | CUSIP: 3617H16K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1280580 | PA      | $1209022.48     | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MORTGAGE SEC 2001-28                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 28 1A1            | CUSIP: 22540VKM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       371218 | PA      | $198677.08      | 0.00%             | 2031-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A A 144A                       | CUSIP: ACI2NG9C5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    347993403 | PA      | $402517211.90   | 0.18%             | 2058-06-28      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 9A             | CUSIP: 07384MYZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        69352 | PA      | $63649.35       | 0.00%             | 2033-10-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICA TREASURY BILL 7.99  06.05.2026                | CUSIP: ACI2WXR79<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     63560000 | PA      | $3737345.17     | 0.00%             | 2026-05-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-H                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 H 2A1            | CUSIP: 05949CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        57249 | PA      | $51569.82       | 0.00%             | 2035-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1855 FN 08/49 FIXED 3                          | CUSIP: 3140JWBZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71912536 | PA      | $64497462.81    | 0.03%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION 2007-EQ1                                 | STRUCTURED ASSET SECURITIES CO SASC 2007 EQ1 A4            | CUSIP: 86363HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14773463 | PA      | $5426756.91     | 0.00%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4851                                                          | FREDDIE MAC FHR 4851 MO                                    | CUSIP: 3137FKAT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10216087 | PA      | $6569277.85     | 0.00%             | 2057-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC2715 FN 12/54 FIXED 5.5                        | CUSIP: 3140AQAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       737661 | PA      | $741781.35      | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5297 FN 02/48 FIXED 4                          | CUSIP: 3140H63F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       762677 | PA      | $730612.44      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-145587.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3891 FN 11/55 FIXED 5                          | CUSIP: 3140BUKD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2230714 | PA      | $2201809.32     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP JPS                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $751.30         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 F 1A1            | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       147911 | PA      | $143247.05      | 0.00%             | 2034-07-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA6725 FN 12/53 FIXED 6.5                        | CUSIP: 3140A7PK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1051087 | PA      | $1098773.56     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMDOCS LIMITED                                                                   | AMDOCS LTD SR UNSECURED 06/30 2.538                        | CUSIP: 02342TAE9<br>LEI: 549300HQV672RJ7RQV66 | Long             | DBT              | CORP              | GG        |     23200000 | PA      | $21005800.38    | 0.01%             | 2030-06-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A3            | CUSIP: 54251TAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53765994 | PA      | $21239788.32    | 0.01%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 7 3A2                     | CUSIP: 12669GPL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       158860 | PA      | $126059.61      | 0.00%             | 2035-03-25      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP BRC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-788289.92     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| VOYA CLO 2017-3A                                                                 | VOYA CLO LTD VOYA 2017 3A A1RR 144A                        | CUSIP: 92915QBG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    137800000 | PA      | $137901571.00   | 0.06%             | 2034-04-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL1 M1           | CUSIP: 17311VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14644000 | PA      | $14040198.59    | 0.01%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX1596 FR 12/54 FIXED 5                  | CUSIP: 31425VX24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2306138 | PA      | $2281796.76     | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF5009 FN 12/55 FIXED 5                          | CUSIP: 3140BVR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     60283920 | PA      | $59510499.63    | 0.03%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.64750 01/08/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $802178.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 2 4A1            | CUSIP: 07388DAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1413037 | PA      | $1241623.74     | 0.00%             | 2036-07-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-NC1                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 NC1 A5            | CUSIP: 86360PAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16109931 | PA      | $15991608.69    | 0.01%             | 2036-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1501 FN 05/53 FIXED 5.5                        | CUSIP: 3140NHU30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       746729 | PA      | $751546.57      | 0.00%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LURA FUNDING DESIGNATED ACTIVITY COMPANY 2026-1A                                 | LURA FUNDING DAC LURA 2026 1A B 144A                       | CUSIP: ACI394TF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     12038000 | PA      | $13788897.83    | 0.01%             | 2079-08-27      | Floating      | 3.13%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $297190.99      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2C           | CUSIP: 81377JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28148549 | PA      | $5841412.20     | 0.00%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING LTD. 2020-11A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 11A A 144A        | CUSIP: 03330KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     93597759 | PA      | $91112594.63    | 0.04%             | 2038-04-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7576 FN 10/46 FIXED 3.5                        | CUSIP: 3140FFM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       334467 | PA      | $312216.76      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LANDMARK MORTGAGE SEC PLC 2                                                      | LANDMARK MORTGAGE SECURITIES P LMS 2 AA REGS               | CUSIP: 994ABCII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2490306 | PA      | $3260774.03     | 0.00%             | 2039-06-17      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.00000 06/15/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $32478606.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0868 FN 09/53 FIXED 6.5                        | CUSIP: 3140A06E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       877687 | PA      | $908492.34      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6435 FN 04/55 FIXED 7                          | CUSIP: 3140B7EH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       442758 | PA      | $468452.47      | 0.00%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0859 FN 12/47 FIXED 3.5                        | CUSIP: 3140Q75V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       123500 | PA      | $114884.14      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0094 FR 02/56 FIXED 5                  | CUSIP: 3142J6C84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1777580287 | PA      | $1754455531.87  | 0.78%             | 2056-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |            1 | NC      | $352438.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                                    | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A                  | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     49501673 | PA      | $49549721.16    | 0.02%             | 2033-04-22      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7682 FN 12/47 FIXED 3.5                        | CUSIP: 3140GWRC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33148 | PA      | $31246.67       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2005-6          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 6 2A1            | CUSIP: 92922FX94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       730673 | PA      | $654560.60      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                                | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA B 144A              | CUSIP: 647622AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14615243 | PA      | $14439376.32    | 0.01%             | 2032-04-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-4                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 4 3A1                     | CUSIP: 81744JAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2299955 | PA      | $1548500.39     | 0.00%             | 2047-08-20      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6041 FR 07/53 FIXED 6                  | CUSIP: 3133C6WA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       235437 | PA      | $243314.77      | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2023-NQM2                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2023 NQM2 SA 144A        | CUSIP: 06745DAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6502 | PA      | $6460.60        | 0.00%             | 2053-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 07/32 4                                    | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3746702900 | PA      | $3728335288.51  | 1.66%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-1                                          | THORNBURG MORTGAGE SECURITIES TMST 2004 1 II3A             | CUSIP: 885220EX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2014409 | PA      | $1975834.21     | 0.00%             | 2044-03-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD1600 FN 07/46 FIXED 4                          | CUSIP: 3140F8X69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94566 | PA      | $90659.90       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA7                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA7 2A1          | CUSIP: 32051GFB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       280081 | PA      | $270079.10      | 0.00%             | 2035-02-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5672 FN 04/55 FIXED 5                          | CUSIP: 31418FJS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4932168 | PA      | $4869418.46     | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM1                                                     | ACE SECURITIES CORP. ACE 2006 FM1 A2B                      | CUSIP: 00441VAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36762261 | PA      | $8952224.57     | 0.00%             | 2036-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q57474 FG 07/48 FIXED 3.5                | CUSIP: 3132Y1JU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       506603 | PA      | $470534.77      | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                                  | VERAISON RE LTD UNSECURED 144A 03/34 VAR                   | CUSIP: 92335TAF6<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |     11400000 | PA      | $11404560.00    | 0.01%             | 2034-03-08      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 04/26 VAR                    | CUSIP: ACI2XV6L4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  10940000000 | PA      | $246144768.84   | 0.11%             | 2026-04-08      | Floating      | 40.88%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 14 M1              | CUSIP: 23243LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15116882 | PA      | $16253602.10    | 0.01%             | 2037-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9847 G2 08/54 FIXED 3.5                     | CUSIP: 36179Y5G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1323827 | PA      | $1235855.96     | 0.00%             | 2054-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBK SEC INC 2005-H                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE1 M4           | CUSIP: 073879PU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3536522 | PA      | $3564453.76     | 0.00%             | 2035-01-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-RPL1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2025 RPL1 A1A 144A    | CUSIP: 16160VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31198072 | PA      | $28050754.65    | 0.01%             | 2065-04-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 2A4            | CUSIP: 54251MAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25074174 | PA      | $7284308.42     | 0.00%             | 2036-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ6229 FN 08/45 FIXED 4                          | CUSIP: 3138YX4P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       457301 | PA      | $438986.69      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2018-1R                                            | NOMURA RESECURITIZATION TRUST NMRR 2018 1R 1A1 144A        | CUSIP: 65541JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2207799 | PA      | $2149882.74     | 0.00%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-2                                                   | LUMINENT MORTGAGE TRUST LUM 2006 2 A1A                     | CUSIP: 550279BA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16656861 | PA      | $12141988.77    | 0.01%             | 2046-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO VI DAC 6A                                                     | HAYFIN EMERALD CLO HAYEM 6A AR 144A                        | CUSIP: ACI30X675<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     88600000 | PA      | $102350038.70   | 0.05%             | 2038-10-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 WF2 M2            | CUSIP: 86360LAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21660421 | PA      | $21444020.25    | 0.01%             | 2036-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                                      | WATR ISSUER TRUST WATR 2025 1 B 144A                       | CUSIP: 942611AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15970000 | PA      | $16024356.13    | 0.01%             | 2050-06-17      | Fixed         | 5.56%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-123262.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A3          | CUSIP: 92922F4C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       597284 | PA      | $567507.38      | 0.00%             | 2035-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S FINANCE REALTY MTGE SEC 2006-1                                          | PEOPLE S FINANCIAL REALTY MORT PFRMS 2006 1 2A2            | CUSIP: 71103XAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24314761 | PA      | $5686809.33     | 0.00%             | 2036-09-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 1T1 1A1          | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2323124 | PA      | $737102.11      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-5136.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ3975 FR 04/55 FIXED 6.5                | CUSIP: 3142GUMZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18625437 | PA      | $19598344.27    | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5125 FR 06/53 FIXED 5                  | CUSIP: 3133C5VS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       305731 | PA      | $302877.33      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 882305 FN 07/36 FIXED 6                          | CUSIP: 31409YGN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4496 | PA      | $4609.36        | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | GENERAL ELECTRIC COMPANY SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $109703.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                                             | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A M2 144A       | CUSIP: 07325QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1640825 | PA      | $1663587.01     | 0.00%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                                | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1             | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       265033 | PA      | $265069.14      | 0.00%             | 2042-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ0992 FR 05/54 FIXED 5                  | CUSIP: 3142GRC65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       892422 | PA      | $881527.41      | 0.00%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP SAL                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $50.33          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-8800.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1                       | ACE SECURITIES CORP. ACE 2006 HE1 A1B2                     | CUSIP: 004421WL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1649981 | PA      | $1647190.22     | 0.00%             | 2036-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                      | NEWGATE FUNDING PLC NGATE 2007 3X CB REGS                  | CUSIP: B2NDQJII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2660469 | PA      | $2967474.72     | 0.00%             | 2050-12-15      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080031 G2 01/27 FLOATING VAR                  | CUSIP: 36225CA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           87 | PA      | $87.22          | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2024-1                                               | CAPITAL STREET MASTER TRUST CAPST 2024 1 A 144A            | CUSIP: 14051LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129300000 | PA      | $129404810.58   | 0.06%             | 2028-10-16      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/29 6.298                     | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     73606000 | PA      | $77294945.76    | 0.03%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D B1              | CUSIP: 06051GDQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5687 | PA      | $5374.02        | 0.00%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 1A1             | CUSIP: 00703QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1418845 | PA      | $1215586.87     | 0.00%             | 2036-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-2809337.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB7828 FN 08/54 FIXED 5                          | CUSIP: 3140AHVW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28709 | PA      | $28351.95       | 0.00%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-6                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 6 A3                      | CUSIP: 126694K56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1426364 | PA      | $676834.14      | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.70000 05/13/24-3Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-17453766.74   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM40 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $22457.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-45                                                               | FANNIE MAE FNR 2002 45 ZA                                  | CUSIP: 31392DTH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58811 | PA      | $60232.93       | 0.00%             | 2031-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO3051 FN 07/34 FIXED 3                          | CUSIP: 3140JXL97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98596 | PA      | $95429.07       | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6795 FN 03/46 FIXED 4                          | CUSIP: 3138WGRR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6963 | PA      | $6696.35        | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8636 FR 01/32 FIXED 2.5                | CUSIP: 3132A9SZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       148441 | PA      | $142920.86      | 0.00%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-S11                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 S11 3A3           | CUSIP: 92922FGY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       235656 | PA      | $227877.60      | 0.00%             | 2033-11-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                     | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    142651858 | PA      | $130998313.58   | 0.06%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $15061679.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1833913.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST B 144A       | CUSIP: 05555XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45363515 | PA      | $40654254.11    | 0.02%             | 2052-08-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003581 G2 07/34 FIXED 4.5                     | CUSIP: 36202D6S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          991 | PA      | $980.37         | 0.00%             | 2034-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                       | CDW LLC/CDW FINANCE COMPANY GUAR 12/28 3.276               | CUSIP: 12513GBH1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     16500000 | PA      | $15860005.59    | 0.01%             | 2028-12-01      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR6                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR6 1A           | CUSIP: 93935FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201400 | PA      | $173341.98      | 0.00%             | 2046-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH9                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH9 A1            | CUSIP: 749241AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6079472 | PA      | $5139100.63     | 0.00%             | 2037-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5759 FN 07/55 FIXED 5                          | CUSIP: 31418FMH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36466553 | PA      | $35998850.12    | 0.02%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                             | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR              | CUSIP: 92853KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      2300000 | PA      | $2300115.00     | 0.00%             | 2031-01-08      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA8                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA8 CB11          | CUSIP: 761118BP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4251617 | PA      | $2899860.76     | 0.00%             | 2035-07-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                                     | ACE SECURITIES CORP. ACE 2006 NC2 A1                       | CUSIP: 00441XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31536541 | PA      | $24393085.38    | 0.01%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ7272 FN 01/48 FIXED 3.5                        | CUSIP: 3140H9CJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       338320 | PA      | $316084.85      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9111 FN 03/53 FIXED 5.5                        | CUSIP: 3140NEDR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1064782 | PA      | $1073202.69     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $2985686.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2452 FR 02/53 FIXED 6.5                | CUSIP: 3132DPWM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        63915 | PA      | $66505.00       | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-4N                                                          | LEHMAN XS TRUST LXS 2007 4N 3A2A                           | CUSIP: 52524HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5823917 | PA      | $5389943.72     | 0.00%             | 2047-03-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1336 FN 04/53 FIXED 5                          | CUSIP: 3140H2PW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       965491 | PA      | $956230.47      | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-35CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 35CB 1A1         | CUSIP: 12667G2G7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18503693 | PA      | $12762278.10    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-8                                                   | HOME EQUITY ASSET TRUST HEAT 2004 8 M4                     | CUSIP: 437084GU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       770660 | PA      | $759517.24      | 0.00%             | 2035-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR27                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR27 1A1          | CUSIP: 45660LN88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1840265 | PA      | $1004638.07     | 0.00%             | 2035-12-25      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR4849 FN 01/51 FIXED 4                          | CUSIP: 3140L3L74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       390414 | PA      | $371181.85      | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0624 FN 10/47 FIXED 3.5                        | CUSIP: 3140Q7VS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4658385 | PA      | $4344993.54     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.64300 08/28/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1388808.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM4                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM4 PT 144A      | CUSIP: 617930AP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209685594 | PA      | $215544838.52   | 0.10%             | 2069-11-25      | Fixed         | 8.06%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                | VENTURE GLOBAL CALCASIEU SR SECURED 144A 11/33 3.875       | CUSIP: 92328MAC7<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     10800000 | PA      | $9575834.04     | 0.00%             | 2033-11-01      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2184 FN 11/55 FIXED 5.5                        | CUSIP: 3140BSNA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       415571 | PA      | $417871.70      | 0.00%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2005-4                                             | DEUTSCHE ALT A SECURITIES INC DBALT 2005 4 A3              | CUSIP: 251510FU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2332833 | PA      | $2118877.87     | 0.00%             | 2035-09-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-HE3                                     | MASTR ASSET BACKED SECURITIES MABS 2006 HE3 A3             | CUSIP: 57645JAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25357311 | PA      | $7152950.04     | 0.00%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/32 4.4              | CUSIP: 694308KC0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     67000000 | PA      | $64630667.61    | 0.03%             | 2032-03-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                                  | ROLLS ROYCE PLC COMPANY GUAR REGS 10/27 5.75               | CUSIP: ACI1S61G3<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     29673000 | PA      | $39666464.93    | 0.02%             | 2027-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54011 FG 02/48 FIXED 3.5                | CUSIP: 3132XWN56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1384132 | PA      | $1293213.32     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF5 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF5 A1 144A      | CUSIP: 69381JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       593533 | PA      | $584115.94      | 0.00%             | 2054-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                                | CIM TRUST CIM 2024 R1 B1 144A                              | CUSIP: 17179VAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10533000 | PA      | $9147464.95     | 0.00%             | 2064-06-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2004-8                                                   | HOME EQUITY ASSET TRUST HEAT 2004 8 M5                     | CUSIP: 437084GV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1629040 | PA      | $1584039.55     | 0.00%             | 2035-03-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2B               | CUSIP: 61753NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8028693 | PA      | $3515285.45     | 0.00%             | 2037-02-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| TIKEHAU CLO IX DAC 9A                                                            | TIKEHAU CLO IX DAC TIKEH 9A AR 144A                        | CUSIP: ACI2S1SP3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     83700000 | PA      | $96732289.80    | 0.04%             | 2037-01-20      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 944617 FN 07/37 FIXED 6                          | CUSIP: 31413F4A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       348518 | PA      | $364802.01      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1A 144A         | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38250066 | PA      | $39035381.93    | 0.02%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY12                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY12 A5          | CUSIP: 02146PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       243388 | PA      | $230195.13      | 0.00%             | 2036-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY9280 FN 10/53 FIXED 6                          | CUSIP: 3140NSJ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       158293 | PA      | $162183.60      | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                                | US RENAL CARE INC SR SECURED 144A 06/28 10.625             | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |      5107200 | PA      | $4264512.00     | 0.00%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8532 FR 05/55 FIXED 5                  | CUSIP: 3132DWPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95512905 | PA      | $94317327.05    | 0.04%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6949 FN 02/53 FIXED 6                          | CUSIP: 3140NBWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       708043 | PA      | $730839.24      | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 903252 FN 10/36 FIXED 6.5                        | CUSIP: 31411BQD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          578 | PA      | $610.61         | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF2                                               | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF2 A2            | CUSIP: 57645TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20327984 | PA      | $7758034.86     | 0.00%             | 2037-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES LN TR 2007-1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 1 1A4B            | CUSIP: 25151YAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5389455 | PA      | $4434373.38     | 0.00%             | 2037-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6803 FR 01/53 FIXED 6                  | CUSIP: 3133BURY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3615278 | PA      | $3713100.76     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A2 144A         | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       450962 | PA      | $451506.33      | 0.00%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 1A1                  | CUSIP: 07386HK26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6070826 | PA      | $5324403.42     | 0.00%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE4                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE4 2A3           | CUSIP: 93363XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10604814 | PA      | $6209921.56     | 0.00%             | 2047-07-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/43 0.625                                | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     33835318 | PA      | $24954566.78    | 0.01%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2026-RPL1                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2026 RPL1 A1 144A      | CUSIP: 61780PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161522791 | PA      | $156171136.97   | 0.07%             | 2064-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3200                                                                 | FREDDIE MAC FHR 3200 SB                                    | CUSIP: 31397AJC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       854023 | PA      | $91981.69       | 0.00%             | 2036-08-15      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9131 FN 10/46 FIXED 3.5                        | CUSIP: 3140FHED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        66193 | PA      | $61766.38       | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260417                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-69975.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2            | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3372268 | PA      | $2186880.18     | 0.00%             | 2037-07-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0368 G2 05/55 FIXED 6.5                     | CUSIP: 3618N5MS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19432911 | PA      | $20208781.57    | 0.01%             | 2055-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE8486 FN 09/55 FIXED 5                          | CUSIP: 3140BMNC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5494982 | PA      | $5424909.47     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/46 1                                    | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    171360370 | PA      | $127236346.59   | 0.06%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 2A4             | CUSIP: 12668HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2830163 | PA      | $2790156.53     | 0.00%             | 2037-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-3                                       | GS MORTGAGE BACKED SECURITIES GSMBS 2026 3 PT 144A         | CUSIP: 36276CAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    414283560 | PA      | $415414181.26   | 0.18%             | 2055-11-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q41489 FG 07/46 FIXED 3                  | CUSIP: 3132WEUP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1210589 | PA      | $1094019.69     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 5 LLC/ABILENE DC 6 LLC                                                | PROJECT FLASH TERM LOAN                                    | CUSIP: BA000KZ79<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    508237679 | PA      | $508237679.14   | 0.23%             | 2030-04-30      | Floating      | 4.34%                 | No            |                  3 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A           | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       436313 | PA      | $90558.39       | 0.00%             | 2036-12-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2595 FN 04/46 FIXED 4                          | CUSIP: 31418B3D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       750230 | PA      | $719904.27      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3                | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4694833 | PA      | $2315282.79     | 0.00%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.61300 08/22/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1642295.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 3A1A                 | CUSIP: 1266944E5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1942751 | PA      | $1811796.77     | 0.00%             | 2036-05-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-10                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 10 1A1                    | CUSIP: 126694Z76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       763861 | PA      | $283010.45      | 0.00%             | 2036-05-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-1                                                    | GSAA HOME EQUITY TRUST GSAA 2007 1 1A2                     | CUSIP: 3622EQAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7656549 | PA      | $2085771.76     | 0.00%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3041 FR 05/53 FIXED 5                  | CUSIP: 3132DQLW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10625274 | PA      | $10550890.33    | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3000 FN 05/31 FIXED 4.5                        | CUSIP: 31416YKN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11254 | PA      | $11292.95       | 0.00%             | 2031-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-C                                                        | CENTEX HOME EQUITY CXHE 2002 C M1                          | CUSIP: 152314FS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       155696 | PA      | $156907.60      | 0.00%             | 2032-09-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3997                                                          | FREDDIE MAC FHR 3997 GP                                    | CUSIP: 3137AMAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3396406 | PA      | $3324203.40     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6185 FN 02/53 FIXED 5.5                        | CUSIP: 3140NA2T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34884 | PA      | $35351.43       | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6148 FN 07/46 FIXED 4                          | CUSIP: 3140F1ZN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22454 | PA      | $21534.97       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                         | FLORA FOOD MANAGEMENT BV SR SECURED 144A 10/30 7.5         | CUSIP: ACI386PJ9<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |    213400000 | PA      | $244467266.52   | 0.11%             | 2030-10-31      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2004-RS12                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS12 MII5         | CUSIP: 76112BGG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       542470 | PA      | $503713.85      | 0.00%             | 2034-12-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7          | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1767972000 | PA      | $556683318.44   | 0.25%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260403                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1568611.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2142 FN 10/55 FIXED 5                          | CUSIP: 3140BSLY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8549077 | PA      | $8439616.32     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-31481.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.03000 12/15/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1977673.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5140 FN 09/53 FIXED 6.5                        | CUSIP: 31418EWA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3921492 | PA      | $4061979.12     | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB9472 FN 11/54 FIXED 5                          | CUSIP: 3140QVQ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51515 | PA      | $50958.47       | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1B 144A            | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    163794369 | PA      | $164846403.92   | 0.07%             | 2055-05-17      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.7 03/24/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-782914.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ8107 FN 12/41 FIXED 4                          | CUSIP: 3138E1AH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2235603 | PA      | $2160274.97     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 3A1            | CUSIP: 05948XBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           74 | PA      | $72.93          | 0.00%             | 2033-05-25      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                    | ARGENT SECURITIES INC. ARSI 2006 M1 A1                     | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44857348 | PA      | $41098513.18    | 0.02%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55800 08/21/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2102422.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2006-B                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2006 B M2              | CUSIP: 63860FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22774539 | PA      | $22570932.66    | 0.01%             | 2036-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF0336 FN 09/55 FIXED 5                          | CUSIP: 3140BQLS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1198271 | PA      | $1190922.40     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q57967 FG 08/48 FIXED 3.5                | CUSIP: 3132Y1Z92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55548 | PA      | $51635.20       | 0.00%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A2A            | CUSIP: 17312VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5117243 | PA      | $3771981.83     | 0.00%             | 2037-03-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.48500 10/30/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4699642.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.30000 06/14/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2239644.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A A1 144A              | CUSIP: 193938AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33059522 | PA      | $33670386.23    | 0.01%             | 2055-05-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC-2006-HE3                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE3 M2           | CUSIP: 07387UHT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11801968 | PA      | $11698114.96    | 0.01%             | 2036-04-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A              | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6490066 | PA      | $5974060.65     | 0.00%             | 2047-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15              | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   2069891000 | PA      | $622043912.18   | 0.28%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD4325 FN 03/55 FIXED 5                          | CUSIP: 3140B4YX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1027527 | PA      | $1018832.58     | 0.00%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A2            | CUSIP: 55275TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38701145 | PA      | $10662757.50    | 0.00%             | 2037-01-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2024-B                                         | WORLD OMNI AUTO RECEIVABLES TR WOART 2024 B A3             | CUSIP: 98164HAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20619196 | PA      | $20785832.24    | 0.01%             | 2029-09-17      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-7                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 7 2A1A           | CUSIP: 411640AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9538978 | PA      | $9063863.96     | 0.00%             | 2037-10-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-36                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 36 1A1           | CUSIP: 12667GWD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4471281 | PA      | $4427998.75     | 0.00%             | 2035-08-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR               | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    449770711 | PA      | $326083765.48   | 0.15%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| INVESTINDUSTRIAL VIII SCSP                                                       | PROJ ALFA 3 TERM LOAN                                      | CUSIP: BA000RG42<br>LEI: 213800KUK2RJHCSU9551 | Long             | LON              | CORP              | US        |     38288668 | PA      | $38288668.07    | 0.02%             | 2026-10-21      | Floating      | 5.74%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA5522 FN 04/50 FIXED 4                          | CUSIP: 3140QDD43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       702382 | PA      | $672109.85      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                        | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 A1 144A         | CUSIP: 26844QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6395055 | PA      | $6387637.56     | 0.00%             | 2068-02-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-ALT1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 ALT1 A1            | CUSIP: 92978GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6097784 | PA      | $2036580.56     | 0.00%             | 2037-01-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 SA 144A       | CUSIP: 17330EAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       408749 | PA      | $406673.20      | 0.00%             | 2061-08-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W12                                                    | FANNIEMAE WHOLE LOAN FNW 2003 W12 2A6                      | CUSIP: 31393ELQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13034 | PA      | $12944.59       | 0.00%             | 2043-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3772 FN 09/39 FIXED 3.5                        | CUSIP: 31418DFN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       356539 | PA      | $341463.69      | 0.00%             | 2039-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3385 FN 07/55 FIXED VAR                        | CUSIP: 3140W3XP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7456020 | PA      | $7633360.77     | 0.00%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $740476.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES1                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES1 A1A 144A          | CUSIP: 89183CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23160164 | PA      | $23215750.64    | 0.01%             | 2064-01-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0945 FN 07/45 FIXED 4                          | CUSIP: 3138YSBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22258 | PA      | $21435.50       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-2                                                           | CHASEFLEX TRUST CFLX 2007 2 A1                             | CUSIP: 16165WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8070412 | PA      | $7780304.00     | 0.00%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1B           | CUSIP: 92925CDB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4603188 | PA      | $4097221.37     | 0.00%             | 2046-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO 2003-37A                                          | STRUCTURED ASSET SECURITIES CO SASC 2003 37A 1A            | CUSIP: 86359BBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       534700 | PA      | $535096.32      | 0.00%             | 2033-12-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0461 FN 07/30 FIXED 4.5                        | CUSIP: 31417YQP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          709 | PA      | $710.22         | 0.00%             | 2030-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                                  | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A       | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     35200000 | PA      | $35211540.67    | 0.02%             | 2035-01-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H3 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H3 A1 144A                 | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25128829 | PA      | $25336217.13    | 0.01%             | 2069-06-25      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ3824 FR 09/55 FIXED 5                  | CUSIP: 31427BHA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       153273 | PA      | $152521.80      | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 1A1          | CUSIP: 45660LF20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5394054 | PA      | $3772847.39     | 0.00%             | 2035-11-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7106 FN 05/46 FIXED 3.5                        | CUSIP: 3138WG3Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10929 | PA      | $10242.97       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-21                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 2A4             | CUSIP: 12667LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9904754 | PA      | $9302806.67     | 0.00%             | 2037-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP6618 FN 09/42 FIXED 3.5                        | CUSIP: 3138MAK80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22869 | PA      | $21622.87       | 0.00%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XVIII LTD / PREFERRED TERM SECURITIES XVIII INC        | PREFERRED TERM XVIII SECURED 144A 09/35 VAR                | CUSIP: 74042WAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     13973068 | PA      | $13449078.17    | 0.01%             | 2035-09-23      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-10                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 10 10A3           | CUSIP: 225470FM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       226507 | PA      | $48405.19       | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH0798 FN 04/47 FIXED 3.5                        | CUSIP: 3140GN3G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7997 | PA      | $7477.18        | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2007-FA2                           | FIRST HORIZON ALTERNATIVE MORT FHAMS 2007 FA2 1A6          | CUSIP: 32053LAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2342214 | PA      | $171224.01      | 0.00%             | 2037-04-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.38500 10/17/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3724735.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL C91484 FG 08/32 FIXED 3                  | CUSIP: 3128P7UH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84080 | PA      | $81721.90       | 0.00%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2024-1A LTD                                                             | VOYA CLO LTD VOYA 2024 1A A1 144A                          | CUSIP: 92920DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13330000 | PA      | $13364428.99    | 0.01%             | 2037-04-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CCG RECEIVABLES TRUST 2023-1                                                     | CCG RECEIVABLES TRUST CCG 2023 1 A2 144A                   | CUSIP: 12512XAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       345381 | PA      | $346227.11      | 0.00%             | 2030-09-16      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8351 FR 08/53 FIXED 6.5                | CUSIP: 3132DWH48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24584 | PA      | $25462.65       | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-824509.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1960 FN 03/48 FIXED 3.5                        | CUSIP: 3140HFFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18917 | PA      | $17647.77       | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 A3A 144A     | CUSIP: 36263MAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    209761539 | PA      | $174823132.38   | 0.08%             | 2052-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2834 FN 12/46 FIXED 3.5                        | CUSIP: 31418CEG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6718 | PA      | $6284.31        | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4101 FN 10/47 FIXED 3.5                        | CUSIP: 3140GSRX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       216883 | PA      | $202470.08      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                                  | ARGENT SECURITIES INC. ARSI 2006 W5 A2C                    | CUSIP: 04012XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31013630 | PA      | $8256240.84     | 0.00%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2014-UBS4                          | COMM MORTGAGE TRUST COMM 2014 UBS4 XA                      | CUSIP: 12591QAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23135927 | PA      | $75154.74       | 0.00%             | 2047-08-10      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| ALLY AUTO RECEIVABLES TRUST 2024-2                                               | ALLY AUTO RECEIVABLES TRUST ALLYA 2024 2 A3                | CUSIP: 02007NAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     33147145 | PA      | $33171010.82    | 0.01%             | 2029-07-16      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $436099.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $2323446.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC11                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC11 1A          | CUSIP: 23244JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15377088 | PA      | $13973801.52    | 0.01%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE2                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE2 M1          | CUSIP: 46626LHB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1796718 | PA      | $1786372.53     | 0.00%             | 2036-02-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $387582.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.25 11/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-33817230.73   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260422                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-1397915.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ2589 FR 09/54 FIXED 7                  | CUSIP: 3133CS2W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       995217 | PA      | $1047899.43     | 0.00%             | 2054-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG          | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     17539000 | PA      | $6138650.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                           | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M5             | CUSIP: 57643LJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       165826 | PA      | $187940.96      | 0.00%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08692 FG 02/46 FIXED 3                  | CUSIP: 3128MJXW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102694 | PA      | $93140.78       | 0.00%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1094 FR 04/55 FIXED 5                  | CUSIP: 31427NGC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1712556 | PA      | $1691150.78     | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8332 FR 06/53 FIXED 6                  | CUSIP: 3132DWHH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16459 | PA      | $16870.55       | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1N0365 FH 02/37 FLOATING VAR             | CUSIP: 3128QGMN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          153 | PA      | $154.86         | 0.00%             | 2037-02-01      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| VCAT 2026-NPL2 LLC                                                               | VCAT ASSET SECURITIZATION, LLC VCAT 2026 NPL2 A1 144A      | CUSIP: 921968AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35690978 | PA      | $35557012.37    | 0.02%             | 2056-02-25      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-2F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 2F 2A2                    | CUSIP: 362334CN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       226538 | PA      | $198472.03      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3             | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       852950 | PA      | $207444.99      | 0.00%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9044 FN 11/47 FIXED 4                          | CUSIP: 3140GYBN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        88686 | PA      | $84985.06       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                              | SAXON ASSET SECURITIES TRUST SAST 2005 3 M5                | CUSIP: 805564SW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8994000 | PA      | $6397514.94     | 0.00%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                             | BAYER US FINANCE LLC COMPANY GUAR 144A 11/30 6.375         | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |      5400000 | PA      | $5680240.02     | 0.00%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC5570 FN 11/54 FIXED 5.5                        | CUSIP: 3140ATFL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       908236 | PA      | $913309.88      | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 4A2                 | CUSIP: 46630PBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2933840 | PA      | $2421762.79     | 0.00%             | 2037-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0868 G2 01/56 FIXED 3.5                     | CUSIP: 3618N56E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    168341972 | PA      | $154523225.96   | 0.07%             | 2056-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3 JUMBOS                                 | CUSIP: 21H030641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67900000 | PA      | $60628318.08    | 0.03%             | 2056-04-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7401 FN 06/46 FIXED 4                          | CUSIP: 3138WHGK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38789 | PA      | $37266.58       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-505731.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A4 144A         | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3752719 | PA      | $3772175.08     | 0.00%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 363                                                           | FREDDIEMAC STRIP FHS 363 C17                               | CUSIP: 31325XBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3471767 | PA      | $444285.22      | 0.00%             | 2048-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A5            | CUSIP: 55275TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21168149 | PA      | $5830876.83     | 0.00%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH7239 G2 07/48 FIXED 4                       | CUSIP: 3617H5BG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       234830 | PA      | $221634.16      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013 RR2                                                          | BCAP LLC TRUST BCAP 2013 RR2 2A2 144A                      | CUSIP: 05542GAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4773078 | PA      | $1384814.05     | 0.00%             | 2036-11-26      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD2764 FN 06/55 FIXED 5                          | CUSIP: 3140B3CA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3929481 | PA      | $3884225.33     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3309 FN 03/38 FIXED 3.5                        | CUSIP: 31418CVB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       260347 | PA      | $250665.69      | 0.00%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 771547 FN 03/34 FIXED 4.5                        | CUSIP: 31404LEU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          392 | PA      | $388.51         | 0.00%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                           | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/33 5.773       | CUSIP: 126650BV1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3165449 | PA      | $3210629.61     | 0.00%             | 2033-01-10      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2004-6                                               | MASTR ASSET SECURITIZATION TRU MASTR 2004 6 2A13           | CUSIP: 57643MDA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5982 | PA      | $5943.17        | 0.00%             | 2034-06-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                   | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      6900000 | PA      | $6949935.30     | 0.00%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 1A1            | CUSIP: 61752JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3401796 | PA      | $1092648.87     | 0.00%             | 2046-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 576124 FN 06/31 FIXED 6.5                        | CUSIP: 31386XAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1717 | PA      | $1775.71        | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $3413500.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C               | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19475454 | PA      | $8952208.14     | 0.00%             | 2037-01-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-1                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 1 2A1A           | CUSIP: 41164MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17436039 | PA      | $16326432.50    | 0.01%             | 2037-03-19      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ0986 FR 07/54 FIXED 5.5                | CUSIP: 3133CRCX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1810004 | PA      | $1830378.52     | 0.00%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/46 4.625                                | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    119800000 | PA      | $115504046.28   | 0.05%             | 2046-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALTERNATIVE LOAN TRUST 2003-8                                    | BANC OF AMERICA ALTERNATIVE LO BOAA 2003 8 1CB1            | CUSIP: 05948XTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1552588 | PA      | $1563793.90     | 0.00%             | 2033-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA3876 FN 07/49 FIXED 3.5                        | CUSIP: 3140QBJW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17250 | PA      | $16013.54       | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0493 FN 10/47 FIXED 4                          | CUSIP: 3140Q7RP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65978 | PA      | $63245.35       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 B1 144A       | CUSIP: 17329YAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30997550 | PA      | $23915868.33    | 0.01%             | 2061-05-01      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F042442<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -108300000 | PA      | $-107536846.72  | -0.05%            | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-16862624.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST  2017-RP1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2017 RP1 PT 144A       | CUSIP: 17326JAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     77220941 | PA      | $65422816.67    | 0.03%             | 2064-09-25      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 6A3            | CUSIP: 863579C30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       109902 | PA      | $102508.53      | 0.00%             | 2035-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW7042 FN 06/44 FIXED 4.5                        | CUSIP: 3138XWZG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1133 | PA      | $1121.62        | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2378 FN 01/50 FIXED VAR                        | CUSIP: 3140X5UC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101405 | PA      | $99565.87       | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX2185 FR 12/54 FIXED 5.5                | CUSIP: 31425WNB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120666 | PA      | $121340.31      | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS0503 FR 06/30 FIXED 6.5                | CUSIP: 3132A0RY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          284 | PA      | $294.02         | 0.00%             | 2030-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHESTER A CESTR 1 AA A 144A                                | CUSIP: ACI1BFGM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     74147906 | PA      | $98363817.74    | 0.04%             | 2046-03-17      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A1 144A       | CUSIP: 81377GAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34416620 | PA      | $14373089.31    | 0.01%             | 2036-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0163 FN 12/47 FIXED 3.5                        | CUSIP: 3140H1FD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       407266 | PA      | $379361.17      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-7                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 7 5A1             | CUSIP: 576433QD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        69817 | PA      | $68507.96       | 0.00%             | 2034-07-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T XA 144A     | CUSIP: 46652WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    158100000 | PA      | $740240.01      | 0.00%             | 2042-03-05      | Variable      | 0.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH5196 FR 11/53 FIXED 6.5                | CUSIP: 3133CHXZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3981522 | PA      | $4126388.21     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO3400 FN 05/27 FIXED 3                          | CUSIP: 3138LTX60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7801 | PA      | $7738.04        | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4760 FN 07/53 FIXED 5.5                        | CUSIP: 3140NMJE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29760897 | PA      | $30027871.99    | 0.01%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2026-CES2                                        | JP MORGAN MORTGAGE TRUST JPMMT 2026 CES2 PT                | CUSIP: 46660XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    279154322 | PA      | $300037577.67   | 0.13%             | 2056-09-25      | Fixed         | 8.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $2590916.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2286506.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-BC6                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 BC6 A5            | CUSIP: 86362VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4120754 | PA      | $3944743.37     | 0.00%             | 2037-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS8                                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS8 M5            | CUSIP: 76110W3V6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1773566 | PA      | $1767439.18     | 0.00%             | 2035-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2003-3                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 3 3A4             | CUSIP: 576433EE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       243764 | PA      | $235184.38      | 0.00%             | 2033-09-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.16066 03/31/26-28Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-136610.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4504 FN 02/30 FIXED 3                          | CUSIP: 3138WEAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1278605 | PA      | $1256037.30     | 0.00%             | 2030-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A1           | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4459729 | PA      | $4048098.18     | 0.00%             | 2046-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25             | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     50021000 | PA      | $38044644.54    | 0.02%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8341 FR 07/53 FIXED 5                  | CUSIP: 3132DWHS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       854333 | PA      | $846002.90      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80000 08/30/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $257177.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-32                                                        | FANNIE MAE FNR 2007 32 JS                                  | CUSIP: 31396VDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       653298 | PA      | $82296.47       | 0.00%             | 2037-04-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA C 144A                       | CUSIP: ACI2N0N18<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     44096000 | PA      | $58269877.29    | 0.03%             | 2054-05-28      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-2                                                     | LEHMAN MORTGAGE TRUST LMT 2005 2 5A1                       | CUSIP: 52520MCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       537397 | PA      | $279868.34      | 0.00%             | 2035-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2007-1                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2007 1 M2              | CUSIP: 00438QAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4824042.50     | 0.00%             | 2037-02-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 B1 144A       | CUSIP: 17329AAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36154150 | PA      | $31595118.92    | 0.01%             | 2060-09-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 3 A13                     | CUSIP: 12543RAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3643732 | PA      | $1162030.83     | 0.00%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260824                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $104729.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5497 FN 10/54 FIXED 5.5                        | CUSIP: 31418FDB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13277742 | PA      | $13354011.91    | 0.01%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A A2 144A        | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4351438 | PA      | $4388977.92     | 0.00%             | 2029-10-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7144 FR 02/53 FIXED 5.5                | CUSIP: 3133BU5D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       372815 | PA      | $375924.17      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A3 144A       | CUSIP: 14687VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8991277 | PA      | $9009606.32     | 0.00%             | 2028-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A5           | CUSIP: 16162WQM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        76231 | PA      | $68143.85       | 0.00%             | 2036-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 B3 144A        | CUSIP: 12653HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    104331993 | PA      | $44691130.93    | 0.02%             | 2057-07-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                             | COLLEGE AVE STUDENT LOANS CASL 2023 B A1A 144A             | CUSIP: 19425MAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48808606 | PA      | $50696845.34    | 0.02%             | 2054-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 07/30 7.5                | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     81250000 | PA      | $81944391.75    | 0.04%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R2                                               | VERUS SECURITIZATION TRUST VERUS 2025 R2 A1 144A           | CUSIP: 92541EAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44049419 | PA      | $43940933.74    | 0.02%             | 2067-07-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                                           | PIKES PEAK CLO PIPK 2018 2A ARR 144A                       | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     45000000 | PA      | $45062089.20    | 0.02%             | 2034-10-11      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-HE4                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE4 A2B           | CUSIP: 59023EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3550252 | PA      | $719806.76      | 0.00%             | 2037-07-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2013-MH1                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2013 MH1 A 144A          | CUSIP: 12647RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79264764 | PA      | $71669455.78    | 0.03%             | 2053-05-27      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-8T1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 8T1 1A1          | CUSIP: 12668BME0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6062808 | PA      | $2082945.00     | 0.00%             | 2036-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5932 FN 01/54 FIXED 6.5                        | CUSIP: 3140A6SW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1045974 | PA      | $1089622.66     | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0723 FN 02/48 FIXED 4                          | CUSIP: 3140HDYV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       754061 | PA      | $722478.60      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXII LTD                                                        | MARBLE POINT CLO MP22 2021 2A AR 144A                      | CUSIP: 56606GAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     87800000 | PA      | $87756103.51    | 0.04%             | 2034-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-392121.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY4339 FN 12/29 FIXED 3                          | CUSIP: 3138YHZD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22611 | PA      | $22182.08       | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                     | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2576625 | PA      | $2539977.50     | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 10/26 0.125                                | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1016728059 | PA      | $1025530412.67  | 0.46%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-8                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 8 1A1            | CUSIP: 41161GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5284718 | PA      | $2549839.30     | 0.00%             | 2036-07-21      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2483 FN 04/53 FIXED 5                          | CUSIP: 3140NJXM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        66250 | PA      | $65574.16       | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE4                                                             | GSAMP TRUST GSAMP 2006 HE4 M1                              | CUSIP: 362439AF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7100000 | PA      | $6242479.75     | 0.00%             | 2036-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004678 G2 04/40 FIXED 4.5                     | CUSIP: 36202FFT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1663 | PA      | $1649.92        | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 3A1           | CUSIP: 021482AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1097949 | PA      | $488391.65      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 07/12/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-143438.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA0875 FR 12/55 FIXED 5                  | CUSIP: 3142JN6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6200886 | PA      | $6120622.75     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2004-2                                                   | HOMEBANC MORTGAGE TRUST HMBT 2004 2 M1                     | CUSIP: 43739EAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124883 | PA      | $119871.50      | 0.00%             | 2034-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC7779 FN 12/54 FIXED 5.5                        | CUSIP: 3140AVUD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       624087 | PA      | $627573.14      | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A1           | CUSIP: 93364FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91797 | PA      | $84389.66       | 0.00%             | 2037-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI6758 FR 05/54 FIXED 5.5                | CUSIP: 3133WDQK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       687153 | PA      | $691817.54      | 0.00%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8461 FN 12/46 FIXED 3.5                        | CUSIP: 3138WJMK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2998864 | PA      | $2801539.11     | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR10                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR10 A1           | CUSIP: 45660LKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2654752 | PA      | $2130273.67     | 0.00%             | 2035-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ5753 FR 10/55 FIXED 5                  | CUSIP: 31427DMB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1825248 | PA      | $1802287.44     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 03/28 VAR                        | CUSIP: 06738ECP8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     20700000 | PA      | $20898136.47    | 0.01%             | 2028-03-12      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                                 | GAZPROM PJSC (GAZ FN) SR UNSECURED 144A 01/29 2.95         | CUSIP: ACI1V9J90<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |     93400000 | PA      | $70517000.00    | 0.03%             | 2029-01-27      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8492 FR 01/55 FIXED 5                  | CUSIP: 3132DWNH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       891818 | PA      | $880677.68      | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-1                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 1 A2B            | CUSIP: 59023LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32655457 | PA      | $11896373.18    | 0.01%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 5A1            | CUSIP: 007036TM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1861927 | PA      | $1807375.60     | 0.00%             | 2036-01-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXVI LTD 2019-36A                                          | MADISON PARK FUNDING LTD MDPK 2019 36A A1RR 144A           | CUSIP: 55819PBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2000521.88     | 0.00%             | 2035-04-15      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2166 FN 08/48 FIXED 4.5                        | CUSIP: 3140Q9MQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22325 | PA      | $21973.17       | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D C 144A           | CUSIP: 78450PAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8999000 | PA      | $9427323.60     | 0.00%             | 2053-09-15      | Fixed         | 7.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 06/21/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $17152540.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8515 FN 03/53 FIXED 5.5                        | CUSIP: 3140NDN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5481139 | PA      | $5525292.15     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A3A1          | CUSIP: 251513AW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3084767 | PA      | $2688969.51     | 0.00%             | 2036-10-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1                                        | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 FM1 M2            | CUSIP: 59020UC37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3889223 | PA      | $3322455.64     | 0.00%             | 2036-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| LONGLEAF PINE RE LTD                                                             | LONGLEAF PINE RE LTD UNSECURED 144A 05/31 VAR              | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     25200000 | PA      | $26677980.00    | 0.01%             | 2031-05-27      | Floating      | 21.46%                | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                             | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR              | CUSIP: 92853KAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     21400000 | PA      | $21401070.00    | 0.01%             | 2031-01-08      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                                                        | SEQUOIA MORTGAGE TRUST SEMT 10 2A1                         | CUSIP: 81743VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          133 | PA      | $132.13         | 0.00%             | 2027-10-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA8645 FN 01/51 FIXED 4                          | CUSIP: 3140QGTB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23133 | PA      | $22000.11       | 0.00%             | 2051-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7145 FR 02/53 FIXED 6                  | CUSIP: 3133BU5E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3824555 | PA      | $3908202.80     | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-A                                                        | CENTEX HOME EQUITY CXHE 2005 A M4                          | CUSIP: 152314ML1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1290785 | PA      | $1263624.67     | 0.00%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1306 FN 07/48 FIXED VAR                        | CUSIP: 3140X4NY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3674 | PA      | $3621.78        | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8465 FR 09/54 FIXED 7                  | CUSIP: 3132DWMN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       732891 | PA      | $770587.28      | 0.00%             | 2054-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A3            | CUSIP: 18976GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2315227 | PA      | $2124547.32     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RONDA RMBS DAC 2025-1A                                                           | RONDA RMBS DESIGNATED ACTIVITY RONDA 2025 1A F 144A        | CUSIP: ACI34XFY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      5481000 | PA      | $6016259.15     | 0.00%             | 2075-10-28      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST 2024-2                                        | TRICOLOR AUTO SECURITIZATION T TAST 2024 2A A 144A         | CUSIP: 89616PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1669066 | PA      | $1549560.47     | 0.00%             | 2027-12-15      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7191 FR 12/54 FIXED 5                  | CUSIP: 3132DU7C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6902212 | PA      | $6814045.21     | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 01/18/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1737448.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                               | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A3             | CUSIP: 76114QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1617103 | PA      | $576304.63      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC9737 FN 01/55 FIXED 5                          | CUSIP: 3140AXZB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4440422 | PA      | $4398681.39     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.22000 01/08/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-5208251.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-NPL10 LLC                                                              | PRET 2025 NPL10 LLC 10/55 5.2498                           | CUSIP: 69392WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    170698559 | PA      | $170075390.07   | 0.08%             | 2055-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4162 FR 05/27 FIXED 3                  | CUSIP: 3131X7TT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20070 | PA      | $19924.99       | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB8473 FN 08/54 FIXED 5.5                        | CUSIP: 3140AJMX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        88410 | PA      | $88903.84       | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS7 1A3           | CUSIP: 74923WAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       702741 | PA      | $587411.31      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6715 FN 02/45 FIXED VAR                        | CUSIP: 3138EPN91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       206477 | PA      | $199005.10      | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.23100 09/18/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4918625.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q45088 FG 12/46 FIXED 3                  | CUSIP: 3132WJUN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       273016 | PA      | $246588.02      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.06-2 SP MEI                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-310120.29     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-AR2                                               | HSI ASSET LOAN OBLIGATION HALO 2007 AR2 2A1                | CUSIP: 44329EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9558854 | PA      | $7988609.16     | 0.00%             | 2037-09-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $113212.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2004-U                                               | WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 U A1             | CUSIP: 949803AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9540 | PA      | $9472.02        | 0.00%             | 2034-10-25      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2007-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 2A3              | CUSIP: 65106FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1065326 | PA      | $1061238.69     | 0.00%             | 2037-04-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ2973 FN 11/32 FIXED 2.5                        | CUSIP: 3140H4JT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1568 | PA      | $1501.75        | 0.00%             | 2032-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 14A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 14A A1 144A             | CUSIP: 014498AB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9936795 | PA      | $9415112.94     | 0.00%             | 2037-09-23      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL5                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL5 SA 144A        | CUSIP: 12655JAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1098736 | PA      | $991218.45      | 0.00%             | 2076-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-1                                                   | FREMONT HOME LOAN TRUST FHLT 2006 1 2A4                    | CUSIP: 35729PPB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26779756 | PA      | $24367864.20    | 0.01%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6110 FN 12/47 FIXED 3.5                        | CUSIP: 3140H7YG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95618 | PA      | $88808.76       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1                   | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4731 | PA      | $4605.93        | 0.00%             | 2035-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | REPUBLIC OF TURKIYE SR UNSECURED 04/29 7.625               | CUSIP: 900123CT5<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    253315000 | PA      | $261997141.11   | 0.12%             | 2029-04-26      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3968 FR 03/27 FIXED 3                  | CUSIP: 3131X7MR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2697 | PA      | $2679.48        | 0.00%             | 2027-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 X 144A        | CUSIP: 17329YAQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    870295300 | PA      | $30488968.22    | 0.01%             | 2061-05-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2591 FN 10/53 FIXED 6                          | CUSIP: 3140NJ2Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       169265 | PA      | $173776.25      | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-2CON                                               | BANKERS HEALTHCARE GROUP SECUR BHG 2025 2CON A 144A        | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36667603 | PA      | $36783831.82    | 0.02%             | 2036-09-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9431 FN 03/53 FIXED 5.5                        | CUSIP: 3140NEPR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31007 | PA      | $31347.97       | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A1            | CUSIP: 06050HKP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4218 | PA      | $4143.89        | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A F 144A                         | CUSIP: ACI2SNZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      5650000 | PA      | $7505166.66     | 0.00%             | 2066-05-16      | Floating      | 9.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA1936 FR 05/26 FIXED 5                  | CUSIP: 31329KEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           18 | PA      | $18.12          | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-332204.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2023-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2023 RP2 PT 144A       | CUSIP: 17331PAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    365207014 | PA      | $327246155.60   | 0.15%             | 2062-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A2            | CUSIP: 761118EP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       133226 | PA      | $102845.00      | 0.00%             | 2035-08-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2005-S3                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 S3 A14           | CUSIP: 16162WNQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       529349 | PA      | $365957.61      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-411310.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M2             | CUSIP: 68389FKS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54206000 | PA      | $43941573.52    | 0.02%             | 2036-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-4                                                | VERUS SECURITIZATION TRUST VERUS 2023 4 A1 144A            | CUSIP: 92539TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16858069 | PA      | $16830216.26    | 0.01%             | 2068-05-25      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4785 FN 02/47 FIXED 3.5                        | CUSIP: 3140FQJ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       651332 | PA      | $607506.12      | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0107 FR 09/52 FIXED 5.5                | CUSIP: 3133BMDL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4648156 | PA      | $4690352.99     | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 2A1                 | CUSIP: 46628KAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5216 | PA      | $4396.84        | 0.00%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV6321 FN 01/29 FIXED 3.5                        | CUSIP: 3138XJAX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43283 | PA      | $42764.14       | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY7864 FR 07/55 FIXED 5                  | CUSIP: 31426SW21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2096965 | PA      | $2070095.46     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-104.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST2006-AR2                                      | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR2 1A1            | CUSIP: 07401AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12709683 | PA      | $11270377.72    | 0.01%             | 2046-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-B                                                        | CENTEX HOME EQUITY CXHE 2005 B M6                          | CUSIP: 152314NG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       870532 | PA      | $773656.94      | 0.00%             | 2035-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/27 4.125          | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      2700000 | PA      | $2665852.21     | 0.00%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-AWH                              | BAMLL COML MTG SECS TR 2024 04/42 1                        | CUSIP: 05554WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116790000 | PA      | $98558205.08    | 0.04%             | 2042-04-20      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3597 FN 02/49 FIXED 3.5                        | CUSIP: 31418C7K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3945 | PA      | $3663.36        | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP JPM                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $39480.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8331 FR 06/53 FIXED 5.5                | CUSIP: 3132DWHG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36130873 | PA      | $36442366.94    | 0.02%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S2 2A16                | CUSIP: 466247VJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       117881 | PA      | $70459.46       | 0.00%             | 2035-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                          | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 B 144A        | CUSIP: 69544PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3678612 | PA      | $3680989.93     | 0.00%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | ZCS BRL 9.99764 08/04/23-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-15790739.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2003 A1 1A1                 | CUSIP: 466247AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8586 | PA      | $8277.34        | 0.00%             | 2033-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2024-2A LLC                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2024 2A A 144A        | CUSIP: 05377RJG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86416000 | PA      | $87231257.19    | 0.04%             | 2028-10-20      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-1                                          | THORNBURG MORTGAGE SECURITIES TMST 2004 1 I1A              | CUSIP: 885220ET6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21018 | PA      | $20659.11       | 0.00%             | 2044-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2007-HE1                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2007 HE1 A1            | CUSIP: 45073DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5048200 | PA      | $1019630.36     | 0.00%             | 2037-05-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 26-1A                                      | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2026 1A A2A 144A      | CUSIP: 96043BAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54800000 | PA      | $54746087.76    | 0.02%             | 2028-09-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-2                                        | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 2 A 144A          | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20700000 | PA      | $20784580.20    | 0.01%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5530 FN 11/54 FIXED 5                          | CUSIP: 31418FEC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2977097 | PA      | $2940061.56     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.53500 11/06/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-7924920.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF3                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF3 M2             | CUSIP: 36228FU79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59709 | PA      | $59178.50       | 0.00%             | 2034-05-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 2A2            | CUSIP: 61745M4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       116481 | PA      | $105086.16      | 0.00%             | 2035-07-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8426 G2 11/52 FIXED 4                       | CUSIP: 36179XLF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2999608 | PA      | $2836389.89     | 0.00%             | 2052-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $179460.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD6592 FR 10/54 FIXED 5                  | CUSIP: 3132DUKD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3063456 | PA      | $3024247.74     | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-26                                                        | FANNIE MAE FNR 2019 26 FM                                  | CUSIP: 3136B4VX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3267561 | PA      | $3206199.19     | 0.00%             | 2049-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| TRAPEZA CDO LLC 2007-13A                                                         | TRAPEZA CDO LLC TRAP 2007 13A A2A 144A                     | CUSIP: 894135AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14000000 | PA      | $12180000.00    | 0.01%             | 2042-11-09      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5419 FN 07/54 FIXED 5                          | CUSIP: 31418FAV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       285727 | PA      | $282209.05      | 0.00%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ5545 FR 10/55 FIXED 5                  | CUSIP: 31427DET4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2362595 | PA      | $2332284.20     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8523 FR 04/55 FIXED 5                  | CUSIP: 3132DWPG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48526377 | PA      | $47909001.14    | 0.02%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-28346.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH4568 FN 03/41 FIXED 4                          | CUSIP: 3138A6CE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52842 | PA      | $51065.03       | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-9                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 9 21A2            | CUSIP: 17307GL22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       612522 | PA      | $620842.49      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC6009 FN 05/46 FIXED 3.5                        | CUSIP: 3140F1VB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98946 | PA      | $92811.03       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA0032 FN 12/54 FIXED VAR                        | CUSIP: 3140W0BA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     54930452 | PA      | $54784002.96    | 0.02%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/13/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-10496675.90   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-2F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 2F 3A6                    | CUSIP: 362334BP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       341599 | PA      | $136442.31      | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-LTV3                                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2025 LTV3 PT 144A           | CUSIP: 46594MAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235655908 | PA      | $237884105.53   | 0.11%             | 2056-04-25      | Variable      | 7.46%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-5                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 5 2A3              | CUSIP: 12668KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4168434 | PA      | $4340589.75     | 0.00%             | 2047-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1504881.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH3                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH3 A1B          | CUSIP: 02151DAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9990288 | PA      | $9587201.39     | 0.00%             | 2047-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 1A1                  | CUSIP: 126670JP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2439333 | PA      | $2310281.99     | 0.00%             | 2036-02-20      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.41000 09/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3387908.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 8A A 144A         | CUSIP: 03331XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12826488 | PA      | $12702330.76    | 0.01%             | 2037-07-25      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL11 LLC                                                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL11 A1 144A     | CUSIP: 69383AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128126943 | PA      | $128224038.00   | 0.06%             | 2055-10-25      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-HYB1                                                 | SEQUOIA MORTGAGE TRUST SEMT 2024 HYB1 A1A 144A             | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19344202 | PA      | $19329305.11    | 0.01%             | 2063-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-9                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 9 A 144A          | CUSIP: 69546QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5835107 | PA      | $5846131.68     | 0.00%             | 2032-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260914                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $622633.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A D 144A                                | CUSIP: ACI2J97Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10550000 | PA      | $13986244.83    | 0.01%             | 2050-11-28      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA R 144A                       | CUSIP: ACI2QV5J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     20467000 | PA      | $23195824.07    | 0.01%             | 2055-05-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P2 A4 144A       | CUSIP: 14686TAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     38537000 | PA      | $38969932.37    | 0.02%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF0413 FN 10/55 FIXED 5                          | CUSIP: 3140BQN72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2112569 | PA      | $2085455.21     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY5358 FN 03/45 FIXED 4                          | CUSIP: 3138YJ5U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       801989 | PA      | $771343.16      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 4A2             | CUSIP: 00703QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4703331 | PA      | $1616136.39     | 0.00%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $221426.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5265 G2 06/48 FIXED 4.5                     | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3500005 | PA      | $3445641.91     | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PHH ALTERNATIVE MORTGAGE TRUST 2007-1                                            | PHH ALTERNATIVE MORTGAGE TRUST PHHAM 2007 1 21A            | CUSIP: 69337BAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1935454 | PA      | $1614962.26     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-7698.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA2045 FR 08/49 FIXED 3.5                | CUSIP: 31334YHW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1111011 | PA      | $1029877.09     | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7221 FN 12/55 FIXED 5                          | CUSIP: 3140BYAX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9904194 | PA      | $9776872.75     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET BACKED CERTIFICATES 2007-FF2                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2007 FF2 A1             | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18909604 | PA      | $10120353.88    | 0.00%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/28 VAR                  | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      6000000 | PA      | $6233400.00     | 0.00%             | 2028-06-06      | Floating      | 15.76%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $7.06           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-C                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 C 1AV1            | CUSIP: 63860KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       135151 | PA      | $133852.85      | 0.00%             | 2037-06-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M3                                                    | ARGENT SECURITIES INC. ARSI 2006 M3 A2D                    | CUSIP: 03076MAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21114831 | PA      | $6415298.08     | 0.00%             | 2036-10-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3775091.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU5528 FN 01/55 FIXED 7                          | CUSIP: 3140M7EA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7372928 | PA      | $7764296.32     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1790 FN 03/48 FIXED 3.5                        | CUSIP: 3140HE7C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5806359 | PA      | $5401330.38     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5068 FN 07/46 FIXED 4                          | CUSIP: 3140FQT23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16360 | PA      | $15765.62       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 879702 G2 06/32 FLOATING VAR                  | CUSIP: 36208ANP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43140 | PA      | $43088.01       | 0.00%             | 2032-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA3753 FR 01/56 FIXED 5                  | CUSIP: 3142JSE35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2731685 | PA      | $2696008.38     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2950 FN 04/45 FIXED 4                          | CUSIP: 3138YGH47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9703 | PA      | $9328.01        | 0.00%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR1 2A1A                | CUSIP: 23332UGM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8051298 | PA      | $6528581.03     | 0.00%             | 2046-04-19      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  MAY26C 113 EXP 04/24/2026                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2736 | NC      | $-364098.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q56083 FG 05/48 FIXED 3.5                | CUSIP: 3132XYXM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1125249 | PA      | $1046316.80     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC ALTERNATE LOAN TRUST 2005-5                        | DEUTSCHE ALT A SECURITIES INC DBALT 2005 5 1A5             | CUSIP: 251510HQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       887594 | PA      | $1826934.75     | 0.00%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-6327033.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 21 LTD                                                     | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 21A AR 144A           | CUSIP: 03331KAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     75350000 | PA      | $75380601.90    | 0.03%             | 2034-10-20      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES6                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES6 A1A 144A        | CUSIP: 749410AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17497197 | PA      | $17521582.71    | 0.01%             | 2044-09-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A9           | CUSIP: 02147BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3107063 | PA      | $1216807.84     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE1973 FN 07/55 FIXED 5.5                        | CUSIP: 3140BEFP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20892 | PA      | $21010.72       | 0.00%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.5836* 03/31/26-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $823887.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3149 FN 10/47 FIXED 4                          | CUSIP: 31418CQB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13203731 | PA      | $12652746.40    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B R 144A           | CUSIP: 78449HAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        12903 | PA      | $4850050.13     | 0.00%             | 2056-10-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A5 4A1                 | CUSIP: 46629CAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4092697 | PA      | $3276988.89     | 0.00%             | 2036-08-25      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-9                                                    | GSAA HOME EQUITY TRUST GSAA 2006 9 A4A                     | CUSIP: 362382AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2512169 | PA      | $614258.48      | 0.00%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260519                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-1700465.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH3099 FN 01/41 FIXED 4                          | CUSIP: 3138A4NR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17236 | PA      | $16644.98       | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEX BONOS DESARR FIX RT SR UNSECURED 11/34 7.75            | CUSIP: ACI087B66<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   5735230000 | PA      | $292969359.29   | 0.13%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                                  | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 02/28 4.95      | CUSIP: 368266AT9<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     15900000 | PA      | $13674000.00    | 0.01%             | 2028-02-06      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST-2004-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 7 2A1                  | CUSIP: 07386HKK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       404482 | PA      | $398206.85      | 0.00%             | 2034-08-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2268 FN 01/45 FIXED 4.5                        | CUSIP: 3138YFQW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60108 | PA      | $59119.32       | 0.00%             | 2045-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6844 FN 03/46 FIXED 4                          | CUSIP: 3138WGTA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1957186 | PA      | $1884215.64     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC. CORP 2002-AR28                                         | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR28 2A3          | CUSIP: 22541NNR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       102021 | PA      | $98096.25       | 0.00%             | 2032-11-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BF0610 GN 03/48 FIXED 3.5                        | CUSIP: 3617G6VB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       230749 | PA      | $216792.48      | 0.00%             | 2048-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC 2025 1ST AMENDMENT TERM LOAN                | CUSIP: 23803RAE1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |    216975983 | PA      | $215891102.62   | 0.10%             | 2032-01-05      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7778 FN 03/53 FIXED 5.5                        | CUSIP: 3140NCUC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1325978 | PA      | $1341461.27     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8580 FN 01/47 FIXED 3.5                        | CUSIP: 3138WJRA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38769592 | PA      | $36265708.16    | 0.02%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H17                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H17 FC             | CUSIP: 38376RXT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2553298 | PA      | $2563861.58     | 0.00%             | 2066-08-20      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2003-3                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2003 3 M1             | CUSIP: 542514EA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1597783 | PA      | $1598402.82     | 0.00%             | 2033-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE6                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE6 A1            | CUSIP: 59023XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13446886 | PA      | $6484877.58     | 0.00%             | 2037-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO 2022-1A                                                      | CAPITAL FOUR US CLO C4US 2022 1A AR 144A                   | CUSIP: 14016CAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     37500000 | PA      | $37622362.50    | 0.02%             | 2037-01-20      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                                   | WINSTON RE LTD UNSECURED 144A 02/31 VAR                    | CUSIP: 975660AB7<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |      4800000 | PA      | $5010240.00     | 0.00%             | 2031-02-26      | Floating      | 15.21%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 607020 FN 10/31 FIXED 6.5                        | CUSIP: 31388KK92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1062 | PA      | $1101.41        | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-3393.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-1                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 1 M3 144A         | CUSIP: 86358EQK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3327685 | PA      | $3309046.71     | 0.00%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2C               | CUSIP: 61753VAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28321750 | PA      | $8860456.72     | 0.00%             | 2037-02-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A3            | CUSIP: 05949CKS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48887 | PA      | $44896.45       | 0.00%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-2                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 2 2A2A                 | CUSIP: 07386HQX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       240287 | PA      | $201126.95      | 0.00%             | 2035-04-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP5                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP5 B 144A        | CUSIP: 17330EAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22340279 | PA      | $15962922.43    | 0.01%             | 2061-08-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2864 FN 01/47 FIXED 3.5                        | CUSIP: 31418CFE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21389 | PA      | $19905.74       | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP6269 FN 05/50 FIXED 4                          | CUSIP: 3140KD6F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       154799 | PA      | $147230.06      | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8145 FN 11/47 FIXED 4                          | CUSIP: 3140GXBP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       385991 | PA      | $371662.17      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KG03                | FHLMC MULTIFAMILY STRUCTURED P FHMS KG03 X1                | CUSIP: 3137FVEE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85743965 | PA      | $3938854.81     | 0.00%             | 2030-06-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0076 FR 12/55 FIXED 5.5                | CUSIP: 3142J6CN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1276506 | PA      | $1283604.87     | 0.00%             | 2055-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1368 FR 04/53 FIXED 6                  | CUSIP: 3133C1QV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7541076 | PA      | $7727839.98     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F022642<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -210150000 | PA      | $-176723015.63  | -0.08%            | 2056-04-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A3            | CUSIP: 14689MAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     91400000 | PA      | $91736077.80    | 0.04%             | 2030-05-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 701043 FN 04/33 FLOATING VAR                     | CUSIP: 31400XZG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          648 | PA      | $658.67         | 0.00%             | 2033-04-01      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S CHOICE HOME LOAN SECURITIES TRUST SERIES 2004-2                         | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2004 2 M3             | CUSIP: 71085PAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4023776 | PA      | $3730010.10     | 0.00%             | 2034-10-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS0655 FR 08/32 FIXED 6.5                | CUSIP: 3132A0WQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1794 | PA      | $1860.96        | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-147544.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9487 FN 05/47 FIXED 4                          | CUSIP: 3138WKRH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39590 | PA      | $37962.56       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6879 FN 03/46 FIXED 3.5                        | CUSIP: 3138WGUD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126574 | PA      | $118759.12      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ2093 FR 05/54 FIXED 6.5                | CUSIP: 3142GSKF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7806708 | PA      | $8078738.94     | 0.00%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2005-AR2                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2005 AR2 5A1           | CUSIP: 251510GV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       142928 | PA      | $121400.44      | 0.00%             | 2035-10-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES / NOTE COMPANY GUAR 144A 09/26 4.5         | CUSIP: 92564RAH8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     16083000 | PA      | $16066333.67    | 0.01%             | 2026-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX2464 FN 12/52 FIXED 5.5                        | CUSIP: 3140N6W24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3409470 | PA      | $3443462.49     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 08/32 6.15                 | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    159768000 | PA      | $48013500.11    | 0.02%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-2944837.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/36 4.125                                | CUSIP: 91282CPZ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    282800000 | PA      | $278403342.34   | 0.12%             | 2036-02-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260526                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1060715.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-B                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 B A2                 | CUSIP: 59020UWV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        53409 | PA      | $53093.90       | 0.00%             | 2030-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0619 FN 10/47 FIXED 4                          | CUSIP: 3140Q7VM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46532 | PA      | $44712.14       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NRZT 2019-5A                                                                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 5A B2 144A         | CUSIP: 64830MCA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21790764 | PA      | $21101162.65    | 0.01%             | 2059-08-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | NEW WINDSTREAM WARRANTS                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      1195360 | NC      | $11200523.20    | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-473564.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43734 FG 10/46 FIXED 3                  | CUSIP: 3132WHEG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       502438 | PA      | $452133.60      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2412                                                                 | FREDDIE MAC FHR 2412 SP                                    | CUSIP: 31339DW95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4576 | PA      | $4945.56        | 0.00%             | 2032-02-15      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA2572 FR 01/56 FIXED 5                  | CUSIP: 3142JQ2E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18386634 | PA      | $18156475.07    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5201 FN 09/47 FIXED 3.5                        | CUSIP: 3140GTX70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       449980 | PA      | $421130.43      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A R 144A                          | CUSIP: ACI2M1B28<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     40795000 | PA      | $49769397.84    | 0.02%             | 2035-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH3088 FN 05/47 FIXED 4                          | CUSIP: 3140GRNE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       405631 | PA      | $388705.01      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $73778.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN6213 FN 03/49 FIXED 4                          | CUSIP: 3140JN3X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       477413 | PA      | $456312.28      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ6653 FR 10/54 FIXED 5.5                | CUSIP: 3133CXMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       207766 | PA      | $208956.85      | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                                | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA A 144A              | CUSIP: 647622AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1100000 | PA      | $1089301.29     | 0.00%             | 2032-04-15      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $9644103.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5614 FN 02/55 FIXED 5.5                        | CUSIP: 31418FGY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69959142 | PA      | $70349946.11    | 0.03%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AFC HOME EQUITY LOAN TRUST 1999-1                                                | AFC HOME EQUITY LOAN TRUST AFC 1999 1 1A1                  | CUSIP: 00105HDX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62305 | PA      | $61261.74       | 0.00%             | 2029-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3101 FN 08/47 FIXED 4.5                        | CUSIP: 31418CNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7536 | PA      | $7418.57        | 0.00%             | 2047-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2005-2                                          | POPULAR ABS MORTGAGE PASS THRO POPLR 2005 2 M1             | CUSIP: 73316PCK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1132658 | PA      | $1124678.76     | 0.00%             | 2035-04-25      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                                    | PURPLE RE LTD UNSECURED 144A 06/27 VAR                     | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     20100000 | PA      | $20735160.00    | 0.01%             | 2027-06-07      | Floating      | 12.68%                | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ACQUISITION TR 2007-A                                          | BAYVIEW FINANCIAL ACQUISITION BAYV 2007 A 2A               | CUSIP: 07325VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2650602 | PA      | $2542897.14     | 0.00%             | 2037-05-28      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.00000 09/18/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-65525122.03   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-625112.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9279 FN 02/48 FIXED 3.5                        | CUSIP: 3140HBJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       848197 | PA      | $787531.17      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A6A1          | CUSIP: 251513BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       493550 | PA      | $429850.13      | 0.00%             | 2036-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7391 FN 04/55 FIXED 5                          | CUSIP: 3140B8F97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1052425 | PA      | $1046055.05     | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA0469 FN 01/53 FIXED VAR                        | CUSIP: 3140W0QX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       683770 | PA      | $719871.61      | 0.00%             | 2053-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                                   | FREMONT HOME LOAN TRUST FHLT 2006 E 2A4                    | CUSIP: 35729NAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21252075 | PA      | $9738491.38     | 0.00%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF9475 FN 01/56 FIXED 5                          | CUSIP: 3140U1Q57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10156485 | PA      | $10024461.60    | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q32667 FG 04/45 FIXED 3                  | CUSIP: 3132QN6D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       124842 | PA      | $113860.13      | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/27 6.259                     | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     71656000 | PA      | $72913331.35    | 0.03%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES4                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES4 A1A 144A        | CUSIP: 74939FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45609769 | PA      | $45957014.13    | 0.02%             | 2044-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB2 4A1                  | CUSIP: 126694D70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       186461 | PA      | $163129.42      | 0.00%             | 2036-04-20      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 4A1           | CUSIP: 161630AN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9797 | PA      | $9894.96        | 0.00%             | 2037-02-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG8691 FR 08/53 FIXED 4.5                | CUSIP: 3133C9UQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1113815 | PA      | $1080628.69     | 0.00%             | 2053-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 B2 144A      | CUSIP: 36265TAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12126000 | PA      | $10551429.20    | 0.00%             | 2061-06-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-3                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M2             | CUSIP: 07388GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1344774 | PA      | $1329214.75     | 0.00%             | 2036-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 2 A 144A          | CUSIP: 694961AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3529973 | PA      | $3532024.28     | 0.00%             | 2031-08-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 6A1                 | CUSIP: 466247ZB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       640930 | PA      | $496317.62      | 0.00%             | 2035-11-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGGE ACQUIS CORP 2005-OPT2                                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 OPT2 M5          | CUSIP: 46626LEQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8591000 | PA      | $8194169.68     | 0.00%             | 2035-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-19660.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP MYI                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $79.28          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1911 FN 06/48 FIXED 4.5                        | CUSIP: 3140Q9DR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       411599 | PA      | $404511.19      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A         | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       156134 | PA      | $140657.94      | 0.00%             | 2046-12-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A1                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A1 1A2            | CUSIP: 12566QAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6106054 | PA      | $5041684.30     | 0.00%             | 2037-01-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DG0008 FN 01/56 FIXED 5                          | CUSIP: 3140U3AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8234899 | PA      | $8129462.24     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2005 HE5 M3                | CUSIP: 61744CUU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       249235 | PA      | $239367.18      | 0.00%             | 2035-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TRUST                                                      | UPX HIL 2025 1 ISSUER TRUST UPXHI 2025 1 A 144A            | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11000877 | PA      | $10963887.93    | 0.00%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9831 FN 06/47 FIXED 4                          | CUSIP: 3138WK4R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3484781 | PA      | $3339375.69     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ3326 FN 11/41 FIXED 4                          | CUSIP: 3138AUVU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2082195 | PA      | $2012148.71     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE TRUST 2018-1A                                           | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 1A B4C 144A        | CUSIP: 64830GBP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7659036 | PA      | $7293209.31     | 0.00%             | 2057-12-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-ACC1                                   | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 ACC1 M2          | CUSIP: 46628RAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2093306 | PA      | $2028875.43     | 0.00%             | 2036-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A Y 144A             | CUSIP: ACI2DKH38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          950 | PA      | $19719924.63    | 0.01%             | 2053-03-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                                              | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR               | CUSIP: 539694AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      6700000 | PA      | $6700000.00     | 0.00%             | 2033-04-11      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| ATLAS FUNDING 2023-1 PLC 23-1                                                    | ATLAS FUNDING AFUND 2023 1 A REGS                          | CUSIP: ACI2FGGP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      4528847 | PA      | $6005722.02     | 0.00%             | 2061-01-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL6567 FN 10/44 FIXED VAR                        | CUSIP: 3138EPJM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3768 | PA      | $3719.36        | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH9537 FN 05/26 FIXED 4                          | CUSIP: 3138ABS34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            4 | PA      | $4.33           | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7511 FR 01/50 FIXED 3.5                | CUSIP: 3132DVKY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7440 | PA      | $6933.67        | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3245 FN 07/55 FIXED 5                          | CUSIP: 3140BFTB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1169467 | PA      | $1155624.19     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A B 144A          | CUSIP: 83407UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9528000 | PA      | $9609218.58     | 0.00%             | 2034-03-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260602                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $376242.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE3 A2D               | CUSIP: 61749HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10521486 | PA      | $10222778.66    | 0.00%             | 2036-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 03/19/25-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $55289899.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                                | BLUE RIDGE RE LTD UNSECURED 144A 01/31 VAR                 | CUSIP: 096003AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     22908000 | PA      | $23123335.20    | 0.01%             | 2031-01-08      | Floating      | 8.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3943 FN 12/55 FIXED 5                          | CUSIP: 3140BULZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1037941 | PA      | $1024491.38     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA3872 FR 01/56 FIXED 5                  | CUSIP: 3142JSJS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15501861 | PA      | $15302265.47    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE6                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE6 A2A           | CUSIP: 59023XAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5570778 | PA      | $1679996.66     | 0.00%             | 2037-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 1A           | CUSIP: 93363QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4840481 | PA      | $4238011.39     | 0.00%             | 2046-11-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5935 FN 10/45 FIXED 4                          | CUSIP: 3138WFSZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2211750 | PA      | $2126778.55     | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-3A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 3A A2 144A        | CUSIP: 39571WAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18500000 | PA      | $18462567.10    | 0.01%             | 2060-12-27      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260417                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $131189.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55277 FG 04/48 FIXED 3.5                | CUSIP: 3132XX2K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1657375 | PA      | $1540590.45     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-1                                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 1A A2 144A        | CUSIP: 37988XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6316595 | PA      | $6352857.46     | 0.00%             | 2030-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.3537 05/12/25-01/02/29 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-11750473.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260430                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-760768.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A          | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       663481 | PA      | $653151.62      | 0.00%             | 2034-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 21 A2                     | CUSIP: 12543PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1297181 | PA      | $542625.78      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3           | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25147291 | PA      | $5712546.73     | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 948690 FN 08/37 FIXED 6                          | CUSIP: 31413LNF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       108959 | PA      | $114046.92      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S9                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S9 1A1            | CUSIP: 74958VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       288511 | PA      | $128878.18      | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC3 TRUST                                                            | PRKCM TRUST PRKCM 2023 AFC3 A1 144A                        | CUSIP: 693984AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20274194 | PA      | $20329860.94    | 0.01%             | 2058-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 931133 FN 05/39 FIXED 4.5                        | CUSIP: 31412PPS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8034552 | PA      | $7955938.35     | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7620 FN 08/47 FIXED 3.5                        | CUSIP: 3140GWPE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       200555 | PA      | $187351.93      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-26373702.11   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4171 FN 12/44 FIXED 4                          | CUSIP: 3138WDT50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       153343 | PA      | $147744.21      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO8913 FN 01/50 FIXED 3.5                        | CUSIP: 3140K43X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       837660 | PA      | $778106.34      | 0.00%             | 2050-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A4            | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     20300000 | PA      | $20454556.08    | 0.01%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BUILDING SOC CCDS COMMON STOCK                  | CUSIP: ACI07BWB4<br>LEI: 549300XFX12G42QIKN82 | Long             | EP               | CORP              | GB        |        96300 | NS      | $16315228.69    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ1870 FN 06/45 FIXED 4                          | CUSIP: 3138YTCG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7794 | PA      | $7511.71        | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-27762585.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2023 RPL2 SA 144A      | CUSIP: 36270PAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1289185 | PA      | $1219206.87     | 0.00%             | 2063-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SHACKLETON CLO LTD 2019-14A                                                      | SHACKLETON CLO LTD SHACK 2019 14A A1RR 144A                | CUSIP: 81880XAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     66800000 | PA      | $66888874.06    | 0.03%             | 2034-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM6785 FN 09/27 FIXED VAR                        | CUSIP: 3140XARF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           92 | PA      | $91.15          | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6017 FR 07/53 FIXED 5                  | CUSIP: 3133C6VJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       250101 | PA      | $247333.22      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR1 1A1                   | CUSIP: 36242DUL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       128039 | PA      | $123004.65      | 0.00%             | 2035-01-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 4 A1A 144A             | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61978692 | PA      | $62076717.48    | 0.03%             | 2064-10-27      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XX LTD / PREFERRED TERM SECURITIES XX INC              | PREFERRED TERM SECS XX SR SECURED 144A 03/38 VAR           | CUSIP: 74042DAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      7004194 | PA      | $6391327.40     | 0.00%             | 2038-03-22      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A2            | CUSIP: 93935BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1335826 | PA      | $272472.49      | 0.00%             | 2036-07-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 3A1                  | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        89454 | PA      | $77711.96       | 0.00%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS8117 FR 07/33 FIXED 3                  | CUSIP: 3132A9AS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       148834 | PA      | $144705.40      | 0.00%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1704 FN 05/40 FIXED VAR                        | CUSIP: 3138EH3N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1298 | PA      | $1376.59        | 0.00%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                 | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B C 144A         | CUSIP: 02007G4D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2653218 | PA      | $2672375.17     | 0.00%             | 2032-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8282 FN 11/46 FIXED 3.5                        | CUSIP: 3138WJFY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       127157 | PA      | $118864.64      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL1 PT 144A      | CUSIP: 36268LAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362013193 | PA      | $334089341.52   | 0.15%             | 2063-07-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6165 FN 01/48 FIXED 3.5                        | CUSIP: 3140H7Z75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       169874 | PA      | $157706.77      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF5                                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF5 M4             | CUSIP: 32027NRW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8589293 | PA      | $8332127.23     | 0.00%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BI1114 G2 07/48 FIXED 4                       | CUSIP: 3617HAGX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       359503 | PA      | $338700.29      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4962 FN 03/42 FIXED 4                          | CUSIP: 3138E9QQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4468726 | PA      | $4322301.52     | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2002-4                                            | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 4 M3              | CUSIP: 03072SDK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       851215 | PA      | $821440.15      | 0.00%             | 2033-02-25      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICA TREASURY BILL 7.93  13.05.2026                | CUSIP: ACI2X3D53<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    337910000 | PA      | $19845205.03    | 0.01%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-4                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 4 2A3             | CUSIP: 225458PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2945290 | PA      | $1985243.24     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                         | FLORA FOOD MANAGEMENT BV SR SECURED 144A 07/29 6.875       | CUSIP: ACI2PNX49<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |     72600000 | PA      | $78866516.78    | 0.04%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-C                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 C 2A2            | CUSIP: 05949AY87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        73136 | PA      | $72733.25       | 0.00%             | 2035-04-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2003-BC4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 BC4 M1             | CUSIP: 126671F84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        54978 | PA      | $54962.27       | 0.00%             | 2033-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $3018743.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-35859.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1            | CUSIP: 25151WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20097225 | PA      | $14256296.40    | 0.01%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 468302 GN 01/28 FIXED 6.49                       | CUSIP: 36209DGK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17443 | PA      | $17534.94       | 0.00%             | 2028-01-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO I LTD 2021-1A                                                | CAPITAL FOUR US CLO C4US 2021 1A AR 144A                   | CUSIP: 14016TAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    100000000 | PA      | $99850007.00    | 0.04%             | 2035-01-18      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q57442 FG 07/48 FIXED 3.5                | CUSIP: 3132Y1HU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2157423 | PA      | $2009423.38     | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3890 FN 01/40 FIXED 3                          | CUSIP: 31418DKC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36490 | PA      | $34083.62       | 0.00%             | 2040-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC7847 FN 01/55 FIXED 7                          | CUSIP: 3140AVWH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6265659 | PA      | $6593007.27     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL4                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL4 PT 144A      | CUSIP: 36272VAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    140868919 | PA      | $126176727.70   | 0.06%             | 2065-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-2A LTD                                           | PALMER SQUARE LOAN FUNDING LTD PSTAT 2024 2A A1R 144A      | CUSIP: 69702WAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    118500000 | PA      | $118364428.89   | 0.05%             | 2033-01-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 B 144A        | CUSIP: 17329NAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27534557 | PA      | $14592668.15    | 0.01%             | 2065-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 672786 FN 09/32 FIXED 6.5                        | CUSIP: 31391PNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          440 | PA      | $454.73         | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4920 FN 02/53 FIXED 6                          | CUSIP: 31418EPE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       577685 | PA      | $592645.11      | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-6F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 6F 1A1                    | CUSIP: 36298BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5055 | PA      | $0.05           | 0.00%             | 2036-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM36 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $2793507.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260417                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-29895.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX6655 FR 02/55 FIXED 7                  | CUSIP: 31426CMD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1474691 | PA      | $1552687.79     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A2                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A2 1A6            | CUSIP: 761120AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       516462 | PA      | $247412.96      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1Q0313 FH 09/37 FLOATING VAR             | CUSIP: 3128S4K22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          517 | PA      | $529.21         | 0.00%             | 2037-09-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08799 FG 02/48 FIXED 3                  | CUSIP: 3128MJ3H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        71930 | PA      | $64496.73       | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CROSS 2025-H8 MORTGAGE TRUST 2025-H8                                             | CROSS MORTGAGE TRUST CROSS 2025 H8 A1 144A                 | CUSIP: 22757XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14855312 | PA      | $14791628.83    | 0.01%             | 2070-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/29 2.5                                  | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     27154744 | PA      | $28176374.96    | 0.01%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-HE3                                            | STRUCTURED ASSET INVESTMENT LO SAIL 2005 HE3 M2            | CUSIP: 86358EWY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17664733 | PA      | $16247044.49    | 0.01%             | 2035-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| KKR CLO 42A LTD                                                                  | KKR FINANCIAL CLO LTD KKR 42A AR 144A                      | CUSIP: 48255EAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     95400000 | PA      | $95516408.99    | 0.04%             | 2034-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/28 3                | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     85600000 | PA      | $82864823.20    | 0.04%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 12 2A1           | CUSIP: 07384M6H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       339372 | PA      | $335687.23      | 0.00%             | 2035-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3704 FR 11/26 FIXED 3                  | CUSIP: 3131X7DH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2284 | PA      | $2272.39        | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-15                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 15 3A11          | CUSIP: 41161PXM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1863707 | PA      | $1407724.71     | 0.00%             | 2045-10-20      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| BRIGHTHOUSE HOLDINGS LLC                                                         | BRIGHTHOUSE HLDGS LLC JR SUBORDINA 144A VAR                | CUSIP: 10924BAA5<br>LEI: N/A                  | Long             | EP               | CORP              | US        |      5245000 | NS      | $4464914.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TRUST-2005-11                                         | STRUCTURED ASSET INVESTMENT LO SAIL 2005 11 M1             | CUSIP: 86358EZU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42226567 | PA      | $35779448.23    | 0.02%             | 2036-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC3059 FN 09/54 FIXED 5.5                        | CUSIP: 3140AQMH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       596529 | PA      | $600107.82      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-P5                                      | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 P5 XA             | CUSIP: 17325DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206785269 | PA      | $119956.13      | 0.00%             | 2049-10-10      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                         | LLOYDS BANKING GROUP PLC SR UNSECURED 01/28 VAR            | CUSIP: 53944YAZ6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     20100000 | PA      | $20250550.21    | 0.01%             | 2028-01-05      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 B A1A 144A         | CUSIP: 83208BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     70463820 | PA      | $70567866.47    | 0.03%             | 2053-03-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| RONDA RMBS DAC 2025-1A                                                           | RONDA RMBS DESIGNATED ACTIVITY RONDA 2025 1A RFN 144A      | CUSIP: ACI34XG39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      7181000 | PA      | $6301760.68     | 0.00%             | 2075-10-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2007-AB1                                          | SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A1            | CUSIP: 84752CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26616028 | PA      | $12558179.31    | 0.01%             | 2037-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 1A1          | CUSIP: 32056JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22919 | PA      | $8759.06        | 0.00%             | 2037-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 08/29 11                        | CUSIP: 990ACHBC2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        | 900000000000 | PA      | $226917643.22   | 0.10%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ2833 FR 09/55 FIXED 5.5                | CUSIP: 31427AEF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       496967 | PA      | $499743.12      | 0.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 XS 144A         | CUSIP: 52473LAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    681954554 | PA      | $4460460.15     | 0.00%             | 2056-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY9989 FR 07/55 FIXED 5                  | CUSIP: 31426VC34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4845744 | PA      | $4791054.67     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW5722 FN 09/44 FIXED 4                          | CUSIP: 3138XVLC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2132 | PA      | $2054.17        | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-95                                                               | FANNIE MAE FNR 2006 95 SH                                  | CUSIP: 31396K4L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       585272 | PA      | $54149.85       | 0.00%             | 2036-10-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8055 FN 04/47 FIXED 4                          | CUSIP: 3140FT5R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1136359 | PA      | $1086606.21     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2006-1X                                                      | LUDGATE FUNDING PLC LGATE 2006 1X A2A REGS                 | CUSIP: ACI00QMR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      4489514 | PA      | $5888247.30     | 0.00%             | 2060-12-01      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH2 M2           | CUSIP: 17312BAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16038913 | PA      | $15978669.44    | 0.01%             | 2037-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006 GP4                                                         | LEHMAN XS TRUST LXS 2006 GP4 1A1                           | CUSIP: 525161AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4112290 | PA      | $3798679.71     | 0.00%             | 2046-08-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7984 FN 03/53 FIXED 5                          | CUSIP: 3140NC2S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70928 | PA      | $70291.26       | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4696 FR 12/46 FIXED 2.5                | CUSIP: 3132A5GD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120021 | PA      | $103996.49      | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2019-4A                                                           | PIKES PEAK CLO PIPK 2019 4A ARR 144A                       | CUSIP: 72132WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     46500000 | PA      | $46562258.39    | 0.02%             | 2034-07-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-INV1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 INV1 PT 144A      | CUSIP: 17331TDJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206036495 | PA      | $213312735.67   | 0.09%             | 2054-01-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.86000 02/21/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1366168.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 2A             | CUSIP: 07384MQ88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        65750 | PA      | $62942.38       | 0.00%             | 2034-07-25      | Variable      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG9296 FR 08/53 FIXED 6                  | CUSIP: 3133CAKH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5952834 | PA      | $6109108.31     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FINANCE AMERICA MORTGAGE LOAN TR 2003-1                                          | FINANCE AMERICA MORTGAGE LOAN FINA 2003 1 M1               | CUSIP: 317350AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55640 | PA      | $55496.11       | 0.00%             | 2033-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55             | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    346518500 | PA      | $341944476.59   | 0.15%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB8159 FN 03/54 FIXED 6                          | CUSIP: 3140QUB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15444876 | PA      | $15974857.61    | 0.01%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                                             | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A M1 144A       | CUSIP: 07325QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1568424 | PA      | $1589452.18     | 0.00%             | 2037-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A2            | CUSIP: 05949AH94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59957 | PA      | $58940.82       | 0.00%             | 2035-02-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2172 FN 10/55 FIXED 5                          | CUSIP: 3140BSMW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3310190 | PA      | $3268756.07     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ3                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ3 M6                | CUSIP: 70069FJU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4641000 | PA      | $4149312.04     | 0.00%             | 2035-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVC SEC 2005-CB8                                            | CREDIT BASED ASSET SERVICING A CBASS 2005 CB8 M1           | CUSIP: 12489WQH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19631000 | PA      | $18295603.19    | 0.01%             | 2035-12-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-2 SP BOA                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-236142.24     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                                     | ACE SECURITIES CORP. ACE 2007 HE2 A1                       | CUSIP: 00443PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5234202 | PA      | $4890162.24     | 0.00%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 1 1A1                  | CUSIP: 07386HFE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30049 | PA      | $28750.47       | 0.00%             | 2034-02-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50948 FG 09/47 FIXED 4                  | CUSIP: 3132XTBS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4910428 | PA      | $4724788.66     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-AC5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AC5 1A4          | CUSIP: 073879ZZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2413139 | PA      | $1362761.41     | 0.00%             | 2035-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 24A1          | CUSIP: 86360KAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       149091 | PA      | $27288.62       | 0.00%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MV CREDIT EURO CLO III DAC 3A                                                    | MV CREDIT EURO CLO MVCLO 3A AR 144A                        | CUSIP: ACI35DCS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     48300000 | PA      | $55826638.90    | 0.02%             | 2038-02-15      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE8866 FN 09/55 FIXED 5                          | CUSIP: 3140BMZ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5256203 | PA      | $5187963.72     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H03                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H03 FA             | CUSIP: 38376RNM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       647092 | PA      | $648945.70      | 0.00%             | 2066-01-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BUMPER NL 2024-1 BV 24-NL1                                                       | BUMPER BUMP 2024 NL1 A REGS                                | CUSIP: ACI2QYK06<br>LEI: N/A                  | Long             | ABS-O            | CORP              | NL        |      5221953 | PA      | $6042079.11     | 0.00%             | 2036-03-21      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0668 FN 03/31 FIXED 4.5                        | CUSIP: 31417YW60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4318 | PA      | $4330.41        | 0.00%             | 2031-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-2770241.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURIT 06/48 1                       | CUSIP: ACI2PHN19<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     24419505 | PA      | $32445463.40    | 0.01%             | 2048-06-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4031 FN 02/48 FIXED 3.5                        | CUSIP: 3140H5PR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       118632 | PA      | $110493.28      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2006-3                                                   | HOME EQUITY ASSET TRUST HEAT 2006 3 M2                     | CUSIP: 437084UT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4612372 | PA      | $4428985.82     | 0.00%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.17 04/01/24-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-27254709.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-BC5                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC5 M5             | CUSIP: 126670NJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7533354 | PA      | $7526902.02     | 0.00%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-321766.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2006-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2006 1 A2B            | CUSIP: 64352VQR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5081588 | PA      | $5082433.86     | 0.00%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-WF1                                              | HSI ASSET SECURITIZATION CORPO HASC 2007 WF1 M1            | CUSIP: 40431RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1422292 | PA      | $1426478.63     | 0.00%             | 2037-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $735770.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.51042 09/03/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $279395.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 A4A 144A     | CUSIP: 36263MAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17645392 | PA      | $14573990.72    | 0.01%             | 2052-03-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 655780 FN 08/32 FIXED 6.5                        | CUSIP: 31390TQ93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          250 | PA      | $258.78         | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST II 2007-1                                               | BEAR STEARNS ALT A TRUST II BSAAT 2007 1 1A1               | CUSIP: 07389KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17406767 | PA      | $8136857.44     | 0.00%             | 2047-09-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| DRYDEN EURO CLO 20-74A                                                           | DRYDEN LEVERAGED LOAN CDO DRYD 2020 74A AR 144A            | CUSIP: ACI2Z96Y3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     76700000 | PA      | $88602931.05    | 0.04%             | 2039-10-18      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A F 144A                       | CUSIP: ACI2V59C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     16380000 | PA      | $21588357.17    | 0.01%             | 2056-08-28      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I 2007-T25                                                | MORGAN STANLEY CAPITAL I TRUST MSC 2007 T25 X 144A         | CUSIP: 61751XAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23897 | PA      | $0.24           | 0.00%             | 2049-11-12      | Variable      | 0.65%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO II LTD 2021-2A                                                   | SILVER ROCK CLO LTD SLVRK 2021 2A AR 144A                  | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     59400000 | PA      | $59419828.31    | 0.03%             | 2035-01-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD8143 FN 05/55 FIXED 5                          | CUSIP: 3140B9BM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10781065 | PA      | $10646109.16    | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.50000 03/18/26-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-104897353.07  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $39356.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB1                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF2          | CUSIP: 1248MGAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19067983 | PA      | $5178425.61     | 0.00%             | 2037-01-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260602                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $970023.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4711 FR 02/47 FIXED 2.5                | CUSIP: 3132A5GU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34455 | PA      | $29858.09       | 0.00%             | 2047-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9277 FN 05/43 FIXED 4                          | CUSIP: 31417GJX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       465287 | PA      | $449770.82      | 0.00%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2005-1                                                           | FIRST NLC TRUST FNLC 2005 1 M6                             | CUSIP: 32113JAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       986929 | PA      | $9.87           | 0.00%             | 2035-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-5                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 5 M4               | CUSIP: 126673V33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1281168 | PA      | $1278695.27     | 0.00%             | 2035-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL1 A2C          | CUSIP: 17311VAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4307641 | PA      | $4285731.92     | 0.00%             | 2036-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-DA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2020 DA A 144A            | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       154542 | PA      | $147678.97      | 0.00%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX1405 FR 11/54 FIXED 5                  | CUSIP: 31425VR39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8409217 | PA      | $8302580.09     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2929749.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.50800 07/25/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-18091806.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0803 FN 11/47 FIXED 4                          | CUSIP: 3140H13M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       171152 | PA      | $163407.38      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847305 FH 09/33 FLOATING VAR             | CUSIP: 3128JRDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          689 | PA      | $703.30         | 0.00%             | 2033-09-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SEC 2006-2                                         | CITICORP RESIDENTIAL MORTGAGE CRMSI 2006 2 M2              | CUSIP: 17310EAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5580000 | PA      | $5250241.53     | 0.00%             | 2036-09-25      | Variable      | 6.45%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D A1B 144A         | CUSIP: 78450PAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     99708472 | PA      | $101488895.90   | 0.05%             | 2053-09-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICA TREASURY BILL SOUTH AFRICAN T BILLS 7.775  2  | CUSIP: ACI2YZPV1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1904100000 | PA      | $110485861.47   | 0.05%             | 2026-07-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-50CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 50CB 1A1         | CUSIP: 12668ALH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1277992 | PA      | $1033831.61     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 B1 144A       | CUSIP: 173114AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12710050 | PA      | $12116859.26    | 0.01%             | 2070-03-01      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6927 FR 06/53 FIXED 5                  | CUSIP: 3133C7VU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       343313 | PA      | $340939.09      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2014-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 11 2A2 144A       | CUSIP: 17323JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27425066 | PA      | $10842883.87    | 0.00%             | 2036-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4941 FN 03/53 FIXED 5.5                        | CUSIP: 31418EP38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9246454 | PA      | $9331112.09     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSMC MORTGAGE-BACKED TRUST 2006-5                                                | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 5 2A1               | CUSIP: 12637VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7483563 | PA      | $4133878.98     | 0.00%             | 2036-06-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2636 FN 11/55 FIXED 5                          | CUSIP: 3140BS4W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       133959 | PA      | $132240.17      | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1257 FN 04/37 FIXED VAR                        | CUSIP: 3140J5MF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38550 | PA      | $35999.12       | 0.00%             | 2037-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12                             | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE12 M3          | CUSIP: 0738795S3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       339988 | PA      | $340205.35      | 0.00%             | 2035-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.52738 09/03/24-25Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2728674.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CDC MORTGAGE CAPITAL TRUST 2004-HE3                                              | CDC MORTGAGE CAPITAL TRUST CDCMC 2004 HE3 M1               | CUSIP: 12506YDF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10011 | PA      | $13499.26       | 0.00%             | 2034-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.45000 05/05/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2837110.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD 2025-1                                                          | SUNBIT ASSET SECURITIZATION TR SUNBT 2025 1 A 144A         | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31900000 | PA      | $31949920.31    | 0.01%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A B 144A        | CUSIP: ACI309NN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     20700000 | PA      | $23958933.35    | 0.01%             | 2035-07-15      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| BECKETT MORTGAGES 2026-1 DAC 26-1A                                               | BECKETT MORTGAGES BECKS 2026 1A F 144A                     | CUSIP: ACI38PPY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      3977000 | PA      | $4635843.30     | 0.00%             | 2071-07-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A            | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     28472524 | PA      | $29453242.60    | 0.01%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 1A1             | CUSIP: 007036HU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       127419 | PA      | $124698.19      | 0.00%             | 2035-07-25      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1658 FN 04/48 FIXED 4                          | CUSIP: 3140Q8ZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36059 | PA      | $34552.60       | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 4A1            | CUSIP: 61749CAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6938674 | PA      | $3703118.92     | 0.00%             | 2036-05-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A9                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A9 A3             | CUSIP: 45660LTQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3613965 | PA      | $2072355.35     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A5                                | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A5 1O 144A     | CUSIP: 63546FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61425000 | PA      | $9212521.50     | 0.00%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $85074.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC ALTERNATE LOAN TRUST 2005-5                        | DEUTSCHE ALT A SECURITIES INC DBALT 2005 5 1A3             | CUSIP: 251510HN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14929 | PA      | $30671.51       | 0.00%             | 2035-11-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  DEC26 XCME 20270316                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         3135 | NC      | $-1515503.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                                                 | GRIFONAS FINANCE PLC GRIF 1 A REGS                         | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7479557 | PA      | $8499305.72     | 0.00%             | 2039-08-28      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                                       | ARES CLO LTD ARES 2013 2A AR3 144A                         | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     84300000 | PA      | $84402297.21    | 0.04%             | 2034-10-28      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR6 A1            | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       237943 | PA      | $234588.23      | 0.00%             | 2033-06-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2049 FR 08/55 FIXED 5.5                | CUSIP: 31427PH31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39860195 | PA      | $40585907.83    | 0.02%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8456 FR 08/54 FIXED 7                  | CUSIP: 3132DWMD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       699116 | PA      | $735074.74      | 0.00%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ5078 FR 10/55 FIXED 5                  | CUSIP: 31427CUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9528954 | PA      | $9411835.92     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7102 FR 07/28 FIXED 3                  | CUSIP: 3132A73K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29590 | PA      | $29355.60       | 0.00%             | 2028-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RESLOC UK PLC 2007-1X                                                            | RESLOC UK PLC RLOC 2007 1X A3A REGS                        | CUSIP: B1XCDGII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3113790 | PA      | $3509141.33     | 0.00%             | 2043-12-15      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING 2015-R1                                                  | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R1 A2 144A        | CUSIP: 059527AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27351176 | PA      | $21370340.79    | 0.01%             | 2037-05-26      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A                  | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80898062 | PA      | $53111138.95    | 0.02%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1583 FR 06/55 FIXED 5.5                | CUSIP: 31427NXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     79883202 | PA      | $81274129.55    | 0.04%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ1                                              | PARK PLACE SECURITIES INC PPSI 2004 WHQ1 M6                | CUSIP: 70069FBW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3062449 | PA      | $2755505.74     | 0.00%             | 2034-09-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICAN T BILLS BILLS 10/26 0.00000                  | CUSIP: ACI34TTF7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    414000000 | PA      | $23557844.72    | 0.01%             | 2026-10-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0303 FN 10/46 FIXED 4                          | CUSIP: 3140FKKR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       136460 | PA      | $130807.86      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3339 FN 11/55 FIXED 5                          | CUSIP: 3140BTV93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7428871 | PA      | $7336558.61     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX4072 FR 01/55 FIXED 5                  | CUSIP: 31425YQ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1757568 | PA      | $1736650.06     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-100                                                       | FANNIE MAE FNR 2012 100 UI                                 | CUSIP: 3136A8PW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       821759 | PA      | $11254.49       | 0.00%             | 2027-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                               | VENTURE GLOBAL PLAQUE SR SECURED 144A 12/30 6.125          | CUSIP: 922966AE6<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    101800000 | PA      | $104749756.80   | 0.05%             | 2030-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM5420 FR 01/48 FIXED 4                  | CUSIP: 3131Y0AV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       416528 | PA      | $399148.60      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                              | SPACE COAST CREDIT UNION SCCU 2023 1A A4 144A              | CUSIP: 805922AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12200000 | PA      | $12406304.44    | 0.01%             | 2029-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0823 FN 04/46 FIXED 3.5                        | CUSIP: 3140EU4H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87012 | PA      | $81571.87       | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-362                                                             | FREDDIEMAC STRIP FHS 362 C5                                | CUSIP: 31325W4Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18071190 | PA      | $2673802.72     | 0.00%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A1           | CUSIP: 44328AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2097115 | PA      | $711773.25      | 0.00%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-WF1                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M3              | CUSIP: 65536RAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4024000 | PA      | $3965388.03     | 0.00%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2007-FS1                            | BEAR STEARNS ASSET BACKED SECU BSABS 2007 FS1 1A4          | CUSIP: 073855AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23886666 | PA      | $23319339.00    | 0.01%             | 2037-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 9 A13                     | CUSIP: 12544XAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       973921 | PA      | $429822.52      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE3                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE3 1A1             | CUSIP: 65536QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17336566 | PA      | $16447349.57    | 0.01%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVIII LTD/PREFERRED TERM SECURITIES XXVIII INC        | PREF TERM SEC XXVIII LTD SECURED 144A 03/38 VAR            | CUSIP: 74042CAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     16803677 | PA      | $15207327.73    | 0.01%             | 2038-03-22      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2007-HE1                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2007 HE1 A3            | CUSIP: 45073DAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31294433 | PA      | $6318505.71     | 0.00%             | 2037-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4347 FN 06/27 FIXED 3                          | CUSIP: 3138E8ZM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5488 | PA      | $5433.97        | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5853 FN 12/46 FIXED 3.5                        | CUSIP: 3140FRQF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15744 | PA      | $14756.03       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-RP3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP3 SA 144A       | CUSIP: 17291MAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       138196 | PA      | $137081.85      | 0.00%             | 2062-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV6793 FN 10/52 FIXED 4                          | CUSIP: 3140MLRP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       462989 | PA      | $437332.52      | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-J                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 J 1A1            | CUSIP: 05948XXW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10212 | PA      | $10081.86       | 0.00%             | 2033-11-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2006-1                                                           | CHASEFLEX TRUST CFLX 2006 1 A4                             | CUSIP: 16165LAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7935814 | PA      | $6836522.70     | 0.00%             | 2036-06-25      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A3A              | CUSIP: 12638PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37485298 | PA      | $8972248.45     | 0.00%             | 2037-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST2004-36CB                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 36CB 1A1         | CUSIP: 12667FR23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5754488 | PA      | $4001500.44     | 0.00%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                                 | BEAR STEARNS ALT A TRUST BALTA 2005 10 22A1                | CUSIP: 07386HZE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7897877 | PA      | $7568743.42     | 0.00%             | 2036-01-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO8921 FN 01/50 FIXED 4                          | CUSIP: 3140K44F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103510 | PA      | $99140.60       | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $2316357.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF0279 FN 09/55 FIXED 5                          | CUSIP: 3140BQJZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       996975 | PA      | $983954.28      | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 1A            | CUSIP: 617487AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15322182 | PA      | $2320273.32     | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR4                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR4 1A1           | CUSIP: 39538WBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       136727 | PA      | $129550.80      | 0.00%             | 2045-10-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A G 144A             | CUSIP: ACI2DJDW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9236035 | PA      | $12206470.92    | 0.01%             | 2053-03-14      | Floating      | 12.73%                | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2026-R1                                               | VERUS SECURITIZATION TRUST VERUS 2026 R1 A1 144A           | CUSIP: 924932AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36942464 | PA      | $36645254.15    | 0.02%             | 2067-10-25      | Variable      | 4.83%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THRU CERTIFICATIONS 2016-COR1                           | COMM MORTGAGE TRUST COMM 2016 COR1 XA                      | CUSIP: 12594MBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174792940 | PA      | $54745.15       | 0.00%             | 2049-10-10      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                              | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR               | CUSIP: 92849FAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      4500000 | PA      | $4478400.00     | 0.00%             | 2030-01-08      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MORTGAGE LOAN AS 2004-1                                            | CHASE FUNDING MORTGAGE LOAN AS CFAB 2004 1 1M1             | CUSIP: 161546HV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3595900 | PA      | $3443425.99     | 0.00%             | 2033-05-25      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3631 FN 04/34 FIXED 3                          | CUSIP: 31418DA93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14103 | PA      | $13654.78       | 0.00%             | 2034-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $606445.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7924 FN 08/47 FIXED 4                          | CUSIP: 3140GWYW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18063 | PA      | $17324.74       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2014-R8                                    | MORGAN STANLEY REREMIC TRUST MSRR 2014 R8 3B2 144A         | CUSIP: 61764KAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32840110 | PA      | $29134208.54    | 0.01%             | 2047-06-26      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                                        | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A             | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     82731464 | PA      | $95512467.57    | 0.04%             | 2033-08-15      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-4036127.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $27502.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.39250 10/25/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2057353.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8981 FN 09/47 FIXED 4                          | CUSIP: 3140GX6T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       222041 | PA      | $212775.87      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5388 FN 06/54 FIXED 5.5                        | CUSIP: 31418E7A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144307 | PA      | $145179.91      | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD1966 FR 11/52 FIXED 4                  | CUSIP: 3132DPFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23434 | PA      | $22156.79       | 0.00%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.59507 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $214224.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8351 FN 02/48 FIXED 4                          | CUSIP: 3140FUH50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       195424 | PA      | $187600.28      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.43091 09/03/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2693291.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG45 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $43660002.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 1A1 144A      | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20062492 | PA      | $9290915.75     | 0.00%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD5541 FN 05/30 FIXED 5                          | CUSIP: 31418TEP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3100 | PA      | $3118.15        | 0.00%             | 2030-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VISIO TRUST 2023-2                                                               | VISIO TRUST VISIO 2023 2 A1 144A                           | CUSIP: 92839CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13769862 | PA      | $13801519.88    | 0.01%             | 2058-10-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 3 3A2 144A        | CUSIP: 17323LAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       296271 | PA      | $285239.60      | 0.00%             | 2036-06-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE2 A5           | CUSIP: 46625SAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       919363 | PA      | $916917.74      | 0.00%             | 2036-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3138 FN 11/47 FIXED 3.5                        | CUSIP: 3140H4PY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76858 | PA      | $72132.79       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C B 144A           | CUSIP: 83208DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35479000 | PA      | $35743655.60    | 0.02%             | 2055-03-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1423 FN 04/47 FIXED 4                          | CUSIP: 3140GPSM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        97075 | PA      | $93205.45       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS4X                                                    | RMAC SECURITIES PLC RMACS 2006 NS4X M1C REGS               | CUSIP: B1LGL0II7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1806459 | PA      | $2010740.37     | 0.00%             | 2044-06-12      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL4                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL4 A5            | CUSIP: 76112BGP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       294401 | PA      | $77934.26       | 0.00%             | 2032-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5594 FN 10/47 FIXED VAR                        | CUSIP: 3140JAGC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       912806 | PA      | $879001.44      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A8            | CUSIP: 576433WN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10461 | PA      | $10388.53       | 0.00%             | 2034-11-21      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H02                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H02 FJ             | CUSIP: 38375UYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1156591 | PA      | $1164262.03     | 0.00%             | 2067-01-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2.5 JUMBOS                               | CUSIP: 21H022655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    110550000 | PA      | $95064363.83    | 0.04%             | 2056-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 3A3          | CUSIP: 933637AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       902811 | PA      | $765530.64      | 0.00%             | 2037-01-25      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2021-RPL5                                                            | CSMCM TRUST CERTIFICATES CSMCM 2021 RPL5 CERT 144A         | CUSIP: 12658JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10665013 | PA      | $8640361.97     | 0.00%             | 2061-02-25      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260421                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-254813.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4379 FN 05/47 FIXED 4                          | CUSIP: 3140GS2M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21169 | PA      | $20285.29       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A1         | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1349870 | PA      | $1280301.10     | 0.00%             | 2045-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL1 B 144A          | CUSIP: 52472WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    328427005 | PA      | $327484748.06   | 0.15%             | 2070-01-28      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLN 14 1 A PTT PASS THRU CE 04/28 3.7               | CUSIP: 02377AAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12646976 | PA      | $12605049.98    | 0.01%             | 2028-04-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 AIOS 144A     | CUSIP: 17329AAP0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    559169161 | PA      | $2435097.82     | 0.00%             | 2060-09-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM1                                                     | ACE SECURITIES CORP. ACE 2004 FM1 M1                       | CUSIP: 004421DK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       929707 | PA      | $925386.92      | 0.00%             | 2033-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8438 FR 06/54 FIXED 5.5                | CUSIP: 3132DWLT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       166410 | PA      | $167416.53      | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2281 FN 05/45 FIXED 4.5                        | CUSIP: 31418BRB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33110 | PA      | $32683.43       | 0.00%             | 2045-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080023 G2 12/26 FLOATING VAR                  | CUSIP: 36225CAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           70 | PA      | $69.92          | 0.00%             | 2026-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-10                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 10 1A4                    | CUSIP: 1266942A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1840252 | PA      | $523245.34      | 0.00%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2023-B                                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2023 B A3              | CUSIP: 65480MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       856236 | PA      | $861414.27      | 0.00%             | 2028-03-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-WMC1                                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 WMC1 M3          | CUSIP: 46626LBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2518132 | PA      | $2543539.16     | 0.00%             | 2035-09-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6198 FN 09/27 FIXED 3                          | CUSIP: 31417C3G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9392 | PA      | $9317.38        | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $15785.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICG US CLO LTD 2021-1A                                                           | ICG US CLO LTD ICG 2021 1A A1R 144A                        | CUSIP: 449303AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12100000 | PA      | $12115433.31    | 0.01%             | 2034-04-17      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR5                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR5 1A1           | CUSIP: 456680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8693137 | PA      | $3372993.61     | 0.00%             | 2037-09-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX5249 FR 02/55 FIXED 5                  | CUSIP: 31426AZP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19816144 | PA      | $19583386.63    | 0.01%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 12A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 12A A1 144A             | CUSIP: 01450DAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4573412 | PA      | $4436210.10     | 0.00%             | 2037-07-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2007-10CB                                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 10CB A1          | CUSIP: 02150HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6226888 | PA      | $2430782.96     | 0.00%             | 2037-05-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH 2006-4                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 4 3A1            | CUSIP: 939344AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2424545 | PA      | $2137427.30     | 0.00%             | 2036-05-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52562 FG 12/47 FIXED 3.5                | CUSIP: 3132XUZ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5750 | PA      | $5362.70        | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 B2 144A       | CUSIP: 17329NAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45054700 | PA      | $32243828.58    | 0.01%             | 2065-03-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5475 FN 07/45 FIXED 4                          | CUSIP: 3138WFCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       655070 | PA      | $630717.17      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 1A1              | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9601080 | PA      | $9265503.98     | 0.00%             | 2037-11-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6802 FN 03/46 FIXED 3.5                        | CUSIP: 3138WGRY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        92810 | PA      | $87056.06       | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO V DAC 5A                                                      | HAYFIN EMERALD CLO HAYEM 5A AR 144A                        | CUSIP: ACI2RYDM5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     88800000 | PA      | $102682484.99   | 0.05%             | 2037-11-17      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED 144A 09/43 5.875           | CUSIP: 78307ADH3<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     18800000 | PA      | $12867472.00    | 0.01%             | 2043-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| DELOITTE LLP                                                                     | DELOITTE LLP SR UNSEC B                                    | CUSIP: 955GGZII8<br>LEI: 549300FJV7IV1ZHGAV28 | Long             | DBT              | CORP              | US        |     36700000 | PA      | $36813862.48    | 0.02%             | 2032-01-30      | Fixed         | 5.41%                 | Yes           |                  3 | On Loan: No      |
| TROPIC CDO CORP 2006-5A                                                          | TROPIC CDO CORP TROPC 2006 5A A1L1 144A                    | CUSIP: 89708BAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     16632322 | PA      | $16133352.30    | 0.01%             | 2036-07-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1590657.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8949 FN 03/47 FIXED 3.5                        | CUSIP: 3138WJ5K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       725165 | PA      | $677422.88      | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $2037011.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $69843.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST  2025-2A                               | GOODLEAP HOME IMPROVEMENT SOLU GDLP 2025 2A A 144A         | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39498160 | PA      | $39758602.53    | 0.02%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2005-8HE                                                   | TERWIN MORTGAGE TRUST TMTS 2005 8HE M4 144A                | CUSIP: 881561UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6126709 | PA      | $4791938.29     | 0.00%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-1                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 8A1             | CUSIP: 863579R42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4313292 | PA      | $2253897.56     | 0.00%             | 2036-02-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0UHA6 PIMCO FPPSWAPTION 2.18 PUT USD                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    285300000 | NC      | $82208367.63    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-2                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 2 A2             | CUSIP: 64352VFX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        78479 | PA      | $76809.30       | 0.00%             | 2034-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5108 FN 12/47 FIXED 3.5                        | CUSIP: 3140H6VA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       153877 | PA      | $143586.90      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/29 VAR                  | CUSIP: 45870GAH9<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      3000000 | PA      | $3000000.00     | 0.00%             | 2029-06-07      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 13 1A19                   | CUSIP: 12543TAU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       280061 | PA      | $121150.36      | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA2854 FR 01/56 FIXED 5                  | CUSIP: 3142JRE45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       695064 | PA      | $686061.17      | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-SPL1                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 SPL1 PT 144A        | CUSIP: 12654VAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    449281071 | PA      | $487701431.31   | 0.22%             | 2049-07-25      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7060 FN 03/47 FIXED 4                          | CUSIP: 3140FEZ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89426 | PA      | $85907.05       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-2                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 2 2A1              | CUSIP: 02660XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12608844 | PA      | $12253732.37    | 0.01%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB0929 FN 04/54 FIXED 5.5                        | CUSIP: 3140AAA72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83548 | PA      | $84086.57       | 0.00%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO IV LTD 2021-4A                                                        | ROMARK CLO LTD RMRK 2021 4A A1R 144A                       | CUSIP: 77588LAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     79000000 | PA      | $79083333.15    | 0.04%             | 2034-07-10      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9466 FN 09/47 FIXED 4                          | CUSIP: 3140GYQU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        70388 | PA      | $67450.86       | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $1125383.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A7                                         | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A7 1A4            | CUSIP: 12566TAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       196811 | PA      | $175237.69      | 0.00%             | 2036-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH6676 G2 06/48 FIXED 4                       | CUSIP: 3617H4MZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       398574 | PA      | $376231.95      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 2 A2                      | CUSIP: 12544CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       969900 | PA      | $384718.83      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1          | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3162897 | PA      | $3005337.67     | 0.00%             | 2046-03-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-6                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 6 A1              | CUSIP: 059526AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6185553 | PA      | $5944070.08     | 0.00%             | 2037-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  SEP26 XCME 20261215                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         3132 | NC      | $-1062106.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9432 FN 10/46 FIXED VAR                        | CUSIP: 3138ERPS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9760 | PA      | $8788.98        | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8495 FN 02/47 FIXED 4.5                        | CUSIP: 3140FUNM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26218 | PA      | $25846.21       | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PASTOR IM FTH/FTA 4                                                              | PASTOR IM FTH/FTA IMPAS 4 A REGS                           | CUSIP: B16Q8CII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |      6656831 | PA      | $6934213.12     | 0.00%             | 2044-03-22      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A2C           | CUSIP: 32029AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12742908 | PA      | $11868159.51    | 0.01%             | 2037-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1          | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       177477 | PA      | $46838.13       | 0.00%             | 2037-02-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                                     | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 11.5        | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |      8137461 | PA      | $7363854.88     | 0.00%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                                  | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A             | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     63193982 | PA      | $63259014.64    | 0.03%             | 2032-07-20      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0582 FN 09/53 FIXED 6.5                        | CUSIP: 3140A0UG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       396249 | PA      | $414684.70      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 8F 4A1                    | CUSIP: 362611AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1174184 | PA      | $478718.02      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-D                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 D 1A2             | CUSIP: 058933AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63090040 | PA      | $14133197.35    | 0.01%             | 2036-05-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A F 144A                          | CUSIP: ACI2M1B51<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     55585000 | PA      | $74248093.33    | 0.03%             | 2035-06-21      | Floating      | 11.23%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535889 FN 04/31 FIXED VAR                        | CUSIP: 31384WKA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          558 | PA      | $577.71         | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA4450 FR 01/56 FIXED 5                  | CUSIP: 3142JS5L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10136404 | PA      | $10012520.09    | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                                | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                 | CUSIP: 096003AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       250000 | PA      | $246350.00      | 0.00%             | 2029-01-08      | Floating      | 11.51%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NGN BOUGHT USD 20260818                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |            1 | NC      | $-329699.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 10/29 VAR                                     | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     66000000 | PA      | $69053045.82    | 0.03%             | 2029-10-19      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-8                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 2A4              | CUSIP: 045427AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25234069 | PA      | $24146682.11    | 0.01%             | 2046-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4062 FN 06/40 FIXED 3.5                        | CUSIP: 31418DQQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       472077 | PA      | $450466.45      | 0.00%             | 2040-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR7                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR7 7A1           | CUSIP: 45660LLS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40784 | PA      | $32219.69       | 0.00%             | 2035-06-25      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9               | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    308914000 | PA      | $88272936.71    | 0.04%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A B2 144A         | CUSIP: 64830TBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14130555 | PA      | $13766787.42    | 0.01%             | 2059-10-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-2N                                                   | LEHMAN XS TRUST LXS 2007 2N 2A                             | CUSIP: 52524LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10476967 | PA      | $10142361.00    | 0.00%             | 2037-02-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $2670161.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847706 FH 01/35 FLOATING VAR             | CUSIP: 3128JRR32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8180 | PA      | $8367.91        | 0.00%             | 2035-01-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD5585 FN 03/55 FIXED 7                          | CUSIP: 3140B6F34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2301989 | PA      | $2440059.93     | 0.00%             | 2055-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-5                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 5 A6                      | CUSIP: 12544VAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2546034 | PA      | $877753.27      | 0.00%             | 2037-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST 2005-7                                             | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 7 7A2              | CUSIP: 61748HPM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33942 | PA      | $28801.00       | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0464 FR 09/52 FIXED 4                  | CUSIP: 3133BMQR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1815995 | PA      | $1719473.97     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2995 FN 05/47 FIXED 4                          | CUSIP: 31418CKH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41055747 | PA      | $39368093.12    | 0.02%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-1                                                   | FREMONT HOME LOAN TRUST FHLT 2005 1 M5                     | CUSIP: 35729PJF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1502091 | PA      | $1501750.74     | 0.00%             | 2035-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 PT 144A        | CUSIP: 12594YAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9812211 | PA      | $7665295.64     | 0.00%             | 2056-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S1                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S1 1A19          | CUSIP: 46627MER4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3720618 | PA      | $1865779.18     | 0.00%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD2692 FN 05/55 FIXED 5                          | CUSIP: 3140B27E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       140543 | PA      | $138783.32      | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 633864 FN 03/32 FIXED 6.5                        | CUSIP: 31389SFD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          355 | PA      | $367.66         | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC4424 FN 10/54 FIXED 5                          | CUSIP: 3140AR4J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        90295 | PA      | $89139.45       | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                          | CHASEFLEX TRUST CFLX 2007 M1 2AV3                          | CUSIP: 16165YAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5175213 | PA      | $4352816.42     | 0.00%             | 2037-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $2924397.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1                                          | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1           | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32076 | PA      | $31272.28       | 0.00%             | 2031-11-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7764 FN 09/46 FIXED 3.5                        | CUSIP: 3140FFTW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18505 | PA      | $17357.29       | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC ALTERNATE LOAN TRUST 2005-5                        | DEUTSCHE ALT A SECURITIES INC DBALT 2005 5 2A3             | CUSIP: 251510HW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1720928 | PA      | $758324.27      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PFP 2026-13 LTD                                                                  | PFP III PFP 2026 13 A 144A                                 | CUSIP: 716966AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     96350000 | PA      | $96461261.13    | 0.04%             | 2043-08-18      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $8422.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                                 | SOCIETE GENERALE 144A 01/34 VAR                            | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    128000000 | PA      | $136788660.48   | 0.06%             | 2034-01-10      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-34                                                               | FANNIE MAE FNR 2007 34 S                                   | CUSIP: 31396P6G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       633422 | PA      | $48111.22       | 0.00%             | 2037-04-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| ARES LXV CLO LTD                                                                 | ARES CLO LTD ARES 2022 65A A2R 144A                        | CUSIP: 04019FAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11200000 | PA      | $11208973.89    | 0.00%             | 2034-07-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.5920* 03/31/26-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2675517.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII2 144A     | CUSIP: 760985Y96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1544770 | PA      | $1560727.68     | 0.00%             | 2034-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-26395.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                              | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR               | CUSIP: 92849FAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      5700000 | PA      | $5669790.00     | 0.00%             | 2030-01-08      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 2A4             | CUSIP: 12667TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10227060 | PA      | $9979399.26     | 0.00%             | 2047-06-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-2169563.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                                  | PFP III PFP 2024 11 A 144A                                 | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     37851170 | PA      | $37933780.57    | 0.02%             | 2039-09-17      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-8CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 8CB A11          | CUSIP: 02150FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3366239 | PA      | $1307683.50     | 0.00%             | 2037-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS CZK 4.48000 03/11/26-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |            1 | NC      | $-29187.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-4110282.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2386553.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2024-3                        | GM FINANCIAL SECURITIZED TERM GMCAR 2024 3 A3              | CUSIP: 38013KAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74458050 | PA      | $75003551.81    | 0.03%             | 2029-04-16      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOAN TRUST 2004-8                                              | MASTR ALTERNATIVE LOANS TRUST MALT 2004 8 3A1              | CUSIP: 576434UR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1119567 | PA      | $1107072.50     | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A4            | CUSIP: 55275TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33965830 | PA      | $9356862.77     | 0.00%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A3                                   | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A3 2A1            | CUSIP: 76113WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9698511 | PA      | $1760598.84     | 0.00%             | 2037-04-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $172546.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA4953 FR 07/47 FIXED 2.5                | CUSIP: 31329NQE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       163688 | PA      | $141236.02      | 0.00%             | 2047-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1681 FN 10/53 FIXED 6.5                        | CUSIP: 3140A12P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37439 | PA      | $38983.94       | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7598 FN 10/46 FIXED 3.5                        | CUSIP: 3140FFNQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5656 | PA      | $5287.44        | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR10                                                         | BCAP LLC TRUST BCAP 2010 RR10 4A11 144A                    | CUSIP: 05533HCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2374295 | PA      | $2264268.71     | 0.00%             | 2037-09-27      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2024-B OWNER TRUST                                       | TOYOTA AUTO RECEIVABLES OWNER TAOT 2024 B A3               | CUSIP: 89237NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31400180 | PA      | $31682238.12    | 0.01%             | 2029-01-16      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8453 FR 08/54 FIXED 5.5                | CUSIP: 3132DWMA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20383828 | PA      | $20504028.07    | 0.01%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1                 | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       162302 | PA      | $88599.15       | 0.00%             | 2036-10-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J5                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J5 2A1           | CUSIP: 12668EAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24305983 | PA      | $4702138.34     | 0.00%             | 2036-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2626 FN 11/46 FIXED 3.5                        | CUSIP: 3140EW4L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47845 | PA      | $44606.43       | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GRACECHURCH MORTGAGE FINANCE PLC 2020-GRCE                                       | GRACECHURCH MORTGAGE FINANCE P GRACE 2020 GRCE X 144A      | CUSIP: 38406JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174400000 | PA      | $2215525.28     | 0.00%             | 2040-12-10      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3732 FN 08/46 FIXED 3.5                        | CUSIP: 3140FBEE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3160 | PA      | $2954.74        | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 886394 FN 08/36 FIXED 6                          | CUSIP: 31410DXX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8206 | PA      | $8564.72        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                       | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL             | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      6554387 | PA      | $5481106.27     | 0.00%             | 2027-12-31      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                     | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    196495177 | PA      | $181778928.39   | 0.08%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 22A1           | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4254821 | PA      | $3855332.66     | 0.00%             | 2047-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-11                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 11 2A1            | CUSIP: 863579RR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2395780 | PA      | $1674784.62     | 0.00%             | 2035-05-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.86000 04/24/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1896345.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-7                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 7 1A12            | CUSIP: 05951KAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        78153 | PA      | $68116.74       | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DG0555 FN 01/56 FIXED 5                          | CUSIP: 3140U3TM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24648751 | PA      | $24331888.07    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA D 144A                       | CUSIP: ACI2QV5H2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     33530000 | PA      | $44061184.45    | 0.02%             | 2055-05-28      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NGN BOUGHT USD 20261118                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |            1 | NC      | $-212759.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-19CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 19CB A1          | CUSIP: 12667GFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2808175 | PA      | $1728952.83     | 0.00%             | 2035-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889453 FN 04/28 FIXED VAR                        | CUSIP: 31410KE26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6793 | PA      | $6783.27        | 0.00%             | 2028-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE3                                                     | ACE SECURITIES CORP. ACE 2007 HE3 A1                       | CUSIP: 00442GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19048072 | PA      | $4010920.12     | 0.00%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A B 144A                         | CUSIP: ACI2SNZB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     29536000 | PA      | $39049010.74    | 0.02%             | 2066-05-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| ELMWOOD CLO 15 LTD                                                               | ELMWOOD CLO 15 LTD ELM15 2022 2A A1R 144A                  | CUSIP: 29003JAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     30600000 | PA      | $30607555.45    | 0.01%             | 2035-04-22      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $179641.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-AC2                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AC2 2A2          | CUSIP: 073879SU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       374315 | PA      | $351960.03      | 0.00%             | 2035-04-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A B 144A         | CUSIP: 21056DAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11153491 | PA      | $11492358.87    | 0.01%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $341095.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-6                                                   | HOME EQUITY ASSET TRUST HEAT 2005 6 M5                     | CUSIP: 437084NG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2810000 | PA      | $2754285.85     | 0.00%             | 2035-12-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-42                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 42 I               | CUSIP: 38378JJZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       227797 | PA      | $33229.70       | 0.00%             | 2043-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/21/23-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $16376850.37    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2001-T9                                                 | FANNIEMAE GRANTOR TRUST FNGT 2001 T9 A1                    | CUSIP: 313921FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       352434 | PA      | $336201.93      | 0.00%             | 2031-09-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL1                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL1 A1 144A      | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16706970 | PA      | $15969494.39    | 0.01%             | 2063-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-15800314.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRUST 2006-W1                     | STRUCTURED ASSET SECURITIES CO SASC 2006 W1A A1 144A       | CUSIP: 86361CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12161473 | PA      | $11836873.81    | 0.01%             | 2046-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF4488 FN 12/55 FIXED 5                          | CUSIP: 3140BU7A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7722250 | PA      | $7622909.49     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ1100 FR 08/55 FIXED 5                  | CUSIP: 31426XGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       436403 | PA      | $433110.59      | 0.00%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A          | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       394577 | PA      | $375571.39      | 0.00%             | 2046-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3856 FN 06/46 FIXED 3.5                        | CUSIP: 3140FBJA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18525 | PA      | $17376.31       | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-A2                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 A2 1A             | CUSIP: 59020UGT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       247532 | PA      | $244544.72      | 0.00%             | 2034-07-25      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB5                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB5 A3           | CUSIP: 12464YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15450 | PA      | $9232.27        | 0.00%             | 2037-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-109208.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NSCALE SERVICES UK LIMITED                                                       | NSCALE DELAYED DRAW TERM LOAN                              | CUSIP: BA000WQD0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    113300000 | PA      | $113300000.00   | 0.05%             | 2032-08-11      | Floating      | 0.36%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | EURO-BUND OPTION  MAY26P 125.5 EXP 04/24/2026              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -1119 | NC      | $-1176990.72    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TARANIS REINSURANCE DESIGNATED ACTIVITY COMPANY                                  | TARANIS REINSURANCE DAC UNSECURED 144A 01/31 VAR           | CUSIP: ACI2LHDD8<br>LEI: 635400FQ9HHTLYKADZ22 | Long             | DBT              | CORP              | IE        |     18600000 | PA      | $22865063.73    | 0.01%             | 2031-01-08      | Floating      | 11.02%                | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-9                                                    | GSAA HOME EQUITY TRUST GSAA 2006 9 A3                      | CUSIP: 362382AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33722346 | PA      | $6052439.53     | 0.00%             | 2036-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5271 FN 08/47 FIXED 4                          | CUSIP: 3140GT2D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83002 | PA      | $79199.02       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CENTEX-2004-A                                                                    | CENTEX HOME EQUITY CXHE 2004 A M1                          | CUSIP: 152314JD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       188931 | PA      | $201792.12      | 0.00%             | 2034-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QO4                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO4 A1            | CUSIP: 74923LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4027261 | PA      | $3807920.67     | 0.00%             | 2047-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 03/27 4.4                  | CUSIP: 292480AK6<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      4145000 | PA      | $4143934.86     | 0.00%             | 2027-03-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 S2 2A11                | CUSIP: 466247VD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        85880 | PA      | $62452.24       | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF9353 FN 01/56 FIXED 5                          | CUSIP: 3140U1MB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47114772 | PA      | $46501601.78    | 0.02%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION 2006-AM1                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 AM1 A1            | CUSIP: 86359XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1540487 | PA      | $1536541.89     | 0.00%             | 2036-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $13.63          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-2                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 2 3A4               | CUSIP: 126384AQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6115168 | PA      | $2757496.36     | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP BOA                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $10.87          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ3128 FR 09/54 FIXED 5.5                | CUSIP: 3133CTPM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       872825 | PA      | $878149.22      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3210 FN 12/47 FIXED 3.5                        | CUSIP: 31418CR89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13237801 | PA      | $12288432.42    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-9894.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL A93534 FG 08/40 FIXED 4                  | CUSIP: 3129414T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10524 | PA      | $10182.38       | 0.00%             | 2040-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7283 FN 03/47 FIXED 4                          | CUSIP: 3140FTCV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60469 | PA      | $57958.71       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A         | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    173903404 | PA      | $168670458.99   | 0.08%             | 2055-02-16      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1903 FR 06/55 FIXED 5                  | CUSIP: 31427PDH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23559 | PA      | $23396.80       | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WEST STREET GLOBAL GROWTH PARTNERS LP                                            | PROJECT HUDSON II FIXED TERM LOAN                          | CUSIP: BA0004RR0<br>LEI: 549300VKOBL0QVVJAP44 | Long             | ABS-MBS          | CORP              | US        |     75800000 | PA      | $76067624.03    | 0.03%             | 2026-05-29      | Fixed         | 7.73%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8463 FR 09/54 FIXED 6                  | CUSIP: 3132DWML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23803783 | PA      | $24292955.24    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                                     | ACE SECURITIES CORP. ACE 2006 HE4 A1                       | CUSIP: 00442BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38646592 | PA      | $18581057.22    | 0.01%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING XVII LTD 17A                                            | ALESCO PREFERRED FUNDING LTD ALESC 17A A1 144A             | CUSIP: 01450NAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     35522822 | PA      | $34989979.24    | 0.02%             | 2038-09-23      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-10                                                   | SEQUOIA MORTGAGE TRUST SEMT 2004 10 A3A                    | CUSIP: 81744FEW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55314 | PA      | $51698.03       | 0.00%             | 2034-11-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A10                                             | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A10 A1            | CUSIP: 45660LXK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18165985 | PA      | $7445616.00     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC10 2A2A        | CUSIP: 23245FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1411125 | PA      | $2064083.34     | 0.00%             | 2036-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50642 FG 09/47 FIXED 3.5                | CUSIP: 3132XSWC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156531 | PA      | $146181.70      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-SEA1                                                            | GSAMP TRUST GSAMP 2007 SEA1 A 144A                         | CUSIP: 3622MLAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       322134 | PA      | $321436.46      | 0.00%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-I2                                                                | CIM TRUST CIM 2023 I2 A1 144A                              | CUSIP: 12570HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18273225 | PA      | $18298153.35    | 0.01%             | 2067-12-25      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEX BONOS DESARR FIX RT BONDS 03/29 8.5                    | CUSIP: ACI2JBZ32<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   8892700000 | PA      | $497535723.87   | 0.22%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-82                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 82 A1            | CUSIP: 12668A5X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1749648 | PA      | $1523455.15     | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB8362 FR 02/51 FIXED 2.5                | CUSIP: 3133AFJF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3805888 | PA      | $3230201.74     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL5                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL5 B2 144A         | CUSIP: 52474TAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    178636580 | PA      | $172031742.45   | 0.08%             | 2058-08-26      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                 | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     25506529 | PA      | $22442556.85    | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 1A2                 | CUSIP: 46628LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       125949 | PA      | $83752.48       | 0.00%             | 2036-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $414604263.44   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-52253.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20261028                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-576996.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-22                                                               | FANNIE MAE FNR 1998 22 FA                                  | CUSIP: 31359RY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            7 | PA      | $7.17           | 0.00%             | 2028-04-18      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2018-RP10                                                            | CSMCM TRUST CERTIFICATES CSMCM 2018 RP10 CERT 144A         | CUSIP: 12655EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20136483 | PA      | $17129284.53    | 0.01%             | 2057-09-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A5                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A5 2A2                 | CUSIP: 466247SG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       260258 | PA      | $256724.05      | 0.00%             | 2035-08-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A5             | CUSIP: 55275BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6089423 | PA      | $2118399.98     | 0.00%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-RS4                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS4 MII2          | CUSIP: 7609853J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3842995 | PA      | $3508483.31     | 0.00%             | 2034-04-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.13796 07/28/23-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-8030894.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB7                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB7 A1           | CUSIP: 12479DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9920779 | PA      | $7295913.37     | 0.00%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3360 FN 05/38 FIXED 3.5                        | CUSIP: 31418CWW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82461 | PA      | $79331.74       | 0.00%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 614256 FN 12/31 FIXED 6.5                        | CUSIP: 31388TMD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1215 | PA      | $1256.10        | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 545064 FN 06/31 FIXED VAR                        | CUSIP: 31385HQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1259 | PA      | $1302.28        | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SSB MANUFACTURING COMPANY                                                        | SSB MANUFACTURING COMPANY SSB EQUIPMENT COMPANY, INC.      | CUSIP: 902JPT909<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         1460 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A A 144A          | CUSIP: 83407UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39903655 | PA      | $40046709.96    | 0.02%             | 2034-03-27      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2003-A1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2003 A1 A2              | CUSIP: 65535VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1076 | PA      | $1090.84        | 0.00%             | 2033-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2B          | CUSIP: 92922FB80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13233 | PA      | $12937.09       | 0.00%             | 2034-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-20                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 20 2A1                    | CUSIP: 12669F2H5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12864 | PA      | $12326.37       | 0.00%             | 2034-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54217 FG 02/48 FIXED 3.5                | CUSIP: 3132XWVK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       225375 | PA      | $210941.87      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3785                                                          | FREDDIE MAC FHR 3785 LS                                    | CUSIP: 3137A5L77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       677630 | PA      | $620637.16      | 0.00%             | 2041-01-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-9                                                   | GSR MORTGAGE LOAN TRUST GSR 2004 9 3A1                     | CUSIP: 36242DBK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        89678 | PA      | $86403.38       | 0.00%             | 2034-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4624 FN 06/47 FIXED 4                          | CUSIP: 3140GTD64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       443338 | PA      | $424654.87      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES 2006-S9                                  | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S9 A3             | CUSIP: 749577AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       224792 | PA      | $173309.74      | 0.00%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 04/29 VAR                | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     10600000 | PA      | $10752479.20    | 0.00%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2009-19                                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 19 IO              | CUSIP: 38373M6P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       575120 | PA      | $5.75           | 0.00%             | 2051-03-16      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM6 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM6 A1 144A             | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18558909 | PA      | $18592313.62    | 0.01%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SEC 2007-3                                         | MERRILL LYNCH MORTGAGE BACKED MLMBS 2007 3 2A1             | CUSIP: 59025JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3263328 | PA      | $1870166.86     | 0.00%             | 2037-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.11 SP SAL                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $211257.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA1                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA1 2A           | CUSIP: 93935NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4109837 | PA      | $3447395.16     | 0.00%             | 2046-12-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                     | BONOS TESORERIA PESOS BONDS 144A REGS 10/29 5.8            | CUSIP: ACI2QBM79<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  41135000000 | PA      | $45225140.46    | 0.02%             | 2029-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-5791317.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2003-A6                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A6 1A             | CUSIP: 5899294G0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       208692 | PA      | $203571.73      | 0.00%             | 2033-09-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A1            | CUSIP: 59022QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1268827 | PA      | $1272216.28     | 0.00%             | 2037-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX1223 FN 10/52 FIXED 5.5                        | CUSIP: 3140N5LD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       189356 | PA      | $192304.78      | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4862                                                          | FREDDIE MAC FHR 4862 NO                                    | CUSIP: 3137FKUH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24282339 | PA      | $15258062.98    | 0.01%             | 2057-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/1.3000 06/16/22-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $49252942.43    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WINDROSE RE LTD                                                                  | WINDROSE RE LTD UNSECURED 144A 02/33 VAR                   | CUSIP: 972917AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      6400000 | PA      | $6381440.00     | 0.00%             | 2033-02-11      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1069 FN 01/48 FIXED 4                          | CUSIP: 3140H2FK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42138 | PA      | $40379.33       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-3 DAC 25-3A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 3A A 144A        | CUSIP: ACI309N95<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     58800000 | PA      | $67971591.33    | 0.03%             | 2035-07-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM37 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $100868.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2005-2                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2005 2 M5             | CUSIP: 61744CQP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2667201 | PA      | $2654625.96     | 0.00%             | 2035-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2023-A                                                     | SBNA AUTO LEASE TRUST SBALT 2023 A A4 144A                 | CUSIP: 78436TAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9947348 | PA      | $9960066.88     | 0.00%             | 2028-04-20      | Fixed         | 6.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                              | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2D               | CUSIP: 617451EV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66932497 | PA      | $55777306.57    | 0.02%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                                       | HELLENIC REPUBLIC BONDS REGS 01/42 4.2                     | CUSIP: ACI0Z3HC6<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     33323201 | PA      | $38523947.38    | 0.02%             | 2042-01-30      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ5991 FR 10/54 FIXED 5.5                | CUSIP: 3133CWUQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       119022 | PA      | $119687.01      | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73500 08/07/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-135574.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 1A1A         | CUSIP: 933638AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       541289 | PA      | $526105.16      | 0.00%             | 2047-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2004-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2004 2 M1             | CUSIP: 68389FFG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1577310 | PA      | $1622622.14     | 0.00%             | 2034-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDL 2006-BC4                                         | SPECIALTY UNDERWRITING + RESID SURF 2006 BC4 A1            | CUSIP: 84751YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16677185 | PA      | $15873716.57    | 0.01%             | 2037-09-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2025-1A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2025 1A A2 144A           | CUSIP: 505712AB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5071341 | PA      | $5072307.70     | 0.00%             | 2027-12-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN7756 FN 09/49 FIXED 3                          | CUSIP: 3140JQTN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13556530 | PA      | $12127335.77    | 0.01%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                     | HUNGARY SR UNSECURED 144A 09/30 5.375                      | CUSIP: 445545AV8<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     33900000 | PA      | $34178078.99    | 0.02%             | 2030-09-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS10                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS10 A7           | CUSIP: 751155AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       191904 | PA      | $165864.56      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 3M2             | CUSIP: 05946XSH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9079155 | PA      | $8428901.18     | 0.00%             | 2035-04-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 09/33 6.375                      | CUSIP: ACI2JSF94<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     13300000 | PA      | $15825075.94    | 0.01%             | 2033-09-18      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3952 FN 07/50 FIXED VAR                        | CUSIP: 3140X7MA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    150211228 | PA      | $134357187.22   | 0.06%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP MEI                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $396.69         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR8                                                          | BCAP LLC TRUST BCAP 2012 RR8 5A6 144A                      | CUSIP: 05541DBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1877878 | PA      | $1824699.80     | 0.00%             | 2037-05-26      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                                | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A            | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29362290 | PA      | $29994057.82    | 0.01%             | 2041-02-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2026-A                                                 | NELNET STUDENT LOAN TRUST NSLT 2026 A A1A 144A             | CUSIP: 64032UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    512716362 | PA      | $506503572.54   | 0.23%             | 2061-02-21      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-2                               | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 2 1A              | CUSIP: 31659EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12647610 | PA      | $9911134.97     | 0.00%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3774 FR 12/26 FIXED 3                  | CUSIP: 3131X7FP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15924 | PA      | $15839.75       | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2799 FN 04/53 FIXED 6                          | CUSIP: 3140NKDD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2993496 | PA      | $3083546.44     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6343 FN 07/53 FIXED 6                          | CUSIP: 3140NPBM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3490431 | PA      | $3583828.28     | 0.00%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-D                                                   | FREMONT HOME LOAN TRUST FHLT 2004 D M1                     | CUSIP: 35729PGC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1739549 | PA      | $1586760.77     | 0.00%             | 2034-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-CW1                                                     | ACE SECURITIES CORP. ACE 2006 CW1 A2C                      | CUSIP: 00441QAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       138886 | PA      | $116701.49      | 0.00%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5735 FN 06/55 FIXED 5.5                        | CUSIP: 31418FLR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     43217906 | PA      | $43459329.46    | 0.02%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 B4 144A        | CUSIP: 12660QAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31081001 | PA      | $13278002.55    | 0.01%             | 2061-02-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW6180 FN 08/52 FIXED 4                          | CUSIP: 3140MX2N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       462951 | PA      | $440078.98      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV8876 FN 12/44 FIXED 4                          | CUSIP: 3138XL2J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5193 | PA      | $5023.52        | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN                                                            | FANNIEMAE WHOLE LOAN FNW 1998 W2 A8                        | CUSIP: 31359UPD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1006 | PA      | $1011.58        | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 A2 144A        | CUSIP: 12594YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    574828361 | PA      | $526549043.98   | 0.23%             | 2056-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54956 FG 03/48 FIXED 4                  | CUSIP: 3132XXQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3684221 | PA      | $3529824.48     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A2             | CUSIP: 61752UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7856524 | PA      | $4018771.38     | 0.00%             | 2037-04-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| LURA FUNDING DESIGNATED ACTIVITY COMPANY 2026-1A                                 | LURA FUNDING DAC LURA 2026 1A D 144A                       | CUSIP: ACI394TW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     10318000 | PA      | $11837809.71    | 0.01%             | 2079-08-27      | Floating      | 3.88%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $484751.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITICORP MORTGAGE SECURITIES INC 2006-4                                          | CITICORP MORTGAGE SECURITIES, CMSI 2006 4 1A9              | CUSIP: 17310DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1962727 | PA      | $1803156.10     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ6346 FN 12/41 FIXED 3.5                        | CUSIP: 3138AYBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7938 | PA      | $7517.72        | 0.00%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                       | HARDWOOD FUNDING LLC CORP0HRD7                             | CUSIP: 955NUHII7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18500000 | PA      | $18522429.59    | 0.01%             | 2028-06-07      | Fixed         | 4.84%                 | Yes           |                  3 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2024-INV1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2024 INV1 PT 144A         | CUSIP: 52475VBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1162629271 | PA      | $1184758291.58  | 0.53%             | 2053-12-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7038 FN 04/46 FIXED 4.5                        | CUSIP: 3138WGZC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11354 | PA      | $11188.79       | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A E 144A         | CUSIP: 210928AK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16387780 | PA      | $16542549.48    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.01035 06/30/26-27Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $789280.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-1741233.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-22                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 22 IO              | CUSIP: 38378BDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       828429 | PA      | $5.30           | 0.00%             | 2053-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-8                                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 8 1A2             | CUSIP: 86359BWC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       612140 | PA      | $605343.87      | 0.00%             | 2034-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM5 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM5 A1A 144A            | CUSIP: 673919AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22778524 | PA      | $22803218.42    | 0.01%             | 2063-06-25      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.08500 04/22/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2254213.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83495 FG 10/47 FIXED 3.5                | CUSIP: 3132L83C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       132014 | PA      | $123121.42      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3121 FN 09/47 FIXED 4                          | CUSIP: 31418CPF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5929532 | PA      | $5639890.48     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS4024 FN 02/53 FIXED VAR                        | CUSIP: 3140XKPJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       705158 | PA      | $711892.80      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-14                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 14 A2             | CUSIP: 863579TN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       360385 | PA      | $172050.37      | 0.00%             | 2035-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-9XS                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 9XS M1            | CUSIP: 86359DDU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2274252 | PA      | $2219840.04     | 0.00%             | 2035-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-6                                                              | IMPAC CMB TRUST IMM 2005 6 1A2                             | CUSIP: 45254NQW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3460401 | PA      | $3267083.40     | 0.00%             | 2035-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX1414 FR 12/54 FIXED 5.5                | CUSIP: 31425VSC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        91187 | PA      | $91695.89       | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                                    | GSAA HOME EQUITY TRUST GSAA 2006 5 2A1                     | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18575 | PA      | $5898.08        | 0.00%             | 2036-03-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET C SHARES                               | CUSIP: ACI01UFF8<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88000 01/13/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1178952.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7380 FR 01/55 FIXED 5                  | CUSIP: 3132DVFV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1537573 | PA      | $1517853.78     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A21         | CUSIP: 02150GAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2337903 | PA      | $974206.29      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0027 FR 07/55 FIXED 5.5                | CUSIP: 3142J6A52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21453733 | PA      | $21573577.65    | 0.01%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43425 FG 10/46 FIXED 3                  | CUSIP: 3132WGYX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38649 | PA      | $34927.54       | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.07800 04/29/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2190917.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM7 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM7 A1 144A             | CUSIP: 67117XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10972224 | PA      | $11032284.58    | 0.00%             | 2063-04-25      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260713                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-91590.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6962 FN 03/46 FIXED 3.5                        | CUSIP: 3140EBWY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       119417 | PA      | $112121.47      | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6784 FN 08/53 FIXED 6                          | CUSIP: 3140NPRE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       733052 | PA      | $748190.92      | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/27 VAR        | CUSIP: 65480CAJ4<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     33000000 | PA      | $32739245.88    | 0.01%             | 2027-09-13      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A2          | CUSIP: 02149HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3317876 | PA      | $1635535.19     | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-12                                                               | FANNIE MAE FNR 2009 12 DI                                  | CUSIP: 31397NKC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       243697 | PA      | $25320.18       | 0.00%             | 2037-06-25      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| E-MAC NL04-I                                                                     | E MAC E MAC NL04 I A REGS                                  | CUSIP: B00YW1II9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |       148064 | PA      | $168663.59      | 0.00%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6520 FN 12/55 FIXED 5                          | CUSIP: 3140BXG67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2946055 | PA      | $2913564.51     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                           | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M6             | CUSIP: 57643LJK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $2009024.80     | 0.00%             | 2035-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.84200 12/26/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-306366.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/0.17625 04/27/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $-3907247.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-3036465.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 1 M6                     | CUSIP: 43739EAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        77564 | PA      | $50983.80       | 0.00%             | 2035-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-5AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 5AR 2A             | CUSIP: 61748HAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51531 | PA      | $48276.66       | 0.00%             | 2034-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 3A1           | CUSIP: 25151XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       380584 | PA      | $332883.08      | 0.00%             | 2047-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0976 FN 02/32 FIXED 3.5                        | CUSIP: 31418ACN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11435 | PA      | $11224.98       | 0.00%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF8                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF8 IIA4           | CUSIP: 320278AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12142210 | PA      | $11913376.27    | 0.01%             | 2036-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.87 03/22/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-7080994.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1            | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1676682 | PA      | $1522105.50     | 0.00%             | 2047-05-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2024-A                                               | SBNA AUTO RECEIVABLES TRUST SBAT 2024 A A3 144A            | CUSIP: 78437PAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12862577 | PA      | $12893781.62    | 0.01%             | 2028-12-15      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A1A           | CUSIP: 93362YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       984508 | PA      | $922360.05      | 0.00%             | 2046-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW3                                              | PARK PLACE SECURITIES INC PPSI 2005 WCW3 M2                | CUSIP: 70069FLX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35258 | PA      | $35722.48       | 0.00%             | 2035-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 A5 144A      | CUSIP: 36265TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    204583401 | PA      | $187007641.04   | 0.08%             | 2061-06-25      | Variable      | 1.91%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE5                                               | MASTR ASSET BACKED SECURITIES MABS 2006 HE5 A2             | CUSIP: 576455AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12539770 | PA      | $7352631.39     | 0.00%             | 2036-11-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW8846 FN 09/52 FIXED 4                          | CUSIP: 3140N1ZL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       387478 | PA      | $366883.33      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY9733 FN 07/45 FIXED 4                          | CUSIP: 3138YPY71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179947 | PA      | $172942.37      | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERCURY CDO LTD 2004-1A                                                          | MERCURY CDO LTD MRCY 2004 1A B 144A                        | CUSIP: 58936RAE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6000000 | PA      | $192492.00      | 0.00%             | 2040-12-08      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN1675 FR 11/38 FIXED 4                  | CUSIP: 3131Y72G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93503 | PA      | $90712.95       | 0.00%             | 2038-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.97000 02/27/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1157566.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NRPL-2024-RPL2                                                                   | NRPL TRUST SERIES NRPL 2024 RPL2 SA 144A                   | CUSIP: 62956GAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94172 | PA      | $92978.48       | 0.00%             | 2063-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 831679 FN 08/36 FIXED 6.5                        | CUSIP: 31407H6Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6977 | PA      | $7400.18        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-4942835.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA AUTO TRUST 2023-1A                                               | BANK OF AMERICA AUTO TRUST BAAT 2023 1A A3 144A            | CUSIP: 06428AAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5268685 | PA      | $5296037.40     | 0.00%             | 2028-02-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TRUST 2024-C                                         | WORLD OMNI AUTO RECEIVABLES TR WOART 2024 C A3             | CUSIP: 98164NAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     69100000 | PA      | $69301025.72    | 0.03%             | 2029-12-17      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08675 FG 11/45 FIXED 3                  | CUSIP: 3128MJXD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18146 | PA      | $16477.12       | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                          | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 CERT 144A     | CUSIP: 69546YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8512500 | PA      | $3360793.48     | 0.00%             | 2032-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 2A3          | CUSIP: 93363NAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       454986 | PA      | $418484.06      | 0.00%             | 2036-10-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.08000 06/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2280707.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL1                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL1 A1 144A      | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3583714 | PA      | $3487734.28     | 0.00%             | 2069-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                                | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A          | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     29869941 | PA      | $29885956.73    | 0.01%             | 2033-04-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR 01/31 5.95                | CUSIP: 71654QDE9<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    176125000 | PA      | $168524857.52   | 0.07%             | 2031-01-28      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4963 FN 08/47 FIXED 3.5                        | CUSIP: 3140GTQR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1735037 | PA      | $1618292.41     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2127 FN 12/44 FIXED 4                          | CUSIP: 31418BLH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2046836 | PA      | $1972643.76     | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3336 FN 04/38 FIXED 3.5                        | CUSIP: 31418CV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       787573 | PA      | $757992.60      | 0.00%             | 2038-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5963 FN 01/38 FIXED VAR                        | CUSIP: 3140JATV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4041134 | PA      | $3976716.84     | 0.00%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-358173.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080259 G2 02/29 FLOATING VAR                  | CUSIP: 36225CJD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1426 | PA      | $1429.70        | 0.00%             | 2029-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG6272 G2 07/48 FIXED 4                       | CUSIP: 3617GQ6H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       791835 | PA      | $747584.90      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN4383 FN 03/49 FIXED 4                          | CUSIP: 3140JL2R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       506497 | PA      | $484116.91      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-124                                                       | FANNIE MAE FNR 2012 124 SJ                                 | CUSIP: 3136A9W46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1596786 | PA      | $1074410.59     | 0.00%             | 2042-11-25      | Floating      | 1.18%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR2                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR2 A2A                 | CUSIP: 23332UAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1410544 | PA      | $1342946.33     | 0.00%             | 2044-11-19      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 26-CES1                                      | GS MORTGAGE BACKED SECURITIES GSMBS 2026 CES1 A1 144A      | CUSIP: 36277LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9076466 | PA      | $9003887.48     | 0.00%             | 2056-05-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW1209 FN 10/52 FIXED 5.5                        | CUSIP: 3140MSKX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2847985 | PA      | $2873189.55     | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 02/30 5.375                   | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    221800000 | PA      | $225354061.10   | 0.10%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPT CORP 2006-AF2                                                | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AF2 1A4            | CUSIP: 65536VAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9647983 | PA      | $2456366.70     | 0.00%             | 2036-08-25      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J3                        | COUNTRYWIDE HOME LOANS CWHL 2007 J3 A9                     | CUSIP: 17025QAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2566214 | PA      | $1042146.96     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A R 144A                         | CUSIP: ACI2SPFW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1849440 | PA      | $2354936.21     | 0.00%             | 2066-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7756 FN 08/46 FIXED 4                          | CUSIP: 3140FFTN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       153647 | PA      | $147633.22      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2450 FN 01/47 FIXED 3.5                        | CUSIP: 3140F9WL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5667413 | PA      | $5307729.67     | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP7537 FN 09/27 FIXED 3                          | CUSIP: 3138MBLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1274 | PA      | $1261.89        | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2038094.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-FM1                                                     | ACE SECURITIES CORP. ACE 2006 FM1 A2D                      | CUSIP: 00441VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31241395 | PA      | $7607423.31     | 0.00%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q63638 FG 05/49 FIXED 3.5                | CUSIP: 3132VQBG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       673118 | PA      | $624607.68      | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 D A1A 144A         | CUSIP: 78454XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89522595 | PA      | $90819294.29    | 0.04%             | 2058-10-15      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG5389 G2 05/48 FIXED 4                       | CUSIP: 3617GP7A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       423541 | PA      | $399034.11      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256708 FN 03/27 FIXED 6.5                        | CUSIP: 31371NDM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1829 | PA      | $1891.51        | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-B                                                        | CENTEX HOME EQUITY CXHE 2005 B M3                          | CUSIP: 152314ND8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       613068 | PA      | $612663.97      | 0.00%             | 2035-03-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3635 FN 04/39 FIXED 4                          | CUSIP: 31418DBD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       325811 | PA      | $318663.86      | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $421898.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR24                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 1A1          | CUSIP: 22541QUJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9375 | PA      | $9368.75        | 0.00%             | 2033-10-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A           | CUSIP: 761118CW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       262665 | PA      | $233908.15      | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2005-EFC2                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC2 M6           | CUSIP: 76112BVU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4295207 | PA      | $4274401.83     | 0.00%             | 2035-07-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-15233938.31   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                                     | FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF                       | CUSIP: 31393XGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1255 | PA      | $1252.25        | 0.00%             | 2044-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                            | BBCCRE TRUST BBCCR 2015 GTP A 144A                         | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5500000 | PA      | $5142461.50     | 0.00%             | 2033-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB4469 FN 09/54 FIXED 5                          | CUSIP: 3140AD6F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137971 | PA      | $136242.56      | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| US CAPITAL FUNDING V LTD 2006-5A                                                 | US CAPITAL FUNDING LTD USCAP 2006 5A A1 144A               | CUSIP: 90342WAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     26139686 | PA      | $25159448.03    | 0.01%             | 2040-10-10      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A D 144A         | CUSIP: 21055PAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17752433 | PA      | $18382466.63    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1081 FR 04/55 FIXED 6                  | CUSIP: 31427NFX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3055185 | PA      | $3170068.81     | 0.00%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4168 FN 06/48 FIXED 3.5                        | CUSIP: 3140H5T27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231409 | PA      | $216246.79      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 695007 FN 03/33 FIXED 6.5                        | CUSIP: 31400RDL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          298 | PA      | $308.03         | 0.00%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2005-OPT1                                           | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 OPT1 M4          | CUSIP: 46626LAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16467126 | PA      | $15794392.57    | 0.01%             | 2035-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ1196 FR 08/55 FIXED 5                  | CUSIP: 31426XKJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2473091 | PA      | $2441554.07     | 0.00%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 11 2A1A          | CUSIP: 41161PUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       171107 | PA      | $164325.25      | 0.00%             | 2045-08-19      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS5                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS5 M1            | CUSIP: 75406VAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13612287 | PA      | $13449364.42    | 0.01%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08721 FG 09/46 FIXED 3                  | CUSIP: 3128MJYT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3257401 | PA      | $2943755.84     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA C 144A         | CUSIP: 21050UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6842901 | PA      | $6898004.34     | 0.00%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F070641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10900000 | PA      | $11469546.04    | 0.01%             | 2055-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0957 FN 11/47 FIXED 3.5                        | CUSIP: 3140H2B31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93865 | PA      | $87899.76       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.86000 11/14/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $892218.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                                     | ACE SECURITIES CORP. ACE 2006 NC2 A2D                      | CUSIP: 00441XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17226506 | PA      | $4928474.19     | 0.00%             | 2036-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| DREAMWELL LTD                                                                    | DREAMWELL LTD COMMON                                       | CUSIP: 954CQEII4<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         1460 | NS      | $11680.00       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 05/54 4.625                                | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1587700000 | PA      | $1514268875.00  | 0.67%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-10                                                   | GSAA HOME EQUITY TRUST GSAA 2007 10 A2A                    | CUSIP: 3622NDAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12529799 | PA      | $4264104.73     | 0.00%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK6788 FN 03/27 FIXED 3.5                        | CUSIP: 3138EBRJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3166 | PA      | $3149.11        | 0.00%             | 2027-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF2             | CUSIP: 75970JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6554731 | PA      | $1565510.43     | 0.00%             | 2037-04-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-27672.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA1                           | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA1 2A1          | CUSIP: 32051GV44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       505930 | PA      | $416948.00      | 0.00%             | 2036-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-9                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 9 6A6               | CUSIP: 126380AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1287600 | PA      | $699072.78      | 0.00%             | 2036-11-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB1             | CUSIP: 05950BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13228 | PA      | $11587.68       | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A              | CUSIP: 12667HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8676961 | PA      | $8526833.79     | 0.00%             | 2047-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST 2021-2                                            | HOME PARTNERS OF AMERICA TRUST HPA 2021 2 A 144A           | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14236255 | PA      | $13971910.32    | 0.01%             | 2026-12-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV6              | CUSIP: 126673B92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1091602 | PA      | $1085473.09     | 0.00%             | 2035-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2978 FR 04/53 FIXED 6.5                | CUSIP: 3132DQJX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       138550 | PA      | $144961.11      | 0.00%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB8406 FN 08/54 FIXED 5.5                        | CUSIP: 3140AJKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       823994 | PA      | $828683.64      | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J12                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J12 2A4          | CUSIP: 12668ATB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       963772 | PA      | $492961.56      | 0.00%             | 2035-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3                               | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 3 2A2             | CUSIP: 316599AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1503464 | PA      | $989442.42      | 0.00%             | 2036-11-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1583 FN 10/47 FIXED 3.5                        | CUSIP: 3140H2XM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36688 | PA      | $34470.05       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 29 3A1                    | CUSIP: 12669GJF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3725311 | PA      | $3104288.50     | 0.00%             | 2035-02-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2C               | CUSIP: 61753NAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19478846 | PA      | $8527291.29     | 0.00%             | 2037-02-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1016 FN 09/47 FIXED 4                          | CUSIP: 3140GPDW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       311082 | PA      | $297973.01      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.70000 06/06/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $30368711.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-22                                                        | FANNIE MAE FNR 2007 22 SW                                  | CUSIP: 31396PT92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       446148 | PA      | $35629.70       | 0.00%             | 2037-03-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB5124 FN 05/42 FIXED 4                          | CUSIP: 31417BVS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57813 | PA      | $55848.81       | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.0593* 03/13/26-30Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $570631.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $30799.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA4702 FN 11/53 FIXED 6.5                        | CUSIP: 3140A5GL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       267734 | PA      | $277390.45      | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2006-HE2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE2 M2            | CUSIP: 17309LAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4812578 | PA      | $4753684.55     | 0.00%             | 2036-08-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.50000 09/21/22-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-219511.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88400 03/25/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-610110.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-10268254.88   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC3909 FN 04/46 FIXED 4                          | CUSIP: 3140EYKX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58792 | PA      | $56385.32       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260422                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-5679699.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5504 FN 02/47 FIXED 4                          | CUSIP: 3140FRDJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49832 | PA      | $47752.27       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55500 03/05/24-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4218907.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2423                                                                 | FREDDIE MAC FHR 2423 MC                                    | CUSIP: 31339WBV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5219 | PA      | $5412.64        | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8551 FR 03/53 FIXED 5.5                | CUSIP: 3133BWQC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       135765 | PA      | $137085.30      | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ0113 FR 07/54 FIXED 7                  | CUSIP: 3133CQDS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59947 | PA      | $63491.36       | 0.00%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 41 1A1           | CUSIP: 12667GR62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       561859 | PA      | $416327.83      | 0.00%             | 2035-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY7770 FN 07/45 FIXED 4                          | CUSIP: 3138YMT41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9996 | PA      | $9610.50        | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR25                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR25 1A21         | CUSIP: 45660LQ93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       958656 | PA      | $509382.34      | 0.00%             | 2035-12-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5251 FR 01/53 FIXED 5.5                | CUSIP: 3133BSZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10931886 | PA      | $11032526.37    | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 7A1                 | CUSIP: 46630GBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       408076 | PA      | $401663.21      | 0.00%             | 2035-07-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3074 FN 06/55 FIXED 5                          | CUSIP: 3140BFMY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       151704 | PA      | $150170.98      | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 955282 FN 01/38 FIXED 6                          | CUSIP: 31413TXK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78920 | PA      | $81629.43       | 0.00%             | 2038-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A3            | CUSIP: 93935BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20438585 | PA      | $4165154.67     | 0.00%             | 2036-07-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 4A                                                  | ALESCO PREFERRED FUNDING LTD ALESC 4A A2 144A              | CUSIP: 01448QAB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4896880 | PA      | $4688762.71     | 0.00%             | 2034-07-30      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1942839.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.18840 03/31/26-28Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-571277.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO DEUTSCHE REVERSE REPO                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1608696 | PA      | $-1608855.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A5CB                                            | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A5CB A2           | CUSIP: 76112FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5914733 | PA      | $1505426.68     | 0.00%             | 2036-06-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO4281 FN 07/49 FIXED 4                          | CUSIP: 3140JYXK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       900140 | PA      | $878790.61      | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS7 A1            | CUSIP: 748940AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       237280 | PA      | $189437.18      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB0652 FR 06/50 FIXED 3.5                | CUSIP: 3133A6WM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       485500 | PA      | $449829.13      | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W11                                                   | ARGENT SECURITIES INC. ARSI 2004 W11 M5                    | CUSIP: 040104MK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3311304 | PA      | $3155448.71     | 0.00%             | 2034-11-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-KS9                                              | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS9 AI4           | CUSIP: 75406YAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56291561 | PA      | $48846552.04    | 0.02%             | 2036-11-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ4420 FR 04/55 FIXED 5.5                | CUSIP: 3142GU4E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25740098 | PA      | $25883887.09    | 0.01%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBCKD SEC 2006-SD1                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD1 M2           | CUSIP: 07384YVH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3817804 | PA      | $4002210.69     | 0.00%             | 2036-04-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                              | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 5.625      | CUSIP: 65480CAK1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |      3600000 | PA      | $3535391.52     | 0.00%             | 2028-09-29      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH9324 G2 06/48 FIXED 4                       | CUSIP: 3617H7LD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       627856 | PA      | $593546.66      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $442201.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1704 FN 12/47 FIXED 4                          | CUSIP: 3140H23N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1078617 | PA      | $1033607.13     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 D R 144A           | CUSIP: 78454XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        22750 | PA      | $5789420.58     | 0.00%             | 2058-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q11781 FG 09/42 FIXED 3                  | CUSIP: 3132HM6S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47013 | PA      | $43600.96       | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0538 FN 10/30 FIXED 4.5                        | CUSIP: 31417YS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12544 | PA      | $12570.87       | 0.00%             | 2030-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES OWNER TRUST 2024-B                                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2024 B A3              | CUSIP: 65479WAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39800000 | PA      | $39884391.92    | 0.02%             | 2029-03-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8431 FR 05/54 FIXED 5.5                | CUSIP: 3132DWLL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    115968094 | PA      | $116669641.90   | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 33A1                 | CUSIP: 07386HQ38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8910 | PA      | $5372.58        | 0.00%             | 2036-05-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2024-2                                              | DELL EQUIPMENT FINANCE TRUST DEFT 2024 2 A2 144A           | CUSIP: 24704EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19259583 | PA      | $19281092.21    | 0.01%             | 2030-08-22      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP MYC                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $495570.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-701067.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-29CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 29CB A5          | CUSIP: 12667FZK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4499375 | PA      | $4490059.70     | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4504 FN 12/46 FIXED 4                          | CUSIP: 3140FQAE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179568 | PA      | $172002.87      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 01/29 VAR                   | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      7400000 | PA      | $7316803.06     | 0.00%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43172 FG 09/46 FIXED 3                  | CUSIP: 3132WGQ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       106487 | PA      | $96177.94       | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RONDA RMBS DAC 2025-1A                                                           | RONDA RMBS DESIGNATED ACTIVITY RONDA 2025 1A B 144A        | CUSIP: ACI34XF48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     18271000 | PA      | $20837434.72    | 0.01%             | 2075-10-28      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2006-1                                            | AMERICAN HOME MORTGAGE INVESTM AHM 2006 1 11A1             | CUSIP: 02660THY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5567041 | PA      | $5080372.97     | 0.00%             | 2046-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-AC4                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AC4 A1           | CUSIP: 07378RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20776921 | PA      | $16266143.19    | 0.01%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A D 144A         | CUSIP: 21056EAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5217526 | PA      | $5404785.95     | 0.00%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A9CB                                            | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A9CB A6           | CUSIP: 76112HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4445272 | PA      | $1247010.27     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1             | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2469447 | PA      | $1947237.26     | 0.00%             | 2036-10-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS8                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS8 M4            | CUSIP: 76112BZM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2662265.41     | 0.00%             | 2035-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CONSUMER PORTFOLIO SERVICES AUTO TRUST 2025-C                                    | CPS AUTO TRUST CPS 2025 C A 144A                           | CUSIP: 12634SAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17879237 | PA      | $17916068.55    | 0.01%             | 2029-03-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-OA1                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 OA1 A1            | CUSIP: 25150QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6282227 | PA      | $6037720.49     | 0.00%             | 2047-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-12CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 12CB A6          | CUSIP: 12668BXB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5246753 | PA      | $2507822.99     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3908                                                          | FREDDIE MAC FHR 3908 XS                                    | CUSIP: 3137AE3P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       360974 | PA      | $37849.59       | 0.00%             | 2039-06-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A4          | CUSIP: 83612NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18913524 | PA      | $5028776.86     | 0.00%             | 2037-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A E 144A         | CUSIP: 21056DAK6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6037925 | PA      | $6094947.20     | 0.00%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL4                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL4 PT 144A        | CUSIP: 12653MAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199025756 | PA      | $187835632.80   | 0.08%             | 2058-04-25      | Variable      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3355 FN 02/48 FIXED VAR                        | CUSIP: 3140J7WR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156751 | PA      | $146334.41      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SECURITIES CORP                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 4 3A4             | CUSIP: 22541SUQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       170375 | PA      | $158215.63      | 0.00%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6108 FN 01/47 FIXED 4                          | CUSIP: 3140FRYE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15406 | PA      | $14756.69       | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260417                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-69975.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 B 144A        | CUSIP: 17329YAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36467906 | PA      | $20790039.59    | 0.01%             | 2061-05-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ANDRETTI FUNDING                                                                 | ANDRETTI 144A                                              | CUSIP: 958YTYII5<br>LEI: N/A                  | Long             | DBT              | CORP              | GB        |    352716000 | PA      | $388491085.12   | 0.17%             | 2026-06-26      | Variable      | 4.36%                 | No            |                  3 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR3                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR3 2A1                 | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       203380 | PA      | $194956.15      | 0.00%             | 2044-07-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-AR1                                               | HSI ASSET LOAN OBLIGATION HALO 2007 AR1 2A1                | CUSIP: 40431LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       607126 | PA      | $353952.34      | 0.00%             | 2037-01-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-2                                               | HOME EQUITY ASSET TRUST HEAT 2002 2 M1                     | CUSIP: 22541NCU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16151 | PA      | $16129.65       | 0.00%             | 2032-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51345 FG 10/47 FIXED 3.5                | CUSIP: 3132XTP77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10201 | PA      | $9484.27        | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC7839 FN 01/55 FIXED 7                          | CUSIP: 3140AVV99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4350303 | PA      | $4575109.95     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.40000 08/07/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $2028311.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-175667.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK4372 FR 08/27 FIXED 2.5                | CUSIP: 3131X72D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       591171 | PA      | $584974.82      | 0.00%             | 2027-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS7 2A1           | CUSIP: 74923WAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6069568 | PA      | $2198222.87     | 0.00%             | 2037-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1            | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84634 | PA      | $65698.84       | 0.00%             | 2046-12-26      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH1                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MV10 144A    | CUSIP: 46630LBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1794000 | PA      | $1893977.11     | 0.00%             | 2036-11-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0012 FR 06/55 FIXED 5                  | CUSIP: 3142J6AN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    170278034 | PA      | $168146569.70   | 0.07%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1798 FR 03/34 FIXED 3                  | CUSIP: 3132AD7K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       150190 | PA      | $145494.14      | 0.00%             | 2034-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A6            | CUSIP: 05948XBX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |            4 | PA      | $3.65           | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-30Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $22141378.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $15884.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE3                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE3 A3            | CUSIP: 590212AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13755819 | PA      | $3554290.39     | 0.00%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $8977299.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8776 FN 03/53 FIXED 5.5                        | CUSIP: 3140NDXE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48693 | PA      | $49347.43       | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256343 FN 06/26 FIXED 5                          | CUSIP: 31371MWC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           99 | PA      | $98.88          | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $318191.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.62000 09/02/25-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3305319.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1084188720 | PA      | $1089351800.15  | 0.48%             | 2056-04-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH2 AF3          | CUSIP: 46630MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2945600 | PA      | $1439252.73     | 0.00%             | 2030-10-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2015-3                                                 | TOWD POINT MORTGAGE TRUST TPMT 2015 3 B2 144A              | CUSIP: 89172HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24000000 | PA      | $23451816.00    | 0.01%             | 2054-03-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-10188.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL AS5752 G2 03/46 FIXED 3.5                     | CUSIP: 36193QL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3416092 | PA      | $3179501.80     | 0.00%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.08000 04/17/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2209516.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7493 FN 07/46 FIXED 4                          | CUSIP: 3138WHKF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       137219 | PA      | $131749.11      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1958 FN 11/46 FIXED 3.5                        | CUSIP: 3140FME85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89000 | PA      | $83270.48       | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY 144A 10/27 VAR                     | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     30400000 | PA      | $30746242.93    | 0.01%             | 2027-10-18      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ5035 FN 10/45 FIXED 4.5                        | CUSIP: 3138YWSZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       191905 | PA      | $187836.63      | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256461 FN 10/26 FIXED 5                          | CUSIP: 31371MZ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1198 | PA      | $1196.49        | 0.00%             | 2026-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 33 LTD 33A                                                               | KKR FINANCIAL CLO LTD KKR 33A AR 144A                      | CUSIP: 48254QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     27700000 | PA      | $27728426.57    | 0.01%             | 2034-07-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q40718 FG 05/46 FIXED 3.5                | CUSIP: 3132WDYQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5489 | PA      | $5149.69        | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-147.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3716 FN 12/52 FIXED 5.5                        | CUSIP: 3140N8DW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15366658 | PA      | $15486481.95    | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-3                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 3 M6             | CUSIP: 64352VLP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32115000 | PA      | $32194224.49    | 0.01%             | 2035-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-273844.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7190 FR 03/30 FIXED 3                  | CUSIP: 3132A77B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32458 | PA      | $31914.84       | 0.00%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                                  | HOUT BAY HOUT 2006 1A A2 144A                              | CUSIP: 442451AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     34164656 | PA      | $43354.95       | 0.00%             | 2041-07-05      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/45 4.625                                | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    794355500 | PA      | $766304821.41   | 0.34%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA ROMANIA                                            | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     78250000 | PA      | $89337325.06    | 0.04%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-6                                                 | TOWD POINT MORTGAGE TRUST TPMT 2017 6 A2 144A              | CUSIP: 89175JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8700000 | PA      | $8383766.31     | 0.00%             | 2057-10-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN3797 FR 03/39 FIXED 3.5                | CUSIP: 3131YAGE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1294162 | PA      | $1243338.30     | 0.00%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4788 FN 10/45 FIXED 4                          | CUSIP: 3138YWKA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       916405 | PA      | $882618.71      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $21899.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2006-5                                                   | HOME EQUITY ASSET TRUST HEAT 2006 5 2A3                    | CUSIP: 437096AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4861 | PA      | $5206.98        | 0.00%             | 2036-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CUMULUS STATIC CLO 2024-1 DAC 24-1A                                              | CUMULUS STATIC CLO CMLST 2024 1A A 144A                    | CUSIP: ACI2NK2H2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     41333256 | PA      | $47837905.60    | 0.02%             | 2033-11-15      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD0977 FN 04/46 FIXED 4                          | CUSIP: 3140F8CP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31260 | PA      | $29994.79       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2004-3                                                 | SAXON ASSET SECURITIES TRUST SAST 2004 3 M2                | CUSIP: 805564QW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       185809 | PA      | $173402.29      | 0.00%             | 2034-12-26      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 892617 FN 09/36 FIXED 6.5                        | CUSIP: 31410NVJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6919 | PA      | $7237.32        | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83453 FG 10/47 FIXED 3.5                | CUSIP: 3132L8ZS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39035 | PA      | $36406.09       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0160 FN 11/46 FIXED 3.5                        | CUSIP: 3140FKFA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6557 | PA      | $6115.42        | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-27745070.79   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 45 1A1           | CUSIP: 12667G6J7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3036278 | PA      | $2788554.30     | 0.00%             | 2035-10-20      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 B 144A       | CUSIP: 36265TAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27885296 | PA      | $19241721.76    | 0.01%             | 2061-06-25      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2D               | CUSIP: 61749BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7762703 | PA      | $4049976.89     | 0.00%             | 2036-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                                   | FREMONT HOME LOAN TRUST FHLT 2006 B 2A4                    | CUSIP: 35729QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7698339 | PA      | $2373774.31     | 0.00%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $390413.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED 144A 07/32 6.875               | CUSIP: 02090DAE8<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      4872423 | PA      | $4621169.05     | 0.00%             | 2032-07-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4581222.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 2A4              | CUSIP: 126673BB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       224453 | PA      | $221565.01      | 0.00%             | 2034-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 16 A20                    | CUSIP: 12669G3N9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       765547 | PA      | $456229.94      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50589 FG 09/47 FIXED 3.5                | CUSIP: 3132XSUP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       818615 | PA      | $763811.15      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU3826 FN 12/26 FIXED 3                          | CUSIP: 3138X3HC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1085 | PA      | $1080.13        | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-1                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 1 A1               | CUSIP: 02660BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25303218 | PA      | $8539362.88     | 0.00%             | 2047-02-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9285 FN 10/46 FIXED VAR                        | CUSIP: 3138ERJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       299509 | PA      | $281020.20      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 12/21/22-30Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $287924606.41   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5.5 JUMBOS                               | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    329600000 | PA      | $331081136.70   | 0.15%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F020448<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |      -200000 | PA      | $-184026.28     | -0.00%            | 2041-04-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INC 2006-FM1                                    | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FM1 A2C           | CUSIP: 59021AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8845697 | PA      | $3996790.97     | 0.00%             | 2037-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2006-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2006 1 M6               | CUSIP: 65106AAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16346544 | PA      | $15768791.75    | 0.01%             | 2036-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-26A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 26A 3A5           | CUSIP: 86359AS95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        39584 | PA      | $38489.64       | 0.00%             | 2033-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-3                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 3 M3              | CUSIP: 86358ERX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       154815 | PA      | $154076.76      | 0.00%             | 2035-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-8025394.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                 | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    412739000 | PA      | $404282093.46   | 0.18%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $155165.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS5053 FN 06/53 FIXED VAR                        | CUSIP: 3140XLTK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6600242 | PA      | $6653614.10     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2006-12                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 12 2A1            | CUSIP: 86362RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2347266 | PA      | $1702269.38     | 0.00%             | 2037-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                               | COOPERATIEVE RABOBANK UA JR SUBORDINA REGS 12/99 VAR       | CUSIP: BJBQCWII7<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | EP               | CORP              | NL        |    183949925 | NS      | $235596249.25   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ5341 FN 11/26 FIXED 3.5                        | CUSIP: 3138AW5B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27257 | PA      | $27139.92       | 0.00%             | 2026-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3210 FN 07/55 FIXED 5                          | CUSIP: 3140BFR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2712605 | PA      | $2677981.32     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY0899 FR 04/55 FIXED 7                  | CUSIP: 31426J7M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2959114 | PA      | $3128381.30     | 0.00%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                                    | GSAA HOME EQUITY TRUST GSAA 2006 5 2A3                     | CUSIP: 362334GT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21050225 | PA      | $9541791.14     | 0.00%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-4                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 4 2A1            | CUSIP: 07384MVP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45910 | PA      | $43026.58       | 0.00%             | 2033-07-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                                      | REPUBLIC OF PANAMA EUR TERM LOAN 2                         | CUSIP: BA000HCH9<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | NUSS              | IE        |    451800000 | PA      | $526348237.64   | 0.23%             | 2027-04-01      | Floating      | 4.92%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1831 FN 10/46 FIXED 3.5                        | CUSIP: 3140FMA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14904 | PA      | $13922.84       | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                                  | IHEARTMEDIA INC   CLASS A COMMON STOCK                     | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      9028024 | NS      | $26361830.08    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88500 07/12/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-992602.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2B               | CUSIP: 61753KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23011260 | PA      | $9307313.81     | 0.00%             | 2037-03-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08648 FG 06/45 FIXED 3                  | CUSIP: 3128MJWJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       210824 | PA      | $190441.14      | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX0836 FN 09/44 FIXED 4                          | CUSIP: 3138Y14W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2979881 | PA      | $2880090.68     | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9027 FN 09/46 FIXED VAR                        | CUSIP: 3138ERA59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1867623 | PA      | $1783198.61     | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO 2003-37A                                          | STRUCTURED ASSET SECURITIES CO SASC 2003 37A 7A            | CUSIP: 86359BCK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       715755 | PA      | $700501.85      | 0.00%             | 2033-12-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 2A           | CUSIP: 07387YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       628574 | PA      | $572301.33      | 0.00%             | 2037-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260422                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-793242.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 2A4            | CUSIP: 12666SAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19679738 | PA      | $18530496.04    | 0.01%             | 2037-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG6749 FR 05/53 FIXED 6.5                | CUSIP: 3133C7QA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1960595 | PA      | $2053698.58     | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2004-SD4                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 SD4 M2 144A        | CUSIP: 126673SF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       707976 | PA      | $832669.04      | 0.00%             | 2034-12-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL4                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL4 SA 144A      | CUSIP: 36272VAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       536994 | PA      | $521933.32      | 0.00%             | 2065-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-21                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 21 A2                     | CUSIP: 126694CE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        67067 | PA      | $34898.61       | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $225770.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-E                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 8A1             | CUSIP: 05946XXW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       299367 | PA      | $233314.26      | 0.00%             | 2035-06-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-2                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2006 2 M3              | CUSIP: 9497EAAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6795000 | PA      | $6675955.00     | 0.00%             | 2036-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR2                                                          | BCAP LLC TRUST BCAP 2012 RR2 5A7 144A                      | CUSIP: 05540FBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       993071 | PA      | $944104.08      | 0.00%             | 2036-02-26      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6661 FN 01/48 FIXED 4                          | CUSIP: 3140H8MK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       283386 | PA      | $271561.99      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-4                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2005 4 M2                   | CUSIP: 66987WDF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10516237 | PA      | $9989076.27     | 0.00%             | 2036-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-3A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 3A A3 144A               | CUSIP: 16144LAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     47224887 | PA      | $47636886.27    | 0.02%             | 2029-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2005-HE1                                  | STRUCTURED ASSET INVESTMENT LO SAIL 2005 HE1 M2            | CUSIP: 86358EUW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10758949 | PA      | $10408498.58    | 0.00%             | 2035-07-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ2139 FR 08/54 FIXED 6.5                | CUSIP: 3133CSLU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2578740 | PA      | $2697055.07     | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG46 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $27415373.64    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/22/23-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2723061.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR2 A1            | CUSIP: 86359LSM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10992777 | PA      | $10409881.60    | 0.00%             | 2036-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-4N                                                          | LEHMAN XS TRUST LXS 2007 4N 1A3                            | CUSIP: 52524HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9611589 | PA      | $8571571.85     | 0.00%             | 2047-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-OA3                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA3 A1            | CUSIP: 25150WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6034309 | PA      | $5774199.80     | 0.00%             | 2047-07-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD6591 FR 10/54 FIXED 5                  | CUSIP: 3132DUKC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6082550 | PA      | $6004700.53     | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0U5A9 PIMCO FPPSWAPTION 2.4 PUT USD                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    158900000 | NC      | $45913122.15    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2025-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2025 A A2 144A         | CUSIP: 706916AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9871546 | PA      | $9874191.74     | 0.00%             | 2028-09-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TR 2007-1                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 1 2A1             | CUSIP: 576431AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35961 | PA      | $17999.60       | 0.00%             | 2036-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| CITRUS RE LTD                                                                    | CITRUS RE LTD UNSECURED 144A 06/33 VAR                     | CUSIP: 177510AT1<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |      5050000 | PA      | $5050000.00     | 0.00%             | 2033-06-07      | Floating      | 9.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB1 6A1                  | CUSIP: 12669GQP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48051 | PA      | $45897.56       | 0.00%             | 2035-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $855311.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4919 FN 02/53 FIXED 5.5                        | CUSIP: 31418EPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34322937 | PA      | $34637189.88    | 0.02%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B A1A 144A         | CUSIP: 78449HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    201370776 | PA      | $201961154.72   | 0.09%             | 2056-10-16      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 A5 144A       | CUSIP: 17329AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388370002 | PA      | $357537734.67   | 0.16%             | 2060-09-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-1439444.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.46000 08/01/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $2057419.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED REGS 07/31 3.061                    | CUSIP: N7163RAR4<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |       800000 | PA      | $717141.22      | 0.00%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO 14A                                                            | ARES EURO CLO ARESE 14A AR 144A                            | CUSIP: ACI2RNVJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     18142500 | PA      | $20992345.53    | 0.01%             | 2034-10-21      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VII DAC 7A                                                            | ARBOUR CLO ARBR 7A BR 144A                                 | CUSIP: ACI2S2B53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      3200000 | PA      | $3706487.28     | 0.00%             | 2038-12-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SD1                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SD1 A1 144A        | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4902578 | PA      | $3749408.51     | 0.00%             | 2047-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-RP2                                                             | RAAC SERIES RAAC 2006 RP2 M1 144A                          | CUSIP: 74919MAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2406285 | PA      | $2364218.63     | 0.00%             | 2037-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-67903.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.84200 03/04/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2865762.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-193373.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-76                                                               | FANNIE MAE FNR 2003 76 EZ                                  | CUSIP: 31393D6J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85957 | PA      | $86939.22       | 0.00%             | 2033-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES11                                                   | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES11 A1A 144A       | CUSIP: 749423AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48122404 | PA      | $47884795.31    | 0.02%             | 2055-11-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 39CB 1A10        | CUSIP: 02148JAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       751904 | PA      | $611952.48      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX3008 FN 10/44 FIXED 4                          | CUSIP: 3138Y4KW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2312 | PA      | $2228.51        | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2005-WF1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF1 M1            | CUSIP: 17307GPG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1571250 | PA      | $1573796.55     | 0.00%             | 2034-11-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                            | ENVALIOR FINANCE GMBH USD TERM LOAN B1                     | CUSIP: D255LZAC9<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |    210239128 | PA      | $185011483.46   | 0.08%             | 2030-04-01      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9019 FN 09/47 FIXED 4                          | CUSIP: 3140GYAV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       230953 | PA      | $221315.09      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NRPL-2024-RPL2                                                                   | NRPL TRUST SERIES NRPL 2024 RPL2 PT 144A                   | CUSIP: 62956GAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    154978763 | PA      | $131872296.99   | 0.06%             | 2063-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 2A2                 | CUSIP: 466247J53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       233705 | PA      | $208655.13      | 0.00%             | 2036-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-WF4                                             | STRUCTURED ASSET SECURITIES CO SASC 2005 WF4 M7            | CUSIP: 863576DM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2978642.40     | 0.00%             | 2035-11-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 1A1             | CUSIP: 23246BAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3727295 | PA      | $3594647.91     | 0.00%             | 2047-06-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2651 FN 11/45 FIXED 3.5                        | CUSIP: 3140E65M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121804 | PA      | $114441.25      | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                              | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR               | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     15100000 | PA      | $15612645.00    | 0.01%             | 2032-06-07      | Floating      | 9.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP BOA                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-2506761.94    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-B                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 B A1                 | CUSIP: 589929K56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1393 | PA      | $1213.03        | 0.00%             | 2028-04-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-1                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 1 1A14            | CUSIP: 05951FBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1984260 | PA      | $1699290.93     | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $2020859.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-4                                                   | GSR MORTGAGE LOAN TRUST GSR 2004 4 2A2                     | CUSIP: 36228FD45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5109 | PA      | $5037.50        | 0.00%             | 2032-04-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A          | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28700000 | PA      | $25495501.50    | 0.01%             | 2038-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 B2 144A         | CUSIP: 52474AAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132995966 | PA      | $124261349.54   | 0.06%             | 2058-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $640507.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0703 FN 12/43 FIXED 4                          | CUSIP: 3138XBX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24239 | PA      | $23408.00       | 0.00%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW1280 FN 07/29 FIXED 3                          | CUSIP: 3138XQM65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35022 | PA      | $34495.93       | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM3 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 NQM3 A1 144A      | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4084524 | PA      | $4113670.50     | 0.00%             | 2068-11-25      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-7                                                    | COUNTRYWIDE HOME LOANS CWHL 2004 7 1A1                     | CUSIP: 12669FXH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       304957 | PA      | $311618.69      | 0.00%             | 2034-06-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A           | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5243947 | PA      | $4493048.41     | 0.00%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                                              | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M4                | CUSIP: 70069FEL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8054065 | PA      | $7987147.97     | 0.00%             | 2035-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-4                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 4 3A             | CUSIP: 41161PEM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11837 | PA      | $11611.96       | 0.00%             | 2034-06-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-11                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 11 MV5             | CUSIP: 126670DE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6000000 | PA      | $5503585.80     | 0.00%             | 2036-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA9163 FN 05/54 FIXED 5                          | CUSIP: 3140YXFD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       736873 | PA      | $727725.25      | 0.00%             | 2054-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP4869 FN 09/27 FIXED 3.5                        | CUSIP: 3138M8MT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9529 | PA      | $9470.95        | 0.00%             | 2027-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q37772 FG 12/45 FIXED 3                  | CUSIP: 3132QUT60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76508 | PA      | $69334.12       | 0.00%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0223 FN 03/55 FIXED 5.5                        | CUSIP: 3140B0G93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       461835 | PA      | $464417.04      | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6102 FR 12/48 FIXED 4                  | CUSIP: 31329PX73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23974 | PA      | $22972.03       | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO7262 FN 01/35 FIXED 3                          | CUSIP: 3140K3B84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60577 | PA      | $58176.18       | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 15 A7                     | CUSIP: 12669GR37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        92785 | PA      | $45400.06       | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-8                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 8 A 144A          | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4988049 | PA      | $5001277.77     | 0.00%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF12                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF12 A5            | CUSIP: 32027GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24819203 | PA      | $23430218.60    | 0.01%             | 2036-09-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60857 FG 02/47 FIXED 4                  | CUSIP: 31335A5S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1277 | PA      | $1229.35        | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 1A1            | CUSIP: 05949CBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       528882 | PA      | $341729.58      | 0.00%             | 2035-07-25      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXII LTD 2020-22A                                    | BENEFIT STREET PARTNERS CLO LT BSP 2020 22A ARR 144A       | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     34100000 | PA      | $34108852.02    | 0.02%             | 2035-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 2A1                  | CUSIP: 170256AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       511611 | PA      | $460400.47      | 0.00%             | 2036-09-20      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| HERBIE RE LTD                                                                    | HERBIE RE LTD UNSECURED 144A 01/30 VAR                     | CUSIP: 42703VAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      4600000 | PA      | $4606900.00     | 0.00%             | 2030-01-07      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A2           | CUSIP: 93364FAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6542979 | PA      | $6071344.54     | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                                   | ARGENT SECURITIES INC. ARSI 2006 W3 A1                     | CUSIP: 040104SN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17494057 | PA      | $9539003.59     | 0.00%             | 2036-04-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-7                                                   | LUMINENT MORTGAGE TRUST LUM 2006 7 2A1                     | CUSIP: 55028BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7709726 | PA      | $6913514.48     | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52541 FG 11/47 FIXED 3.5                | CUSIP: 3132XUZF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1380034 | PA      | $1287078.76     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 5 1M2                  | CUSIP: 07386HUD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1476733 | PA      | $1482355.29     | 0.00%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 1A1            | CUSIP: 68403KAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       788466 | PA      | $714111.64      | 0.00%             | 2037-07-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY6227 FR 06/55 FIXED 5                  | CUSIP: 31426Q4M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1265136 | PA      | $1252027.86     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-3640732.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 A2C               | CUSIP: 61756YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14010000 | PA      | $12528571.39    | 0.01%             | 2037-07-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                    | ARGENT SECURITIES INC. ARSI 2006 M1 A2B                    | CUSIP: 04012MAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7793760 | PA      | $2095201.20     | 0.00%             | 2036-07-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE4                                                             | GSAMP TRUST GSAMP 2005 HE4 M3                              | CUSIP: 362341KE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       486255 | PA      | $506892.14      | 0.00%             | 2045-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-104159.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                             | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25               | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     40350000 | PA      | $41833232.91    | 0.02%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS3X                                                    | RMAC SECURITIES PLC RMACS 2006 NS3X A2A REGS               | CUSIP: B1FJ01II9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2307751 | PA      | $3010249.75     | 0.00%             | 2044-06-12      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE7842 FN 09/55 FIXED 5                          | CUSIP: 3140BLWC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1583268 | PA      | $1567707.78     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 739758 FN 08/33 FLOATING VAR                     | CUSIP: 31402VZX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3711 | PA      | $3776.89        | 0.00%             | 2033-08-01      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL10                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP10 A2 144A        | CUSIP: 12655BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    233052495 | PA      | $228992440.92   | 0.10%             | 2057-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3981 FN 04/50 FIXED VAR                        | CUSIP: 3140X7M71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11486710 | PA      | $10278811.52    | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-J3                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 J3 1A1                    | CUSIP: 12669D5Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17393 | PA      | $16181.72       | 0.00%             | 2033-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX7303 FN 12/44 FIXED 4                          | CUSIP: 3138Y9DH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28591 | PA      | $27552.67       | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2597 FN 08/47 FIXED 4                          | CUSIP: 3140GQ3F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       361561 | PA      | $346586.23      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC9986 FN 01/55 FIXED 5.5                        | CUSIP: 3140AYCY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33457 | PA      | $33644.23       | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $54969.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A5 2A1                 | CUSIP: 46629CAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       316044 | PA      | $256559.76      | 0.00%             | 2036-08-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 D C 144A           | CUSIP: 78454XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6185011 | PA      | $6320662.87     | 0.00%             | 2058-10-15      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL13 LLC                                                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL13 A1 144A     | CUSIP: 74143UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    164918708 | PA      | $164431570.74   | 0.07%             | 2055-12-25      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.41000 08/07/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $595263.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8021 FR 12/34 FIXED 3                  | CUSIP: 3132D54E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1781004 | PA      | $1715659.56     | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6967 FN 07/53 FIXED 5                          | CUSIP: 3140NPW55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       223000 | PA      | $221067.28      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA1                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA1 A1            | CUSIP: 25151VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4071455 | PA      | $2276038.75     | 0.00%             | 2047-02-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4053 FN 01/47 FIXED 3.5                        | CUSIP: 3140FPQF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12211987 | PA      | $11420768.91    | 0.01%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY7468 FN 03/45 FIXED 4                          | CUSIP: 3138YMJN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1463031 | PA      | $1410007.54     | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                             | GSAMP TRUST GSAMP 2006 FM1 A2C                             | CUSIP: 362334PJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1664291 | PA      | $1088027.45     | 0.00%             | 2036-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| AMERICAN GENERAL MORTGAGE LOAN TRUST 2010-1A                                     | AMERICAN GENERAL MORTGAGE LOAN AGFMT 2010 1A CE 144A       | CUSIP: 02640FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61060969 | PA      | $47543694.82    | 0.02%             | 2058-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2003 HYB2 1A1                  | CUSIP: 12669D2Y3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       271792 | PA      | $264523.16      | 0.00%             | 2033-07-19      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A3          | CUSIP: 073888AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3103043 | PA      | $891753.77      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-3                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M3                   | CUSIP: 66987XGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12356380 | PA      | $11949672.67    | 0.01%             | 2036-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.93000 03/24/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2066689.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-AF2                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AF2 AF2           | CUSIP: 59023NAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1502671 | PA      | $511500.17      | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES / NOTE COMPANY GUAR 144A 02/27 5.75        | CUSIP: 92564RAJ4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12316000 | PA      | $12388940.65    | 0.01%             | 2027-02-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD3087 FN 02/55 FIXED 5                          | CUSIP: 3140B3ND0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2123840 | PA      | $2097255.29     | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-J11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J11 3A1          | CUSIP: 12667FXN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22363 | PA      | $22610.81       | 0.00%             | 2032-08-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                             | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 A11            | CUSIP: 86358EPB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1058012 | PA      | $1245786.68     | 0.00%             | 2034-11-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| TIB DIVERSIFIED PAYMENT RIGHTS FINANCE CO                                        | CORPTB9D9                                                  | CUSIP: 954VMHII9<br>LEI: 549300L0OOCR1ME5E729 | Long             | DBT              | CORP              | US        |     60100000 | PA      | $58622150.62    | 0.03%             | 2034-11-15      | Floating      | 7.11%                 | Yes           |                  3 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-3                                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 3 5A8             | CUSIP: 058931BL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30136 | PA      | $27367.96       | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.24800 09/18/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4746413.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC SERIES 2010-9R                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 9R 30A5 144A        | CUSIP: 12644NUH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2435202 | PA      | $711151.42      | 0.00%             | 2036-10-27      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR6 2A1A          | CUSIP: 92922FJ25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4614977 | PA      | $4509778.43     | 0.00%             | 2045-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A2            | CUSIP: 74922QAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4718842 | PA      | $4461194.10     | 0.00%             | 2036-09-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU5571 FN 02/55 FIXED 7                          | CUSIP: 3140M7FM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11808248 | PA      | $12440474.83    | 0.01%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2023-C                                                | CPS AUTO TRUST CPS 2023 C C 144A                           | CUSIP: 223928AC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19690904 | PA      | $19831039.99    | 0.01%             | 2029-10-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A            | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       111472 | PA      | $107023.95      | 0.00%             | 2035-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46412 FG 03/47 FIXED 4                  | CUSIP: 3132WLDS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1128369 | PA      | $1083807.95     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4219 FR 12/35 FIXED 6.5                | CUSIP: 3132A4VL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          424 | PA      | $442.58         | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 6A1          | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1746180 | PA      | $1694318.88     | 0.00%             | 2035-11-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL2 PT 144A         | CUSIP: 52474EAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    185443680 | PA      | $175022932.17   | 0.08%             | 2057-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80000 03/10/23-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $647436.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-CNP                                          | MORGAN STANLEY CAPITAL I TRUST MSC 2020 CNP A 144A         | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1772863.80     | 0.00%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 7A1                 | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       499659 | PA      | $446818.71      | 0.00%             | 2035-08-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS3                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS3 M6            | CUSIP: 76112BLN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6697467 | PA      | $6712175.94     | 0.00%             | 2035-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 7A1                 | CUSIP: 46628KAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        58425 | PA      | $57404.74       | 0.00%             | 2035-04-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A1             | CUSIP: 55275RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28697401 | PA      | $12731736.64    | 0.01%             | 2036-10-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR2                                            | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR2 3A1           | CUSIP: 45661SAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2302828 | PA      | $1754501.79     | 0.00%             | 2036-09-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                           | CVS PASS THROUGH TRUST PASS THRU CE 01/28 5.88             | CUSIP: 126650BC3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       313171 | PA      | $314386.31      | 0.00%             | 2028-01-10      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-5                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2A2             | CUSIP: 161546GR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5007 | PA      | $5031.75        | 0.00%             | 2033-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2B               | CUSIP: 61753VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23312118 | PA      | $7294228.99     | 0.00%             | 2037-02-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-20                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 20 3A3            | CUSIP: 863579ZL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       761184 | PA      | $710540.10      | 0.00%             | 2035-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4202 FN 12/40 FIXED 1.5                        | CUSIP: 31418DU42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       619108 | PA      | $529036.48      | 0.00%             | 2040-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6603 FN 12/55 FIXED 5                          | CUSIP: 3140BXKR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21096510 | PA      | $20822934.33    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB1                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF6          | CUSIP: 1248MGAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6619377 | PA      | $1797039.78     | 0.00%             | 2037-01-25      | Variable      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6400 FN 12/45 FIXED 4                          | CUSIP: 3138WGDE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       312837 | PA      | $299055.23      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-1A                                                         | FIRST HELP FINANCIAL LLC FHF 2024 1A A2 144A               | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10617327 | PA      | $10682413.04    | 0.00%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| LURA FUNDING DESIGNATED ACTIVITY COMPANY 2026-1A                                 | LURA FUNDING DAC LURA 2026 1A Z 144A                       | CUSIP: ACI394R93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     42989000 | PA      | $4997969.38     | 0.00%             | 2079-08-27      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-3A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 3A A3 144A       | CUSIP: 78436XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41300000 | PA      | $41463733.85    | 0.02%             | 2030-06-20      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q49389 FG 07/47 FIXED 3.5                | CUSIP: 3132WPNF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84344 | PA      | $78959.48       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DUTCH PROPERTY FINANCE 23-1                                                      | DUTCH PROPERTY FINANCE DPF 2023 1 A REGS                   | CUSIP: ACI2CMRY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      4210853 | PA      | $4883487.96     | 0.00%             | 2064-04-28      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-653.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS11                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS11 1A3          | CUSIP: 75115EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2426920 | PA      | $2026616.03     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-SCHATZ FUT   JUN26 XEUR 20260608                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |          -76 | NC      | $87309.41       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 1A1          | CUSIP: 02150QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        70339 | PA      | $59019.09       | 0.00%             | 2037-06-25      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5894 FR 11/48 FIXED 4                  | CUSIP: 31329PRP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       228036 | PA      | $218699.03      | 0.00%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3575 FN 12/38 FIXED 3.5                        | CUSIP: 31418C6M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50503 | PA      | $48599.96       | 0.00%             | 2038-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-262931.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-3                                               | HOME EQUITY ASSET TRUST HEAT 2005 3 M6                     | CUSIP: 437084KV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2609741 | PA      | $2616062.85     | 0.00%             | 2035-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-12T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 12T1 A1          | CUSIP: 02150LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       479251 | PA      | $210120.01      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD3808 FN 04/40 FIXED 4.5                        | CUSIP: 31418RGS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          891 | PA      | $882.00         | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 2 2A                 | CUSIP: 590219AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       470842 | PA      | $468403.42      | 0.00%             | 2036-05-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-18                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 18 1A              | CUSIP: 23243WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10908608 | PA      | $10788053.98    | 0.00%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3746 FN 11/55 FIXED 5                          | CUSIP: 3140BUEU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5532104 | PA      | $5460681.83     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA6057 FN 05/54 FIXED 5.5                        | CUSIP: 3140A6WT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       437091 | PA      | $439645.88      | 0.00%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |            1 | NC      | $148364.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP                  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A       | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55959184 | PA      | $55424986.26    | 0.02%             | 2037-04-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8036 FR 03/35 FIXED 3                  | CUSIP: 3132D54V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28457 | PA      | $27387.46       | 0.00%             | 2035-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-54                                                               | FANNIE MAE FNR 2007 54 IA                                  | CUSIP: 31396WEB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1420544 | PA      | $161054.74      | 0.00%             | 2037-06-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-67                                                               | FANNIE MAE FNR 2008 67 ZW                                  | CUSIP: 31397MCX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       746184 | PA      | $754564.58      | 0.00%             | 2038-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 5 2A1                  | CUSIP: 07386HJD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       224889 | PA      | $216599.81      | 0.00%             | 2034-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/26 MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $775642.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08823 FG 07/48 FIXED 3.5                | CUSIP: 3128MJ4H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25733051 | PA      | $23946492.52    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2020-1 DAC  20-1A                                               | BARINGS EURO CLO BABSE 2020 1A B2RR 144A                   | CUSIP: ACI3162N2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     11500000 | PA      | $13273204.44    | 0.01%             | 2038-10-21      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2507 FN 11/55 FIXED 5                          | CUSIP: 3140BSYD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2012267 | PA      | $1987204.26     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-10                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 10 2A1A          | CUSIP: 41162CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8261750 | PA      | $7419037.82     | 0.00%             | 2036-11-19      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG9119 FR 08/53 FIXED 6.5                | CUSIP: 3133CADY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       486742 | PA      | $505592.35      | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-17CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 17CB 1A1         | CUSIP: 12667FNW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       906574 | PA      | $871000.16      | 0.00%             | 2034-09-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KSJ1                      | FHLMC MULTIFAMILY STRUCTURED P FHMS KSG1 X1                | CUSIP: 3137FXLY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    197366743 | PA      | $7830466.31     | 0.00%             | 2030-09-25      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2025-2A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2025 2A A2A 144A      | CUSIP: 96041KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     78981304 | PA      | $79133596.00    | 0.04%             | 2028-09-15      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2005                                         | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 8 A11            | CUSIP: 05949CGY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       249312 | PA      | $217471.91      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 2A4             | CUSIP: 23246BAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14523700 | PA      | $14205382.20    | 0.01%             | 2047-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $57780.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0084 FR 01/56 FIXED 5                  | CUSIP: 3142J6CW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2313721788 | PA      | $2283503748.68  | 1.02%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA2056 FR 01/56 FIXED 5                  | CUSIP: 3142JQJA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       396447 | PA      | $391305.60      | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5050 FR 05/40 FIXED 3.5                | CUSIP: 3133KYTF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       309986 | PA      | $295855.88      | 0.00%             | 2040-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG6256 G2 06/48 FIXED 4                       | CUSIP: 3617GQ5R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       732896 | PA      | $691939.31      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-23                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1            | CUSIP: 863579L48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2397733 | PA      | $1266932.89     | 0.00%             | 2036-01-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2012-8                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2012 8 2A2 144A        | CUSIP: 17319TAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       852235 | PA      | $554902.76      | 0.00%             | 2036-11-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM7491 FR 07/48 FIXED 5                  | CUSIP: 3131Y2KC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       195114 | PA      | $193550.91      | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 1A1           | CUSIP: 12668ACG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       752184 | PA      | $720932.15      | 0.00%             | 2035-11-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                                   | FREMONT HOME LOAN TRUST FHLT 2006 C 2A2                    | CUSIP: 35729TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4785913 | PA      | $1889136.24     | 0.00%             | 2036-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-A                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 A A1A 144A         | CUSIP: 83207EAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36451806 | PA      | $36748158.98    | 0.02%             | 2054-04-15      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2016-3                                                 | TOWD POINT MORTGAGE TRUST TPMT 2016 3 B3 144A              | CUSIP: 89172YAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $948276.10      | 0.00%             | 2056-04-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0972 FN 11/47 FIXED 3.5                        | CUSIP: 3140H2CJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       777232 | PA      | $725588.04      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET BKD 2004-FF2                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF2 M5             | CUSIP: 32027NHM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       211079 | PA      | $209685.59      | 0.00%             | 2034-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-118839.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2854 FN 12/46 FIXED 2.5                        | CUSIP: 31418CE42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9438 | PA      | $8166.00        | 0.00%             | 2046-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1          | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12841484 | PA      | $10504947.99    | 0.00%             | 2047-02-20      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| BANKAMERICA MANUF HOUSING CONTR 1998-2                                           | BANKAMERICA MANUFACTURED HOUSI BAMH 1998 2 B1              | CUSIP: 06606TAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5000000 | PA      | $329743.00      | 0.00%             | 2049-12-31      | Variable      | 7.93%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT1 M3           | CUSIP: 83611MDJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17535148 | PA      | $16002186.76    | 0.01%             | 2035-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 4A1           | CUSIP: 933636AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3979217 | PA      | $3784783.85     | 0.00%             | 2036-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A         | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1129261 | PA      | $1064447.12     | 0.00%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7195 G2 02/51 FIXED 3.5                     | CUSIP: 36179V7G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75331 | PA      | $70371.34       | 0.00%             | 2051-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3413 FN 07/38 FIXED 4                          | CUSIP: 31418CYK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       111719 | PA      | $109529.46      | 0.00%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SE92 PIMCO FXVAN CALL USD TRY 49.65000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -97600000 | NC      | $-456084.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $20449479.34    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2007-11AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 11AR 2A5           | CUSIP: 61754VAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10405142 | PA      | $5421095.52     | 0.00%             | 2037-06-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA7                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA7 1A1          | CUSIP: 02146BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3039953 | PA      | $2849911.97     | 0.00%             | 2046-06-25      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-9                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 9 1A1             | CUSIP: 86364JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2505471 | PA      | $2307854.49     | 0.00%             | 2037-10-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX6736 FR 02/55 FIXED 5                  | CUSIP: 31426CPW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5122794 | PA      | $5102827.43     | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2333 FN 06/45 FIXED 3.5                        | CUSIP: 3138YFSX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1309238 | PA      | $1230085.16     | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-AC9                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AC9 A1           | CUSIP: 0738794E5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2506376 | PA      | $1157625.58     | 0.00%             | 2035-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-AA5                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA5 A1           | CUSIP: 32052QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1954981 | PA      | $1479995.91     | 0.00%             | 2036-09-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C               | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13590423 | PA      | $7092353.92     | 0.00%             | 2036-10-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| ABSC MANUFACTURED HOUSING CONTRACT 2004-CN1                                      | ABSC MANUFACTURED HOUSING CONT ABSMH 2004 CN1 A2 144A      | CUSIP: 00081WAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3076539 | PA      | $3094921.90     | 0.00%             | 2030-12-02      | Variable      | 8.40%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                              | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M5                | CUSIP: 70069FBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3845848 | PA      | $3418897.44     | 0.00%             | 2034-10-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3532 FN 07/35 FIXED VAR                        | CUSIP: 3140X64S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        92620 | PA      | $88992.70       | 0.00%             | 2035-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB9651 FN 06/28 FIXED 2.5                        | CUSIP: 31417GWM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4493 | PA      | $4425.29        | 0.00%             | 2028-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M3           | CUSIP: 542514ND2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       238716 | PA      | $237063.32      | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.15000 10/12/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2694640.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8798 G2 04/53 FIXED 4                       | CUSIP: 36179XX35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35394232 | PA      | $33473942.60    | 0.01%             | 2053-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5444 FN 08/54 FIXED 5.5                        | CUSIP: 31418FBN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       627080 | PA      | $630583.45      | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2249 FN 04/39 FIXED 4                          | CUSIP: 3138WBQB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10901 | PA      | $10574.89       | 0.00%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 3 A3 144A          | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14600000 | PA      | $14726114.80    | 0.01%             | 2028-08-21      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                                  | ROLLS ROYCE PLC COMPANY GUAR 06/26 3.375                   | CUSIP: ACI066P57<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |      3835000 | PA      | $5064733.49     | 0.00%             | 2026-06-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM0062 FN 02/50 FIXED VAR                        | CUSIP: 3140X3B80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       655672 | PA      | $607799.15      | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1                    | CUSIP: 12669GUM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       345055 | PA      | $231052.74      | 0.00%             | 2035-04-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY8851 FN 08/45 FIXED 4                          | CUSIP: 3138YNZR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3477 | PA      | $3356.77        | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R2                                            | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 2A2 144A       | CUSIP: 05968KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2826285 | PA      | $2536213.89     | 0.00%             | 2037-05-26      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX0622 FR 11/54 FIXED 5.5                | CUSIP: 31425UVQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       615615 | PA      | $619054.06      | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8896 FN 11/46 FIXED 3                          | CUSIP: 3140FG3E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40214 | PA      | $36234.43       | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1948272.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8407 FR 03/54 FIXED 5                  | CUSIP: 3132DWKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       276213 | PA      | $273010.96      | 0.00%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-ST3                                       | UPSTART PASS THROUGH TRUST UPSPT 2022 ST3 A 144A           | CUSIP: 91681EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       988828 | PA      | $986533.16      | 0.00%             | 2030-05-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9664 G2 05/54 FIXED 3.5                     | CUSIP: 36179YWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       904956 | PA      | $836206.34      | 0.00%             | 2054-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-2452.39       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7          | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    715171000 | PA      | $213320266.27   | 0.09%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8381 FN 08/47 FIXED 4                          | CUSIP: 3140GXJ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55214 | PA      | $52904.81       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2024-RM5                                          | CASCADE FUNDING MORTGAGE TRUST CFMT 2024 RM5 A 144A        | CUSIP: 147275AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54519121 | PA      | $53283772.28    | 0.02%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $654868.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-36512308.25   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 255071 FN 01/34 FIXED 6.5                        | CUSIP: 31371LJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          977 | PA      | $1010.34        | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 AIOS 144A     | CUSIP: 17329HAP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    691923844 | PA      | $3765276.58     | 0.00%             | 2060-10-25      | Variable      | 0.11%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                                              | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A         | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8149723 | PA      | $8157983.88     | 0.00%             | 2032-07-23      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL2 A1 144A      | CUSIP: 36269MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22413493 | PA      | $21878391.50    | 0.01%             | 2061-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS10                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS10 A11          | CUSIP: 751155AL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2708528 | PA      | $2147867.21     | 0.00%             | 2036-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8515 FR 03/55 FIXED 5.5                | CUSIP: 3132DWN82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    134993028 | PA      | $135747123.86   | 0.06%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.56900 08/14/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2027933.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1           | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5448897 | PA      | $5109003.36     | 0.00%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M5              | CUSIP: 126670LT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15370277 | PA      | $14009657.18    | 0.01%             | 2036-04-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M2            | CUSIP: 59020UUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1161345 | PA      | $1172546.29     | 0.00%             | 2036-02-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LN TR 2006-2                                                  | MASTR REPERFORMING LOAN TRUST MARP 2006 2 1A1 144A         | CUSIP: 57645LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       118785 | PA      | $97247.36       | 0.00%             | 2036-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2024-BA ASSET-BACKED NOTES              | FORD AUTO SECURITIZATION TRUST FASTR 2024 BA A2 144A       | CUSIP: 345214BT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     28596618 | PA      | $20642233.91    | 0.01%             | 2028-11-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4806 FN 11/52 FIXED 5                          | CUSIP: 31418EKU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94272 | PA      | $93527.86       | 0.00%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-2                                                                | FANNIE MAE FNR 2010 2 LS                                   | CUSIP: 31398G7B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       368965 | PA      | $29528.32       | 0.00%             | 2037-05-25      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 2A1           | CUSIP: 02151ABW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9608136 | PA      | $4002274.06     | 0.00%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 603505 FN 07/31 FIXED 6.5                        | CUSIP: 31388FNW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          445 | PA      | $460.60         | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTG SEC-1999-B                                                | BOMBARDIER CAPITAL MORTGAGE SE BCM 1999 B A3               | CUSIP: 09774XBD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22628015 | PA      | $1162939.67     | 0.00%             | 2029-12-17      | Variable      | 7.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $-59546.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INV TR 2005-3                                             | AMERICAN HOME MORTGAGE INVESTM AHM 2005 3 2A4              | CUSIP: 02660TGA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26586615 | PA      | $9770814.98     | 0.00%             | 2035-09-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ8234 FR 11/54 FIXED 5                  | CUSIP: 3133D0EF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2182121 | PA      | $2154564.98     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 3A1           | CUSIP: 86359LJE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        44809 | PA      | $38410.13       | 0.00%             | 2045-05-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| CMLTI 2025-RP3                                                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP3 SA 144A       | CUSIP: 17332PAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       266043 | PA      | $258343.21      | 0.00%             | 2064-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FP0007 FN 01/27 FIXED VAR                        | CUSIP: 3140XTAH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53739 | PA      | $53424.77       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-AB2                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 AB2 M3             | CUSIP: 126673QH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       183692 | PA      | $182142.13      | 0.00%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-AC7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AC7 A4           | CUSIP: 073879T57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4397979 | PA      | $2574782.25     | 0.00%             | 2035-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW MORTGAGE TRUST 2025-INV1                                               | OCEANVIEW MORTGAGE TRUST BVINV 2025 1 AF1 144A             | CUSIP: 67551WAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9049816 | PA      | $9057323.60     | 0.00%             | 2054-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF5010 FN 12/55 FIXED 5                          | CUSIP: 3140BVR85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     48932990 | PA      | $48307721.22    | 0.02%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL3 A1 144A      | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51936373 | PA      | $50486626.50    | 0.02%             | 2065-07-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.78300 02/07/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $57355.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4412 FR 10/47 FIXED 4                  | CUSIP: 3131XX3V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       402311 | PA      | $385523.33      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-2                                                     | LEHMAN MORTGAGE TRUST LMT 2006 2 1A1                       | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2727719 | PA      | $1660055.91     | 0.00%             | 2036-04-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA1839 FN 03/45 FIXED VAR                        | CUSIP: 3140W2BH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1238589 | PA      | $1303318.09     | 0.00%             | 2045-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                                     | CIFI HOLDINGS GROUP SR SECURED 06/29 0.00000               | CUSIP: ACI37QB85<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |     23880931 | PA      | $865683.75      | 0.00%             | 2029-06-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                      | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    154880214 | PA      | $126161056.64   | 0.06%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  3 | On Loan: No      |
| KKR CLO LTD 21                                                                   | KKR FINANCIAL CLO LTD KKR 21 A 144A                        | CUSIP: 48252KAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       706541 | PA      | $707241.47      | 0.00%             | 2031-04-15      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R3                                    | MORGAN STANLEY REREMIC TRUST MSRR 2015 R3 8B 144A          | CUSIP: 61690TAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2556137 | PA      | $1205574.27     | 0.00%             | 2047-04-26      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2026-CES1                                              | TOWD POINT MORTGAGE TRUST TPMT 2026 CES1 A1 144A           | CUSIP: 89190LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37322800 | PA      | $37117378.96    | 0.02%             | 2066-01-25      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| CTRLP 2024-1                                                                     | SERIES 2024 1 CLN 2031 SERIES 2024 1 CLN 2031              | CUSIP: 15487CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    148000000 | PA      | $148756043.20   | 0.07%             | 2031-10-25      | Floating      | 7.49%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-5                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 5 M1               | CUSIP: 126670YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       871859 | PA      | $861662.87      | 0.00%             | 2036-08-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR3                                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR3 2A1            | CUSIP: 07400HAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11255088 | PA      | $10582660.36    | 0.00%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1006751.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260410                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $2404691.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5722 FN 09/45 FIXED 3.5                        | CUSIP: 3138WFLC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4140 | PA      | $3889.57        | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 1A             | CUSIP: 54251TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24191953 | PA      | $12593672.63    | 0.01%             | 2036-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR4                                                          | BCAP LLC TRUST BCAP 2009 RR4 6A2 144A                      | CUSIP: 05531RAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7015552 | PA      | $3555752.79     | 0.00%             | 2036-07-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-5                                                | VERUS SECURITIZATION TRUST VERUS 2024 5 A1 144A            | CUSIP: 92540HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23876515 | PA      | $24099436.18    | 0.01%             | 2069-06-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT2089 FR 06/49 FIXED 5                  | CUSIP: 3132AEKA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       761275 | PA      | $765296.71      | 0.00%             | 2049-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2020-R2                                                                | CIM TRUST CIM 2020 R2 B1 144A                              | CUSIP: 12558WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17191000 | PA      | $13062289.10    | 0.01%             | 2059-10-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 2A            | CUSIP: 61748HHD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       107386 | PA      | $98322.35       | 0.00%             | 2035-01-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC8                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC8 M2            | CUSIP: 86358EEB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2068 | PA      | $1951.01        | 0.00%             | 2033-08-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2003-A1                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2003 A1 A5              | CUSIP: 65535VAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5326 | PA      | $5397.43        | 0.00%             | 2033-04-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET F SHARES                               | CUSIP: ACI01UGW0<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1637 FN 05/49 FIXED VAR                        | CUSIP: 3140X4ZB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       100866 | PA      | $99254.69       | 0.00%             | 2049-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 10/27 VAR                                     | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     28400000 | PA      | $28718278.80    | 0.01%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 2A2            | CUSIP: 65535VSA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1279120 | PA      | $905992.52      | 0.00%             | 2036-02-25      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-2                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 2 A2D            | CUSIP: 59024QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14444798 | PA      | $10664233.17    | 0.00%             | 2037-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8064 FR 05/50 FIXED 4                  | CUSIP: 3132DV5Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9136 | PA      | $8710.69        | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A5            | CUSIP: 32028GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12824 | PA      | $13672.63       | 0.00%             | 2036-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-26                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 26 2A1                    | CUSIP: 126694MY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1864027 | PA      | $385304.09      | 0.00%             | 2035-11-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4650 FN 03/47 FIXED 4                          | CUSIP: 3140FQEY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       341898 | PA      | $329256.52      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 12A1           | CUSIP: 07401CAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2623672 | PA      | $2327939.01     | 0.00%             | 2037-05-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7690 FN 01/47 FIXED 2.5                        | CUSIP: 3140FFRL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       122562 | PA      | $106564.23      | 0.00%             | 2047-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                                         | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A        | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15615857 | PA      | $14338885.76    | 0.01%             | 2042-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 1 1A                      | CUSIP: 81743PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13947 | PA      | $13104.54       | 0.00%             | 2033-04-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1956 FN 03/48 FIXED 4                          | CUSIP: 3140HFE62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4217565 | PA      | $4031166.28     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A1 144A           | CUSIP: 61755AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3138695 | PA      | $1753417.32     | 0.00%             | 2037-05-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY2047 FN 05/53 FIXED 6                          | CUSIP: 3140NJHZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       951326 | PA      | $980892.68      | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 A5 144A       | CUSIP: 17329NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1385801143 | PA      | $1195129456.47  | 0.53%             | 2065-03-01      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC4565 FN 11/54 FIXED 5                          | CUSIP: 3140ASCB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1253983 | PA      | $1237963.58     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2026-VIS1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2026 VIS1 A1 144A           | CUSIP: 46660PAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43294202 | PA      | $42965053.66    | 0.02%             | 2066-06-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI0682 FN 05/41 FIXED 4.5                        | CUSIP: 3138ADXL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          563 | PA      | $557.53         | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG9293 G2 06/48 FIXED 4                       | CUSIP: 3617GUKE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1023318 | PA      | $964239.01      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 06/18/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-153591631.62  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A3            | CUSIP: 61752JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12921053 | PA      | $2582976.70     | 0.00%             | 2046-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                                | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A         | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8700000 | PA      | $8433010.40     | 0.00%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2032 FR 11/27 FIXED 6                  | CUSIP: 31329KHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10144 | PA      | $10342.55       | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 9 6A1                  | CUSIP: 07386HLE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19101 | PA      | $19120.40       | 0.00%             | 2034-09-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-3                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 3 2A             | CUSIP: 93934FNL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7989583 | PA      | $6409681.93     | 0.00%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM2 TRUST                                                              | MFRA TRUST MFRA 2023 NQM2 A1 144A                          | CUSIP: 55285WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50513976 | PA      | $50250308.53    | 0.02%             | 2068-03-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | REPUBLIC OF COLOMBIA SR UNSECURED 09/28 3.75               | CUSIP: ACI309MY1<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     61900000 | PA      | $70166269.05    | 0.03%             | 2028-09-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD5147 FN 11/46 FIXED 3.5                        | CUSIP: 3140FCWH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       713714 | PA      | $667320.42      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5387 FN 09/47 FIXED 4                          | CUSIP: 3140GT6Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1037038 | PA      | $990900.65      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0264 FN 12/29 FIXED 4.5                        | CUSIP: 31417YJJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          351 | PA      | $352.61         | 0.00%             | 2029-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0063 FR 11/55 FIXED 5                  | CUSIP: 3142J6B93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1688328536 | PA      | $1666278560.56  | 0.74%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-43528.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7387 FN 06/46 FIXED 3.5                        | CUSIP: 3138WHF56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7795 | PA      | $7298.37        | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M2            | CUSIP: 04542BKT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1766453 | PA      | $1746184.36     | 0.00%             | 2035-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2007-2                                               | MLCC MORTGAGE INVESTORS INC MLCC 2007 2 2A1                | CUSIP: 59024WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3538358 | PA      | $3396572.53     | 0.00%             | 2037-06-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-132.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-D                                                        | CENTEX HOME EQUITY CXHE 2005 D M7                          | CUSIP: 152314PT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12568353 | PA      | $12227452.99    | 0.01%             | 2035-10-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE2026 FN 06/55 FIXED 5                          | CUSIP: 3140BEHC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8337975 | PA      | $8236184.04     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/26 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $3639.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 804641 FN 12/34 FIXED 6                          | CUSIP: 31406A5A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1474 | PA      | $1503.45        | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.42145 07/06/26-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $637771.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5197 FN 03/47 FIXED 4                          | CUSIP: 3140FQX36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       485538 | PA      | $463955.08      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6983 FN 03/53 FIXED 5.5                        | CUSIP: 3140NBXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       699816 | PA      | $704939.44      | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ONEOK INC                                                                        | ONEOK INC COMPANY GUAR 11/26 5.55                          | CUSIP: 682680BH5<br>LEI: 2T3D6M0JSY48PSZI1Q41 | Long             | DBT              | CORP              | US        |       300000 | PA      | $301786.15      | 0.00%             | 2026-11-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF9106 FR 02/53 FIXED 5.5                | CUSIP: 3133BXDK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       842929 | PA      | $849722.97      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5808 FN 04/47 FIXED 3.5                        | CUSIP: 3140FRN27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       414409 | PA      | $385511.78      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY1065 FN 04/53 FIXED 5                          | CUSIP: 3140NHFF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1929789 | PA      | $1907892.88     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR1                                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR1 2A1            | CUSIP: 07401LAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6539701 | PA      | $6285244.48     | 0.00%             | 2036-08-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO8663 FN 03/50 FIXED 3.5                        | CUSIP: 3140K4TV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       753657 | PA      | $698444.07      | 0.00%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7027 FN 04/46 FIXED 4                          | CUSIP: 3138WGYZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9368275 | PA      | $9008377.28     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-3                                                | IMPAC SECURED ASSETS CORP. IMSA 2007 3 A1C                 | CUSIP: 45257VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6963161 | PA      | $6209979.81     | 0.00%             | 2037-09-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 2A1A          | CUSIP: 41161PYW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46159 | PA      | $48132.32       | 0.00%             | 2036-01-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-18                                                   | GSAA HOME EQUITY TRUST GSAA 2006 18 AF3A                   | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6739473 | PA      | $1801462.42     | 0.00%             | 2036-11-25      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52955 FG 12/47 FIXED 3.5                | CUSIP: 3132XVH97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        87709 | PA      | $81801.75       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54334 FG 02/48 FIXED 3.5                | CUSIP: 3132XWY88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50060054 | PA      | $46577296.66    | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3730 FR 01/56 FIXED 5                  | CUSIP: 31427REC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11575604 | PA      | $11426498.40    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-C                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 C 2AV4            | CUSIP: 63860KAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201153 | PA      | $197525.15      | 0.00%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| DUKE FUNDING LTD 2005-HG3A                                                       | DUKE FUNDING LTD DUKEF 2005 HG3A A1 144A                   | CUSIP: 2644EPAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    285268979 | PA      | $2129532.93     | 0.00%             | 2049-08-02      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BUCKINGHAM CDO LTD 2005-2A                                                       | BUCKINGHAM CDO LTD BUCK 2005 2A LT 144A                    | CUSIP: 118389AB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    643393278 | PA      | $36537660.85    | 0.02%             | 2041-04-05      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1064238.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4          | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2944834 | PA      | $2722066.22     | 0.00%             | 2036-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3213                                                          | FREDDIE MAC FHR 3213 HS                                    | CUSIP: 31397AZ71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       781112 | PA      | $65648.81       | 0.00%             | 2036-09-15      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-A                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 A A1                 | CUSIP: 59020UTB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29998 | PA      | $29631.89       | 0.00%             | 2030-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT0319 FN 04/43 FIXED 4                          | CUSIP: 3138WMK91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       278668 | PA      | $268745.94      | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS4                                             | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS4 A1 144A          | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12754368 | PA      | $12771852.48    | 0.01%             | 2060-11-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8214 FN 03/29 FIXED VAR                        | CUSIP: 3138ETDU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          123 | PA      | $122.80         | 0.00%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1B 144A         | CUSIP: 83208DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77785024 | PA      | $77930388.36    | 0.03%             | 2055-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q32878 FG 04/45 FIXED 3                  | CUSIP: 3132QPFU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31913 | PA      | $29105.84       | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3584 FN 11/55 FIXED VAR                        | CUSIP: 3140W36W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     36513894 | PA      | $37959534.89    | 0.02%             | 2055-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL 25 LTD                                                        | NORTHWOODS CAPITAL LTD WOODS 2021 25A AR 144A              | CUSIP: 668468AL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     79700000 | PA      | $79768697.42    | 0.04%             | 2034-07-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.25000 11/22/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3571693.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL7                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL7 A2 144A        | CUSIP: 12597AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370137082 | PA      | $351666390.59   | 0.16%             | 2059-01-27      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                         | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A1          | CUSIP: 46628TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18866771 | PA      | $17233629.31    | 0.01%             | 2036-07-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC6                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC6 2A3          | CUSIP: 23243DAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1426536 | PA      | $1326454.36     | 0.00%             | 2036-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5319 FN 07/47 FIXED 4                          | CUSIP: 3140GT4D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3180214 | PA      | $3040178.95     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7648 FN 08/46 FIXED 4                          | CUSIP: 3138WHQA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       117680 | PA      | $112927.68      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO SAS)                                          | POSEIDON BIDCO SASU 2023 EUR TERM LOAN B                   | CUSIP: 953RGXII1<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |    235200000 | PA      | $81556791.54    | 0.04%             | 2030-11-30      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-J9                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J9 M2            | CUSIP: 12667FUL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1871253 | PA      | $1862446.23     | 0.00%             | 2034-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                                    | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5            | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |     17720749 | PA      | $0.18           | 0.00%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO6478 FN 10/49 FIXED 3                          | CUSIP: 3140K2FU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179642 | PA      | $160639.74      | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 H 9A1             | CUSIP: 05946XK36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1345361 | PA      | $1140813.73     | 0.00%             | 2035-11-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX1080 FR 12/54 FIXED 5.5                | CUSIP: 31425VFW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2419267 | PA      | $2432781.30     | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-C                                                        | CENTEX HOME EQUITY CXHE 2004 C M2                          | CUSIP: 152314KS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        68165 | PA      | $67308.49       | 0.00%             | 2034-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A C                      | CUSIP: ACI2Q4LQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     46312000 | PA      | $53688697.31    | 0.02%             | 2067-08-22      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                           | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A          | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1900000 | PA      | $1898049.27     | 0.00%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.00000 06/15/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3465714.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5616 FN 01/53 FIXED 6                          | CUSIP: 3140NAG23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22794 | PA      | $23297.24       | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $35681.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.58600 08/19/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2843699.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3              | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3708463 | PA      | $4011030.76     | 0.00%             | 2037-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1397 FR 12/55 FIXED 5                  | CUSIP: 3142JPRT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       596332 | PA      | $588650.70      | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-5                                          | AEGIS ASSET BACKED SECURITIES AABST 2005 5 M1              | CUSIP: 00764MHE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6880101 | PA      | $6559346.13     | 0.00%             | 2035-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR2699 FN 02/51 FIXED 2.5                        | CUSIP: 3140L07M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5432282 | PA      | $4614828.24     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 05/22/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $150899790.38   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A B 144A         | CUSIP: 21056EAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8939487 | PA      | $9214079.66     | 0.00%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20310113                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $357992.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0831 FN 02/48 FIXED 4                          | CUSIP: 3140HD4R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6197154 | PA      | $5938573.94     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS10                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS10 M3           | CUSIP: 75405WAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       192523 | PA      | $189493.45      | 0.00%             | 2035-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 22A            | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8925 | PA      | $8777.34        | 0.00%             | 2034-05-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-AR25                    | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR25 1A2          | CUSIP: 22541NEF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       116433 | PA      | $105434.32      | 0.00%             | 2032-09-25      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08804 FG 03/48 FIXED 3.5                | CUSIP: 3128MJ3N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67251 | PA      | $62721.79       | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-2                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 2 2A4                  | CUSIP: 07386HRA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       241734 | PA      | $221637.54      | 0.00%             | 2035-04-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/27 VAR                  | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |     10100000 | PA      | $11098890.00    | 0.00%             | 2027-06-06      | Floating      | 29.01%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                                                 | FREDDIE MAC FHR 3355 BI                                    | CUSIP: 31397KCA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       424861 | PA      | $37795.29       | 0.00%             | 2037-08-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                                  | NEW UNITY COMMON STOCKK                                    | CUSIP: 958WDX907<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |      6136182 | NS      | $57557387.16    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GREEK GOVT                                                                       | HELLENIC REPUBLIC BONDS REGS 01/33 3.9                     | CUSIP: ACI0Z3H77<br>LEI: 2138003EKTMKZ5598902 | Long             | DBT              | NUSS              | GR        |     46724059 | PA      | $55512781.68    | 0.02%             | 2033-01-30      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $296858.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3394 FN 05/28 FIXED 3                          | CUSIP: 31418CXY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101667 | PA      | $100536.73      | 0.00%             | 2028-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2026-1 DAC 26-1A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2026 1A B 144A        | CUSIP: ACI38ZF56<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     24900000 | PA      | $28780670.49    | 0.01%             | 2035-10-15      | Floating      | 4.10%                 | No            |                  3 | On Loan: No      |
| EXPORT CREDIT BANK OF TURKEY (TURK EXIMBANK)                                     | TURK IHRACAT KR BK SR UNSECURED 144A 07/28 6.875           | CUSIP: 90015LAK3<br>LEI: 789000JVRVYLAXGDWR11 | Long             | DBT              | CORP              | TR        |     18400000 | PA      | $18651105.35    | 0.01%             | 2028-07-03      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX3167 FN 10/44 FIXED 4.5                        | CUSIP: 3138Y4QV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10673 | PA      | $10554.00       | 0.00%             | 2044-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2004-FF6                                           | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF6 M2             | CUSIP: 32027NKK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       849334 | PA      | $857667.51      | 0.00%             | 2034-07-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-2                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 2 2A3            | CUSIP: 542514TT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67824535 | PA      | $22300225.54    | 0.01%             | 2046-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| CMO PLACEHOLDER                                                                  | PROJECT NOVA TERM LOAN                                     | CUSIP: BA000QBV9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     43300000 | PA      | $43300000.00    | 0.02%             | 2026-08-31      | Floating      | 6.59%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA7145 FR 02/50 FIXED 4.5                | CUSIP: 3133A15E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1364058 | PA      | $1340163.65     | 0.00%             | 2050-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6656 FN 02/53 FIXED 6                          | CUSIP: 3140NBME8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1706696 | PA      | $1748665.64     | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2012-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2012 3 4A2 144A        | CUSIP: 17319EAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1162411 | PA      | $746343.95      | 0.00%             | 2036-11-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1            | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1406884 | PA      | $644843.62      | 0.00%             | 2036-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR19                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR19 A1           | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4240870 | PA      | $3389370.55     | 0.00%             | 2035-10-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2024-2                                                   | CARMAX AUTO OWNER TRUST CARMX 2024 2 A3                    | CUSIP: 14319EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     64494050 | PA      | $65142827.82    | 0.03%             | 2029-01-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6371 FN 07/53 FIXED 6.5                        | CUSIP: 3140NPCH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1051253 | PA      | $1108366.89     | 0.00%             | 2053-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-R12                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M3            | CUSIP: 03072SXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2072164 | PA      | $2051039.79     | 0.00%             | 2035-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7612 FN 12/55 FIXED 5                          | CUSIP: 3140BYN67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5256360 | PA      | $5189059.10     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A16          | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17754788 | PA      | $6532543.96     | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP JPM                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1234.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5416 FR 01/53 FIXED 6                  | CUSIP: 3133BTAR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29926 | PA      | $30647.46       | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.25000 06/15/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $7061522.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $1108076.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260409                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-6974.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC7                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC7 1A           | CUSIP: 23243VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3194742 | PA      | $3232643.62     | 0.00%             | 2046-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847160 FH 07/33 FLOATING VAR             | CUSIP: 3128HD5V7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1480 | PA      | $1512.09        | 0.00%             | 2033-07-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA4482 FR 01/56 FIXED 5                  | CUSIP: 3142JS6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11645994 | PA      | $11514328.34    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3799 FN 09/55 FIXED VAR                        | CUSIP: 3140W4GH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41295182 | PA      | $42962057.32    | 0.02%             | 2055-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.32826 09/03/24-7Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2223278.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2005-HE6                                             | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE6 M6           | CUSIP: 04541GTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3794000 | PA      | $3490431.82     | 0.00%             | 2035-07-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                      | URSA RE LTD UNSECURED 144A 12/26 VAR                       | CUSIP: 90323WAQ3<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |     49500000 | PA      | $50821650.00    | 0.02%             | 2026-12-07      | Floating      | 12.27%                | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 B 144A        | CUSIP: 173114AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18821538 | PA      | $14755720.65    | 0.01%             | 2070-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323865 FN 07/29 FIXED VAR                        | CUSIP: 31374TW21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          403 | PA      | $416.97         | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOFTBANK GROUP CORP SNR JP SP GST                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-102666.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A            | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         3579 | PA      | $36951563.34    | 0.02%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $215778.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR35                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR35 1A1A         | CUSIP: 45667SAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2980666 | PA      | $2692541.17     | 0.00%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6752 FN 02/46 FIXED 3.5                        | CUSIP: 3138WGQE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8962 | PA      | $8429.54        | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S4                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S4 A10           | CUSIP: 16162YAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       897341 | PA      | $344725.55      | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $176539.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR1 1A1           | CUSIP: 86362XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1745040 | PA      | $1598978.77     | 0.00%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2003-2                                            | AMERIQUEST MORTGAGE SECURITIES AMSI 2003 2 M2              | CUSIP: 03072SET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45117 | PA      | $37133.32       | 0.00%             | 2033-03-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A A2 144A        | CUSIP: 21056DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61708000 | PA      | $63409647.47    | 0.03%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                                     | ACE SECURITIES CORP. ACE 2006 NC2 A2C                      | CUSIP: 00441XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24506974 | PA      | $7015986.31     | 0.00%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICA TREASURY BILL SOUTH AFRICAN T BILLS 0  19/08  | CUSIP: ACI2ZQHY3<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    966800000 | PA      | $55808498.79    | 0.02%             | 2026-08-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-13514254.71   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 AIOS 144A     | CUSIP: 173114AP4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202327512 | PA      | $889280.00      | 0.00%             | 2070-03-01      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF11                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF11 2A3           | CUSIP: 32028PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17550361 | PA      | $16788348.93    | 0.01%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XIX LTD/PREFERRED TERM SECURITIES XIX INC              | PREFERRED TERM SECS XIX SR SECURED 144A 12/35 VAR          | CUSIP: 74042HAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     28471433 | PA      | $27332575.84    | 0.01%             | 2035-12-22      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-10                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 10 A2                     | CUSIP: 12669GYM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1529457 | PA      | $1256116.76     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-20437631.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2D               | CUSIP: 61750MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3349896 | PA      | $1405846.68     | 0.00%             | 2036-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.87000 03/05/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-256011.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-10                                                 | BEAR STEARNS ALT A TRUST BALTA 2004 10 M2                  | CUSIP: 07386HMF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4685831 | PA      | $4705563.13     | 0.00%             | 2034-09-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4259 FR 09/47 FIXED 4                  | CUSIP: 3131XXWU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       216575 | PA      | $207537.58      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A23          | CUSIP: 92922FD62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       536947 | PA      | $540813.52      | 0.00%             | 2045-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003401 G2 06/33 FIXED 4.5                     | CUSIP: 36202DX63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1559 | PA      | $1566.00        | 0.00%             | 2033-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 M1 144A        | CUSIP: 12660QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27143399 | PA      | $23106643.56    | 0.01%             | 2061-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD8825 FN 07/55 FIXED 5                          | CUSIP: 3140B9YX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2355565 | PA      | $2344248.31     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY4088 FR 05/55 FIXED 5                  | CUSIP: 31426NRJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       683057 | PA      | $676659.71      | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-1F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 1F 2A3                    | CUSIP: 3622MPAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       122896 | PA      | $785404.35      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2007-117                                                              | FANNIE MAE FNR 2007 117 SG                                 | CUSIP: 31396YAW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       992993 | PA      | $87071.92       | 0.00%             | 2038-01-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8493 FR 12/54 FIXED 5.5                | CUSIP: 3132DWNJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       401291 | PA      | $403534.38      | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-D                                                   | FREMONT HOME LOAN TRUST FHLT 2006 D 2A2                    | CUSIP: 35729VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19928977 | PA      | $6948909.36     | 0.00%             | 2036-11-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85     | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      2675000 | PA      | $2445659.41     | 0.00%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2002-AR16 TRUST                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR16 A            | CUSIP: 929227WQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        73422 | PA      | $71808.49       | 0.00%             | 2032-12-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LOAN ASSET-BACKED                                             | CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 2 2A1             | CUSIP: 161551FX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18790 | PA      | $18729.56       | 0.00%             | 2032-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $36974023.99    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-413128.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-B                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 2A1            | CUSIP: 05950TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10102 | PA      | $9082.86        | 0.00%             | 2046-11-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                               | FANNIE MAE FNR 2004 63 FA                                  | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          452 | PA      | $443.76         | 0.00%             | 2034-08-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA21                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA21 A1          | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12965599 | PA      | $11375847.93    | 0.01%             | 2047-03-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8953 FR 11/55 FIXED 5                  | CUSIP: 31427J5P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22796789 | PA      | $22504317.20    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9727 FN 04/53 FIXED 5                          | CUSIP: 3140NEYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1417334 | PA      | $1404109.89     | 0.00%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-189663.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 1B1 144A       | CUSIP: 12597GAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60998550 | PA      | $54935702.82    | 0.02%             | 2059-04-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9764 FN 12/47 FIXED 4                          | CUSIP: 3140GYZ69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       254177 | PA      | $243478.61      | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTER ADJUSTABLE RATE MTGE TR 2003-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 7A1             | CUSIP: 576433GN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12069 | PA      | $11882.45       | 0.00%             | 2033-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                                | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2B           | CUSIP: 81377AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18808508 | PA      | $7128153.63     | 0.00%             | 2036-07-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-52CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 52CB 1A8         | CUSIP: 12668AGB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3860083 | PA      | $2500091.83     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q57403 FG 07/48 FIXED 4                  | CUSIP: 3132Y1GM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1678628 | PA      | $1612673.16     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-NQM1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2023 NQM1 PT 144A      | CUSIP: 36267LAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    305164512 | PA      | $306835104.83   | 0.14%             | 2063-06-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4718 FR 05/47 FIXED 4                  | CUSIP: 3132A5G33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       304261 | PA      | $291753.47      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2016-43A                                                 | DRYDEN SENIOR LOAN FUND DRSLF 2016 43A AR3 144A            | CUSIP: 26245CBQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $2001754.62     | 0.00%             | 2034-04-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL0788 FR 02/55 FIXED 6                  | CUSIP: 31427M2W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16149633 | PA      | $16679599.41    | 0.01%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERV & SEC 2004-CB4                                           | CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 A5           | CUSIP: 12489WJP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1528392 | PA      | $1415671.09     | 0.00%             | 2035-05-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2390 FN 08/44 FIXED 4                          | CUSIP: 3138Y3UQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36441 | PA      | $35175.08       | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 B3 144A        | CUSIP: 12594YAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    171320919 | PA      | $68427904.85    | 0.03%             | 2056-02-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD1191 FN 01/47 FIXED 3.5                        | CUSIP: 3140F8KD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16684 | PA      | $15588.88       | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8316 FR 04/53 FIXED 5.5                | CUSIP: 3132DWGZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18852591 | PA      | $19019442.43    | 0.01%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC1777 FN 10/54 FIXED 5.5                        | CUSIP: 3140AN6P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       709643 | PA      | $719612.61      | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.5420* 03/31/26-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3260634.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-1                                                 | IMPAC SECURED ASSETS CORP. IMSA 2006 1 2A1                 | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       273394 | PA      | $260698.43      | 0.00%             | 2036-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8982 FN 03/47 FIXED 4.5                        | CUSIP: 3138WJ6U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2808497 | PA      | $2767658.05     | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BT2788 FN 08/51 FIXED 2.5                        | CUSIP: 3140LRC22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6889247 | PA      | $5936635.54     | 0.00%             | 2051-08-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VCAT 2026-NPL1 LLC                                                               | VCAT ASSET SECURITIZATION, LLC VCAT 2026 NPL1 A1 144A      | CUSIP: 91825GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21598910 | PA      | $21494291.77    | 0.01%             | 2056-01-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH4                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH4 M1           | CUSIP: 46630CAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20122262 | PA      | $19872967.03    | 0.01%             | 2037-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF3143 FR 11/52 FIXED 6.5                | CUSIP: 3133BQP42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       819445 | PA      | $860564.53      | 0.00%             | 2052-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20261123                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1854725.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-228751.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.59400 01/09/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1204010.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO4595 FN 06/42 FIXED 4                          | CUSIP: 3138LVC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5861 | PA      | $5663.11        | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4004 FN 09/47 FIXED 4                          | CUSIP: 3140GSNW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3457 | PA      | $3313.82        | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 2CB A9           | CUSIP: 12668BLJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6999388 | PA      | $3057923.34     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-4                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 4 6A2 144A         | CUSIP: 74930PAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $903091.60      | 0.00%             | 2036-06-27      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS6                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS6 M5            | CUSIP: 76112BTW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       192991 | PA      | $193013.35      | 0.00%             | 2035-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2004-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2004 1 M3                   | CUSIP: 66987XEC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        57855 | PA      | $55909.58       | 0.00%             | 2034-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2006-2                                                   | BNC MORTGAGE LOAN TRUST BNCMT 2006 2 A4                    | CUSIP: 055683AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       296781 | PA      | $290990.19      | 0.00%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ9543 FN 10/45 FIXED 4.5                        | CUSIP: 3140E2S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52562 | PA      | $51612.16       | 0.00%             | 2045-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7371 FN 08/47 FIXED 3.5                        | CUSIP: 3140GWFM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10269 | PA      | $9601.70        | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-3A                                            | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A2 144A       | CUSIP: 16678RBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       158916 | PA      | $156644.83      | 0.00%             | 2035-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR1 2A1           | CUSIP: 86362XAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4138536 | PA      | $3774075.15     | 0.00%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2179871.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2007-1                                                          | MORTGAGEIT TRUST MHL 2007 1 1A1                            | CUSIP: 61915YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9935357 | PA      | $8684934.51     | 0.00%             | 2047-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 2 2A12            | CUSIP: 17307GRN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1274672 | PA      | $1293803.32     | 0.00%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3519 FR 11/55 FIXED 5.5                | CUSIP: 31427Q4D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8883262 | PA      | $9061718.49     | 0.00%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4827 FN 04/42 FIXED 3.5                        | CUSIP: 3138E9LH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9160 | PA      | $8674.79        | 0.00%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.30000 12/02/24-29Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $16277613.54    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S1 A13           | CUSIP: 16163FAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201640 | PA      | $76770.77       | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 4A1          | CUSIP: 45660LW70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18127 | PA      | $16518.37       | 0.00%             | 2036-01-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2003-5                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 5 AI7            | CUSIP: 64352VEF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3268 | PA      | $3254.01        | 0.00%             | 2033-11-25      | Variable      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $134113.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $1825.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-754242.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.4000 06/20/14-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $525194.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA7                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA7 A21           | CUSIP: 76110H7B9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       597048 | PA      | $564925.97      | 0.00%             | 2035-07-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q53630 FG 01/48 FIXED 3.5                | CUSIP: 3132XWA84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80550 | PA      | $75331.32       | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-80CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 80CB 1A1         | CUSIP: 12668BGC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8103036 | PA      | $6999378.61     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1419 FR 05/55 FIXED 5.5                | CUSIP: 31427NSH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       377788 | PA      | $379898.86      | 0.00%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2337007.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/26 0.125                                | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    680947806 | PA      | $690799697.57   | 0.31%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP BOA                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $117531.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q41883 FG 07/46 FIXED 3                  | CUSIP: 3132WFCV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1681391 | PA      | $1521934.84     | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2022 RPL2 PT 144A      | CUSIP: 36267WAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    509890717 | PA      | $433646043.89   | 0.19%             | 2067-12-27      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 567875 FN 09/30 FLOATING VAR                     | CUSIP: 31386M2G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1661 | PA      | $1690.07        | 0.00%             | 2030-09-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-6                                                           | LEHMAN XS TRUST LXS 2005 6 1A4                             | CUSIP: 525221CW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3868407 | PA      | $3207451.12     | 0.00%             | 2035-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 2AB3                 | CUSIP: 1266944B1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       971189 | PA      | $890702.09      | 0.00%             | 2036-05-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                            | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 AV1           | CUSIP: 59024KAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20101301 | PA      | $8657389.09     | 0.00%             | 2037-06-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0227 FN 02/48 FIXED 3.5                        | CUSIP: 3140HDHD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2483451 | PA      | $2306864.03     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4743 FR 11/47 FIXED 3.5                | CUSIP: 3132A5HU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77297 | PA      | $71891.09       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT2                                               | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT2 M3           | CUSIP: 40430HEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6992692 | PA      | $6785874.11     | 0.00%             | 2036-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-44                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 44 QI              | CUSIP: 38378JRS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       688342 | PA      | $73426.14       | 0.00%             | 2043-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-2                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2006 2 M2              | CUSIP: 9497EAAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1135408 | PA      | $1133692.75     | 0.00%             | 2036-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF4             | CUSIP: 75970QAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23927653 | PA      | $5809847.13     | 0.00%             | 2037-06-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260825                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1851038.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5964 FN 02/53 FIXED 6                          | CUSIP: 3140NATW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       539096 | PA      | $553437.95      | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.09000 04/30/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6885743.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                                | ALASKA AIRLINES 2020 TR PASS THRU CE 144A 02/29 4.8        | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     23907667 | PA      | $23927629.82    | 0.01%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7602 FN 07/46 FIXED 4                          | CUSIP: 3138WHNU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18366 | PA      | $17630.43       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                             | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR              | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     31200000 | PA      | $31746000.00    | 0.01%             | 2031-05-13      | Floating      | 16.28%                | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-5                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 5 A1A            | CUSIP: 41165AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13743639 | PA      | $12170018.24    | 0.01%             | 2037-09-19      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-4                                               | HOME EQUITY ASSET TRUST HEAT 2005 4 M6                     | CUSIP: 437084LR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2110304 | PA      | $2111427.77     | 0.00%             | 2035-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 3 A12                     | CUSIP: 12543RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       260036 | PA      | $115207.92      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ0052 FR 10/53 FIXED 6.5                | CUSIP: 3142GQBW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83085 | PA      | $86086.82       | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BRAVO MORTGAGE ASSET TRUST 2006-1A                                               | BRAVO MORTGAGE ASSET TRUST BMAT 2006 1A M1 144A            | CUSIP: 105667AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21568461 | PA      | $19715947.76    | 0.01%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                           | CVS PASS THROUGH TR 2014 PASS THRU CE 144A 08/36 4.163     | CUSIP: 12665VAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4339419 | PA      | $4061490.36     | 0.00%             | 2036-08-11      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                          | ACHV ABS TRUST ACHV 2024 3AL A 144A                        | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1826108 | PA      | $1837733.28     | 0.00%             | 2031-12-26      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 885667 FN 10/36 FIXED 6.5                        | CUSIP: 31410C6C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          516 | PA      | $540.00         | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725266 FN 02/34 FLOATING VAR                     | CUSIP: 31402CW32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173618 | PA      | $175669.15      | 0.00%             | 2034-02-01      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-1A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 1A B2 144A         | CUSIP: 64829JAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8284378 | PA      | $8171667.24     | 0.00%             | 2057-02-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A ER 144A                          | CUSIP: ACI1747N0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     24059000 | PA      | $26771339.65    | 0.01%             | 2054-10-29      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO XI DAC 11A                                                      | INVESCO EURO CLO XI DAC INVSC 11A A1R 144A                 | CUSIP: ACI318SX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     57900000 | PA      | $66884269.53    | 0.03%             | 2036-10-22      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-12N                                                         | LEHMAN XS TRUST LXS 2007 12N 1A3A                          | CUSIP: 52524YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6395311 | PA      | $6439871.77     | 0.00%             | 2047-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3846858.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LYRA MUSIC ASSETS DELAWARE LP 2024-2A                                            | LYRA MUSIC ASSETS (DELAWARE) L LYRA 2024 2A A2 144A        | CUSIP: 552339AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     95813004 | PA      | $96420784.06    | 0.04%             | 2064-12-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-1                                              | UPSTART SECURITIZATION TRUST UPST 2025 1 B 144A            | CUSIP: 91684PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5000000 | PA      | $5081191.00     | 0.00%             | 2035-04-20      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.46500 10/30/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5993353.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICAT 2007-3                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 3 2A4              | CUSIP: 12668UAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19695825 | PA      | $14702649.64    | 0.01%             | 2047-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| UROPA SECURITIES PLC 2007-1                                                      | UROPA SECURITIES PLC UROPA 2007 1 A3B REGS                 | CUSIP: G92958AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1608317 | PA      | $1840410.55     | 0.00%             | 2040-10-10      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF12                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF12 M2            | CUSIP: 32027NXX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5384905 | PA      | $5292975.83     | 0.00%             | 2036-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-IM1                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 IM1 A2             | CUSIP: 126670SP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5775922 | PA      | $5348668.98     | 0.00%             | 2036-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-3                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 3 M6               | CUSIP: 29445FCC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       652527 | PA      | $645733.34      | 0.00%             | 2034-12-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 2A1                 | CUSIP: 466247J46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2231275 | PA      | $1920650.92     | 0.00%             | 2036-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2006-R1                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2006 R1 M3             | CUSIP: 03072SX67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11988000 | PA      | $11303000.88    | 0.01%             | 2036-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2022-4                                                   | CARMAX AUTO OWNER TRUST CARMX 2022 4 A3                    | CUSIP: 14318UAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       299610 | PA      | $299941.13      | 0.00%             | 2027-08-16      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2024-A                                               | SBNA AUTO RECEIVABLES TRUST SBAT 2024 A A4 144A            | CUSIP: 78437PAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12600000 | PA      | $12687141.60    | 0.01%             | 2029-04-16      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6994 FN 04/46 FIXED 4                          | CUSIP: 3138WGXY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       698700 | PA      | $671497.42      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO8938 FN 01/50 FIXED 4                          | CUSIP: 3140K44Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27805 | PA      | $26665.90       | 0.00%             | 2050-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                                              | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M6                | CUSIP: 70069FEN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17714420 | PA      | $14673940.39    | 0.01%             | 2035-02-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-34A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 34A 6A            | CUSIP: 86359A5V1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       143208 | PA      | $145677.84      | 0.00%             | 2033-11-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-2 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 2 AA PTT PASS THRU CE 12/29 3.2            | CUSIP: 023765AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      8134486 | PA      | $7932727.64     | 0.00%             | 2029-12-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-77T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 77T1 2A3         | CUSIP: 12668BCM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26971 | PA      | $13735.46       | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5931 FN 01/53 FIXED 6                          | CUSIP: 3140NASV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1238266 | PA      | $1270521.67     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PRIMEX.ARM.2-AAA SP BRC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-7638.42       | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 788845 FH 11/31 FLOATING VAR             | CUSIP: 31295MZJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2806 | PA      | $2852.06        | 0.00%             | 2031-11-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 2A1           | CUSIP: 92990GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4268780 | PA      | $3547721.21     | 0.00%             | 2037-05-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                | VENTURE GLOBAL CALCASIEU SR SECURED 144A 08/31 4.125       | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     10300000 | PA      | $9559435.15     | 0.00%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB3909 FN 06/52 FIXED 4                          | CUSIP: 3140QPKX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28092 | PA      | $26630.00       | 0.00%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ4811 FR 09/54 FIXED 5.5                | CUSIP: 3133CVKY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        50906 | PA      | $51193.56       | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                              | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M5                | CUSIP: 70069FCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8426450 | PA      | $8101183.79     | 0.00%             | 2034-12-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2440 FN 01/47 FIXED 3.5                        | CUSIP: 3140F9WA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       541602 | PA      | $506507.64      | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA3                                                          | BCAP LLC TRUST BCAP 2007 AA3 2A1A                          | CUSIP: 05530VAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2218333 | PA      | $2033128.36     | 0.00%             | 2047-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA6             | CUSIP: 059515AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       166634 | PA      | $141848.24      | 0.00%             | 2037-04-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ9616 FR 12/55 FIXED 5                  | CUSIP: 31427KVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5740744 | PA      | $5666165.42     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2005-HE2                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2005 HE2 M2            | CUSIP: 86358EVN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2005321 | PA      | $1985739.18     | 0.00%             | 2035-07-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6403 FR 03/39 FIXED 4                  | CUSIP: 31329QDG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       279433 | PA      | $273391.01      | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0695 FN 08/47 FIXED 3.5                        | CUSIP: 3140Q7XZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1465255 | PA      | $1370303.95     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 02/35 5.625                   | CUSIP: 46514Y8B6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |      8900000 | PA      | $9065449.40     | 0.00%             | 2035-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0288 FN 03/46 FIXED 4                          | CUSIP: 3140EUKA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1205428 | PA      | $1159118.16     | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 1A2             | CUSIP: 86361JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5669435 | PA      | $3816652.32     | 0.00%             | 2036-09-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| OZLME IV DAC A4                                                                  | OZLME OZLME 4A AR 144A                                     | CUSIP: ACI2W69B9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    102300000 | PA      | $118214779.85   | 0.05%             | 2038-04-27      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-6054066.53    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3267 FN 11/47 FIXED 3.5                        | CUSIP: 3140H4TZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       868301 | PA      | $807368.71      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3742 FN 12/52 FIXED 5.5                        | CUSIP: 3140N8EQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69989 | PA      | $70443.54       | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-SD1                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 SD1 A1            | CUSIP: 590232AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21234956 | PA      | $12259114.09    | 0.01%             | 2047-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC5                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC5 M5           | CUSIP: 76112BH86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       700000 | PA      | $617192.03      | 0.00%             | 2035-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A3             | CUSIP: 55275RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6804830 | PA      | $3246850.38     | 0.00%             | 2036-10-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.37000 10/09/23-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2714117.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6152 FN 02/55 FIXED 5                          | CUSIP: 3140B6ZS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27964 | PA      | $27709.04       | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.20250 01/10/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $4211038.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 06/21/23-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $48643438.41    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO3396 FN 05/27 FIXED 3                          | CUSIP: 3138LTX29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41795 | PA      | $41507.35       | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5021 FR 10/39 FIXED 2.5                | CUSIP: 3133KYSJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       251436 | PA      | $229746.02      | 0.00%             | 2039-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 949191 FN 08/37 FIXED 6.5                        | CUSIP: 31413L7C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1868 | PA      | $1946.66        | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-5X                                                   | SLM STUDENT LOAN TRUST SLMA 2004 5X A6 REGS                | CUSIP: B02JZGII4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3424962 | PA      | $3690740.72     | 0.00%             | 2039-10-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN4674 FR 12/48 FIXED 3.5                | CUSIP: 3131YBFP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       976161 | PA      | $908515.18      | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 04/26 0.00000                                | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      2867000 | PA      | $2865275.01     | 0.00%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                              | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 1A1           | CUSIP: 40430FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42539171 | PA      | $32689344.93    | 0.01%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $590537.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                                  | UNITI GROUP INC COMMON STOCK USD.0001                      | CUSIP: 912932100<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |       681286 | NS      | $6390462.68     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2005-2                                           | MASTR SEASONED SECURITIZATION MSSTR 2005 2 5A1             | CUSIP: 55265WDN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13146 | PA      | $12991.41       | 0.00%             | 2032-05-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7465 FN 12/55 FIXED 5                          | CUSIP: 3140BYJK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42188397 | PA      | $41711105.56    | 0.02%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW8449 FN 09/52 FIXED 4                          | CUSIP: 3140N1L76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        88434 | PA      | $83677.91       | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO4                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO4 1A1           | CUSIP: 761118NL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8494154 | PA      | $7092321.66     | 0.00%             | 2045-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2003-OPT2                                    | MASTR ASSET BACKED SECURITIES MABS 2003 OPT2 M3            | CUSIP: 57643LBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2516247 | PA      | $2439997.82     | 0.00%             | 2033-05-25      | Floating      | 8.44%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL5                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL5 SA 144A      | CUSIP: 36273JAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       771283 | PA      | $745414.57      | 0.00%             | 2065-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5748 FN 12/53 FIXED 6.5                        | CUSIP: 3140A6L61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7073927 | PA      | $7330618.95     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $283599.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-286698.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM3 A2            | CUSIP: 81377EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60182366 | PA      | $19704982.60    | 0.01%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH8176 FN 05/26 FIXED 4                          | CUSIP: 3138AACN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          290 | PA      | $289.22         | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-6                                              | RBSSP RESECURITIZATION TRUST RBSSP 2009 6 18A2 144A        | CUSIP: 74928XDH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1059625 | PA      | $896458.84      | 0.00%             | 2036-12-26      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2806 FR 09/55 FIXED 5.5                | CUSIP: 31427QDL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6616253 | PA      | $6770284.87     | 0.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3763 FN 05/28 FIXED VAR                        | CUSIP: 3138ELFD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27742 | PA      | $27521.22       | 0.00%             | 2028-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-29CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 29CB A3          | CUSIP: 12667FZH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6363470 | PA      | $6391273.38     | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-42                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 42 1A4           | CUSIP: 02148YAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5674750 | PA      | $2971511.89     | 0.00%             | 2047-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/27 4.95           | CUSIP: 345397C27<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      3700000 | PA      | $3699915.71     | 0.00%             | 2027-05-28      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                                           | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A             | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13518989 | PA      | $13532791.06    | 0.01%             | 2031-06-15      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6137 FN 01/48 FIXED 3.5                        | CUSIP: 3140H7ZB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1846822 | PA      | $1718744.79     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG8599 FR 08/53 FIXED 6                  | CUSIP: 3133C9RU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       479779 | PA      | $490056.28      | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7512 FN 09/47 FIXED 4                          | CUSIP: 3140GWK28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       267810 | PA      | $256452.06      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-6                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 6 2A3            | CUSIP: 54251RAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8713592 | PA      | $3562735.77     | 0.00%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7557 FN 03/53 FIXED 6                          | CUSIP: 3140NCMF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3326324 | PA      | $3407954.75     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR30                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR30 2A1          | CUSIP: 22541Q2A9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        42695 | PA      | $41659.37       | 0.00%             | 2034-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-8                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 8 1A2A           | CUSIP: 41161PQU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       837244 | PA      | $489235.71      | 0.00%             | 2035-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4464 FN 11/34 FIXED 3                          | CUSIP: 3140QB6A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84968 | PA      | $81821.85       | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2004-13                                                    | BEAR STEARNS ALT A TRUST BALTA 2004 13 M1                  | CUSIP: 07386HPZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3784547 | PA      | $3242547.68     | 0.00%             | 2034-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA1                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA1 1A1          | CUSIP: 32051GS48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1242434 | PA      | $376483.34      | 0.00%             | 2036-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVI LTD / PREFERRED TERM SECURITIES XXVI INC          | PREFERRED TERM SECS XXVI SR SECURED 144A 09/37 VAR         | CUSIP: 74042QAB3<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     41644863 | PA      | $37480376.81    | 0.02%             | 2037-09-22      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R5                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R5 M1             | CUSIP: 03072SRX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          288 | PA      | $287.69         | 0.00%             | 2034-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9016 FN 04/47 FIXED 3.5                        | CUSIP: 3140FVAS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       311510 | PA      | $291260.01      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9354 FN 01/27 FIXED 3                          | CUSIP: 3138E2MC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27765 | PA      | $27606.29       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7600 FN 07/46 FIXED 4                          | CUSIP: 3138WHNS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2527460 | PA      | $2429322.66     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.45500 11/01/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5135528.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-162067.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8145 FN 10/46 FIXED 4                          | CUSIP: 3138WJBP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16410 | PA      | $15742.16       | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A4            | CUSIP: 86364LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7000000 | PA      | $6960753.10     | 0.00%             | 2037-08-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A B 144A             | CUSIP: ACI2DJDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     64660219 | PA      | $85685926.29    | 0.04%             | 2053-03-14      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX1973 FR 12/54 FIXED 5                  | CUSIP: 31425WFP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       737531 | PA      | $731950.32      | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-D                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 D 2A7            | CUSIP: 05949A4R8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       917868 | PA      | $823054.55      | 0.00%             | 2035-05-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-210884.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                                         | LEHMAN XS TRUST LXS 2006 16N A4A                           | CUSIP: 52522DAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       114510 | PA      | $103499.95      | 0.00%             | 2046-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA ALT LN TRUST 2004-6                                              | BANC OF AMERICA ALTERNATIVE LO BOAA 2004 6 1A1             | CUSIP: 05948KTE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4321718 | PA      | $4326133.83     | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SEC 2007-2                                         | CITICORP RESIDENTIAL MORTGAGE CRMSI 2007 2 M1              | CUSIP: 17312HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12779341 | PA      | $12616370.11    | 0.01%             | 2037-06-25      | Variable      | 6.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC8821 FN 12/54 FIXED 5                          | CUSIP: 3140AWYT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2917383 | PA      | $2880943.35     | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $10871.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AH9585 FN 11/26 FIXED 3                          | CUSIP: 3138ABUK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15451 | PA      | $15368.29       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SA RL                                                         | TITANIUM 2L BONDCO SARL SR SECURED 01/31 6.25              | CUSIP: ACI2R0R44<br>LEI: 636700S4QMU2DWYOSF67 | Long             | DBT              | CORP              | LU        |      2955300 | PA      | $555080.63      | 0.00%             | 2031-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY1224 FR 04/55 FIXED 5.5                | CUSIP: 31426KLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       443053 | PA      | $445553.46      | 0.00%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.70000 03/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $2686203.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9353 FN 01/27 FIXED 3                          | CUSIP: 3138E2MB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14543 | PA      | $14459.85       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-3                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 3 M1             | CUSIP: 69121PDZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9244925 | PA      | $9934230.61     | 0.00%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2005-AR2                                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR2 2A1A          | CUSIP: 45660LCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       720444 | PA      | $683789.82      | 0.00%             | 2035-02-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A35                | CUSIP: 46631NBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1097800 | PA      | $443737.65      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-402965.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2003-58                                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2003 58 LB              | CUSIP: 38374BNS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        71229 | PA      | $71036.46       | 0.00%             | 2033-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SFJ9 PIMCO FXVAN CALL USD TRY 49.60000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -48600000 | NC      | $-272257.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | NISSAN MOTOR CO LTD SNR JP SP JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | JP        |            1 | NC      | $-245465.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A C 144A             | CUSIP: ACI2DJF41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     30790438 | PA      | $40806309.40    | 0.02%             | 2053-03-14      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q56784 FG 06/48 FIXED 3.5                | CUSIP: 3132Y0RE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2202406 | PA      | $2051321.29     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A5          | CUSIP: 46629KAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16114185 | PA      | $12328112.45    | 0.01%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY7446 FR 06/55 FIXED 5                  | CUSIP: 31426SHY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       387684 | PA      | $385318.07      | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                            | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 B C 144A         | CUSIP: 80280BAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3373371 | PA      | $3393467.03     | 0.00%             | 2033-01-18      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR6                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR6 2A3           | CUSIP: 93363BAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3113020 | PA      | $2837224.56     | 0.00%             | 2036-08-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE7                                                     | ACE SECURITIES CORP. ACE 2005 HE7 M1                       | CUSIP: 004421UC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       134667 | PA      | $157009.25      | 0.00%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2003-5                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 5 M5             | CUSIP: 64352VEM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34329 | PA      | $31334.08       | 0.00%             | 2033-11-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                     | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1419408 | PA      | $1380950.21     | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1361268.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 555202 FN 01/33 FIXED VAR                        | CUSIP: 31385WX79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          358 | PA      | $370.49         | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2007-1                                                           | FIRST NLC TRUST FNLC 2007 1 A1 144A                        | CUSIP: 32115BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3900001 | PA      | $1971135.99     | 0.00%             | 2037-08-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-N1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 N1 A3 144A       | CUSIP: 14688XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14300000 | PA      | $14382259.32    | 0.01%             | 2029-08-10      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                                           | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2C            | CUSIP: 81879MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1129732 | PA      | $553478.75      | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/47 0.875                                | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    217444536 | PA      | $154392700.55   | 0.07%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 8A                                                  | ALESCO PREFERRED FUNDING LTD ALESC 8A A2 144A              | CUSIP: 01449CAG5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     20821000 | PA      | $19623792.50    | 0.01%             | 2035-12-23      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB1389 FN 08/40 FIXED 4.5                        | CUSIP: 31416WRK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4819 | PA      | $4772.06        | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED 144A 01/34 2.778                    | CUSIP: ACI22XT05<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     20944000 | PA      | $21595653.00    | 0.01%             | 2034-01-19      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 04/33 2                             | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     18200000 | PA      | $16526885.08    | 0.01%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR5                                              | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR5 2A1          | CUSIP: 94983RAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       419829 | PA      | $414807.21      | 0.00%             | 2036-04-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FE             | CUSIP: 38375UWT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2366855 | PA      | $2377108.33     | 0.00%             | 2066-04-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260429                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-502609.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3933 FN 07/55 FIXED 5                          | CUSIP: 3140BGLP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1774070 | PA      | $1751364.78     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J5                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J5 1A1           | CUSIP: 12668EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2830905 | PA      | $1373914.76     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5600 FN 12/47 FIXED 4                          | CUSIP: 3140H7GJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75477 | PA      | $72508.46       | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-WMC3                                              | MASTR ASSET BACKED SECURITIES MABS 2006 WMC3 A5            | CUSIP: 55291KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20038649 | PA      | $6900813.66     | 0.00%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-6                                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 6 M1             | CUSIP: 542514JM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2911120 | PA      | $2816406.76     | 0.00%             | 2034-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260713                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-450975.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-138178.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR11                                                         | BCAP LLC TRUST BCAP 2012 RR11 2A4 144A                     | CUSIP: 05542AAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8257490 | PA      | $7546363.05     | 0.00%             | 2036-08-26      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-B TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 B B               | CUSIP: 83407KAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26600000 | PA      | $26767532.12    | 0.01%             | 2034-06-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50950 FG 09/47 FIXED 4                  | CUSIP: 3132XTBU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3950721 | PA      | $3780852.16     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 05/07/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2221733.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 05/32 VAR                   | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     80485000 | PA      | $73837079.85    | 0.03%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 25-3A                                          | GLS AUTO SELECT RECEIVABLES TR GSAR 2025 3A A2 144A        | CUSIP: 36272GAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11888728 | PA      | $11904388.27    | 0.01%             | 2030-10-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-3                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2005 3 M9 144A         | CUSIP: 9497ENAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12883000 | PA      | $12699390.20    | 0.01%             | 2035-11-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM2 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 NQM2 A1 144A      | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20338774 | PA      | $20383513.29    | 0.01%             | 2068-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 934262 FN 06/38 FIXED 6                          | CUSIP: 31412TMK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7940 | PA      | $8311.35        | 0.00%             | 2038-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A                              | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A          | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8486746 | PA      | $8532680.98     | 0.00%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5107350000 | PA      | $5031107274.91  | 2.24%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4011 FN 05/30 FIXED 3                          | CUSIP: 31418DN57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82659 | PA      | $81266.28       | 0.00%             | 2030-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.09012 07/31/23-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-32795086.34   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 4 LTD 2016-4A                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 4A AR 144A        | CUSIP: 03329TAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $954542.82      | 0.00%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD4930 FN 04/55 FIXED 5.5                        | CUSIP: 3140B5PQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5730231 | PA      | $5762477.13     | 0.00%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF4             | CUSIP: 75971EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9024934 | PA      | $2841274.70     | 0.00%             | 2036-11-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 634585 FN 01/32 FIXED 6.5                        | CUSIP: 31389S6W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1125 | PA      | $1163.38        | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5007 FR 09/39 FIXED 3.5                | CUSIP: 3133KYR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       283308 | PA      | $271509.44      | 0.00%             | 2039-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.89000 01/08/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $646959.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                    | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   1702700000 | PA      | $38321813.21    | 0.02%             | 2026-08-19      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-WL3                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL3 2A4          | CUSIP: 542514SW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5202509 | PA      | $4770051.34     | 0.00%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 5A                                                  | ALESCO PREFERRED FUNDING LTD ALESC 5A A2 144A              | CUSIP: 01448TAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2121178 | PA      | $2105269.59     | 0.00%             | 2034-12-23      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $153258.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260602                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2282614.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3240 FN 01/48 FIXED 4.5                        | CUSIP: 31418CS62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5459 | PA      | $5357.65        | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7774 FN 03/53 FIXED 5.5                        | CUSIP: 3140NCT82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5348877 | PA      | $5414200.82     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF5714 FN 12/55 FIXED 5                          | CUSIP: 3140BWK49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6036704 | PA      | $5967154.77     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD0210 FR 12/49 FIXED 3                  | CUSIP: 3132DMGT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32371209 | PA      | $28971032.95    | 0.01%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                               | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A A1R2 144A    | CUSIP: 38178DAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     89700000 | PA      | $89727981.92    | 0.04%             | 2035-04-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3696 FN 08/31 FIXED VAR                        | CUSIP: 3140J8DA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59786 | PA      | $58719.08       | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q40832 FG 06/46 FIXED 3                  | CUSIP: 3132WD4S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94321 | PA      | $85375.54       | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2322 FN 04/44 FIXED 4.5                        | CUSIP: 3138WBSL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69524 | PA      | $68627.85       | 0.00%             | 2044-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5155 FN 09/47 FIXED 3.5                        | CUSIP: 3140GTWR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       248708 | PA      | $231870.66      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A FR 144A                          | CUSIP: ACI1747D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     85302000 | PA      | $68800522.91    | 0.03%             | 2054-10-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-262931.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST2004-36CB                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 36CB 2A3         | CUSIP: 12667FR56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       223073 | PA      | $218389.20      | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-130614.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EFMT 2025-CES1                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 CES1 A1A 144A     | CUSIP: 26846VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12763722 | PA      | $12836777.39    | 0.01%             | 2060-01-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL1 A1IO 144A       | CUSIP: 52474BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43301557 | PA      | $283791.91      | 0.00%             | 2057-12-26      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BB9647 G2 08/47 FIXED 3.5                     | CUSIP: 3617B1WG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2422072 | PA      | $2254224.53     | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| QUEST TRUST 2005-X1                                                              | QUEST TRUST QUEST 2005 X1 M5 144A                          | CUSIP: 03072SZN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5984900 | PA      | $5087565.39     | 0.00%             | 2035-03-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4143 FN 09/49 FIXED 3                          | CUSIP: 3140QBS90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47698686 | PA      | $42688439.15    | 0.02%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $24562.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ5931 FR 10/55 FIXED 5                  | CUSIP: 31427DSV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6823280 | PA      | $6735915.77     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX2092 FR 01/55 FIXED 5                  | CUSIP: 31425WKE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       351248 | PA      | $348442.88      | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS INC 2006-AHL1                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AHL1 A2C          | CUSIP: 590210AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5355404 | PA      | $3114975.15     | 0.00%             | 2037-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | FORD MOTOR COMPANY SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $293732.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1888 FN 05/44 FIXED 4                          | CUSIP: 31418BC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22083 | PA      | $21298.47       | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2019-RP1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2019 RP1 M3 144A       | CUSIP: 17327RAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7535000 | PA      | $6704539.02     | 0.00%             | 2066-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0013 FR 06/55 FIXED 5.5                | CUSIP: 3142J6AP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    142743586 | PA      | $143545408.17   | 0.06%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8553 FR 11/55 FIXED 5                  | CUSIP: 31427JQF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2260690 | PA      | $2231686.32     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QO2                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO2 A1            | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30973883 | PA      | $9057850.43     | 0.00%             | 2047-02-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH0395 G2 06/48 FIXED 4                       | CUSIP: 3617GWNL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       312229 | PA      | $294723.49      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735391 FN 12/34 FIXED VAR                        | CUSIP: 31402Q7C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          549 | PA      | $568.55         | 0.00%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0883 FN 01/55 FIXED 5                          | CUSIP: 3140B06V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1562728 | PA      | $1555434.24     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5250 FR 01/48 FIXED 4                  | CUSIP: 31329NZP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58116 | PA      | $55555.04       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/28 3.75             | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    176651500 | PA      | $173604454.18   | 0.08%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8661 FN 01/47 FIXED 4                          | CUSIP: 3138WJTT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7116 | PA      | $6820.22        | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972112 FH 01/33 FLOATING VAR             | CUSIP: 31336CKZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2583 | PA      | $2634.66        | 0.00%             | 2033-01-01      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B B 144A           | CUSIP: 78449HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    109490746 | PA      | $111000459.55   | 0.05%             | 2056-10-16      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                       | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A               | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25276937 | PA      | $25643545.81    | 0.01%             | 2037-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR7                                                          | BCAP LLC TRUST BCAP 2013 RR7 2A2 144A                      | CUSIP: 05542RAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4430316 | PA      | $3982690.36     | 0.00%             | 2037-06-26      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 11 2A1                    | CUSIP: 12669FA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43687 | PA      | $41954.97       | 0.00%             | 2034-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-1                                                           | LEHMAN XS TRUST LXS 2007 1 1A4                             | CUSIP: 525241AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7181875 | PA      | $5909573.37     | 0.00%             | 2037-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | LETRA TESOURO NACIONAL BILLS 04/26 0.00000                 | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |     87900000 | PA      | $16960373.94    | 0.01%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC                 | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A      | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70400000 | PA      | $72871870.72    | 0.03%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ3553 FR 09/54 FIXED 5.5                | CUSIP: 3133CT5N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       740370 | PA      | $744505.63      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ8153 FN 12/26 FIXED 3.5                        | CUSIP: 3138E1BX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3055 | PA      | $3042.87        | 0.00%             | 2026-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF9943 FR 04/53 FIXED 6                  | CUSIP: 3133BYBL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21644 | PA      | $22168.41       | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2003-9A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 9A 2A2            | CUSIP: 86359ARF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          787 | PA      | $770.48         | 0.00%             | 2033-03-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL6                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL6 SA 144A        | CUSIP: 12654UAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       504630 | PA      | $487487.26      | 0.00%             | 2058-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-4                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 4 M4             | CUSIP: 64352VMX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7241625 | PA      | $7224063.44     | 0.00%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP2                                               | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP2 1AF 144A          | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1958833 | PA      | $1830089.97     | 0.00%             | 2035-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A4                     | CUSIP: 12544RAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16329 | PA      | $6086.06        | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR4                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR4 3A1           | CUSIP: 456674AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1071741 | PA      | $1022935.61     | 0.00%             | 2037-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 B2 144A        | CUSIP: 12660QAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12615050 | PA      | $9753864.57     | 0.00%             | 2061-02-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P2 A3            | CUSIP: 14688PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     26633310 | PA      | $26813948.07    | 0.01%             | 2029-07-10      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2005-D                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2005 D M1             | CUSIP: 456606JP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13952066 | PA      | $13263387.75    | 0.01%             | 2036-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D               | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10161159 | PA      | $5050369.35     | 0.00%             | 2036-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA9                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB21          | CUSIP: 761118FJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       533762 | PA      | $183171.19      | 0.00%             | 2035-08-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                                           | LEHMAN XS TRUST LXS 2006 7 2A3A                            | CUSIP: 52522EAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1382979 | PA      | $1396221.56     | 0.00%             | 2036-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2777 FN 11/47 FIXED 3.5                        | CUSIP: 3140FNCP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       237654 | PA      | $221156.90      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-108859.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                                 | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR               | CUSIP: 45833UAK7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     12305000 | PA      | $12563405.00    | 0.01%             | 2026-06-06      | Floating      | 16.83%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $358110.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3619 FN 01/50 FIXED VAR                        | CUSIP: 3140X7AV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       585828 | PA      | $575565.36      | 0.00%             | 2050-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 06/29 VAR                   | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     73000000 | PA      | $72961001.94    | 0.03%             | 2029-06-19      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A A1 144A        | CUSIP: 21055PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2522408 | PA      | $2525018.04     | 0.00%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-SEA1                                 | MORGAN STANLEY CAPITAL INC MSAC 2007 SEA1 1A1 144A         | CUSIP: 61757MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22067086 | PA      | $18215809.89    | 0.01%             | 2047-02-25      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY9719 FN 06/45 FIXED 4                          | CUSIP: 3138YPYR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       701148 | PA      | $674935.33      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-12864919.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1B         | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3487811 | PA      | $3073660.67     | 0.00%             | 2046-07-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-B                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 B M2             | CUSIP: 64352VNL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35480212 | PA      | $31948756.51    | 0.01%             | 2035-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7838 FN 08/46 FIXED 3                          | CUSIP: 3138WHV82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20978 | PA      | $18960.23       | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-25026.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1011 FN 01/43 FIXED 4                          | CUSIP: 3140Q8DR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4457 | PA      | $4301.81        | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUNDING TR 2007-AR2                                            | BEAR STEARNS MORTGAGE FUNDING BSMF 2007 AR2 A1             | CUSIP: 07401TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37377158 | PA      | $34474967.78    | 0.02%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $4563644.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 1A2          | CUSIP: 12668AJA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2409874 | PA      | $160134.20      | 0.00%             | 2035-11-25      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 789835 FH 09/32 FLOATING VAR             | CUSIP: 31295N4U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15212 | PA      | $15532.96       | 0.00%             | 2032-09-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| AQUA FINANCE ISSUER TRUST 2025-B                                                 | AQUA FINANCE TRUST AQFIT 2025 B A 144A                     | CUSIP: 03837GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31193106 | PA      | $31356526.42    | 0.01%             | 2051-05-17      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-SD1                                                     | ACE SECURITIES CORP. ACE 2006 SD1 M1                       | CUSIP: 004421XW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1182563 | PA      | $1125954.39     | 0.00%             | 2036-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $178113.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1          | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30669 | PA      | $20174.70       | 0.00%             | 2035-08-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX0992 FN 09/44 FIXED 4                          | CUSIP: 3138Y2C68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23892 | PA      | $23002.42       | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A3B          | CUSIP: 00075VAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12962302 | PA      | $5219830.94     | 0.00%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA2662 FN 02/39 FIXED 4.5                        | CUSIP: 31416K5Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          360 | PA      | $354.60         | 0.00%             | 2039-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A7                     | CUSIP: 12544RAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15552 | PA      | $6046.57        | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT EDUCATION LOAN TRUST 2025-A                                              | NAVIENT EDUCATION LOAN TRUST NAVEL 2025 A A 144A           | CUSIP: 63943EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27104090 | PA      | $27183694.21    | 0.01%             | 2055-07-15      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A3                                         | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A3 1A5            | CUSIP: 17309KAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       169959 | PA      | $150876.11      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $478585.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-10030354.64   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A2          | CUSIP: 86360KAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5801256 | PA      | $4869624.59     | 0.00%             | 2036-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q46279 FG 02/47 FIXED 3.5                | CUSIP: 3132WK6R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30651 | PA      | $28707.22       | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8219 FN 02/46 FIXED VAR                        | CUSIP: 3138ETDZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36729 | PA      | $35300.39       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR11                                                         | BCAP LLC TRUST BCAP 2012 RR11 5A3 144A                     | CUSIP: 05541YAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4485867 | PA      | $1992551.67     | 0.00%             | 2037-04-26      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                      | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    142284620 | PA      | $100894621.64   | 0.04%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG2634 FR 05/53 FIXED 5                  | CUSIP: 3133C24T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       550538 | PA      | $546730.68      | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0934 FN 11/46 FIXED 3.5                        | CUSIP: 3140FLBC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7480 | PA      | $7034.21        | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA X 144A                       | CUSIP: ACI2QV5B5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10008000 | PA      | $14745633.52    | 0.01%             | 2055-05-28      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES6                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES6 A1A 144A        | CUSIP: 748949AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60483708 | PA      | $60729126.80    | 0.03%             | 2055-06-25      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4335 FN 09/46 FIXED 3.5                        | CUSIP: 3140FBY95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       163204 | PA      | $152729.75      | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 1 A5                      | CUSIP: 170255AP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1944945 | PA      | $767663.14      | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                      | NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS                  | CUSIP: B2NDQFII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      8440108 | PA      | $11059616.98    | 0.00%             | 2050-12-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-8                                                    | GSAA HOME EQUITY TRUST GSAA 2006 8 2A2                     | CUSIP: 362348AS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21034625 | PA      | $4248529.43     | 0.00%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2000-37                                                               | FANNIE MAE FNR 2000 37 PD                                  | CUSIP: 31358SUP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          398 | PA      | $412.89         | 0.00%             | 2030-11-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                                  | VERAISON RE LTD UNSECURED 144A 03/33 VAR                   | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |      3550000 | PA      | $3611770.00     | 0.00%             | 2033-03-08      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2006-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2006 1 M5               | CUSIP: 65106AAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5500000 | PA      | $5446467.95     | 0.00%             | 2036-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1496 FN 09/49 FIXED VAR                        | CUSIP: 3140X4UW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94238 | PA      | $87366.11       | 0.00%             | 2049-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC2                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC2 M3               | CUSIP: 61744CNT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       191502 | PA      | $191115.19      | 0.00%             | 2035-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU5526 FN 02/55 FIXED 5.5                        | CUSIP: 3140M7D81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22425320 | PA      | $22551837.76    | 0.01%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A E 144A          | CUSIP: 21050QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8691383 | PA      | $8754689.82     | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 3A5             | CUSIP: 86361JAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5484959 | PA      | $5119224.88     | 0.00%             | 2036-09-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 1A            | CUSIP: 86359BEF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3964 | PA      | $3846.10        | 0.00%             | 2034-01-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5791 FN 08/55 FIXED 5                          | CUSIP: 31418FNH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21123056 | PA      | $20858642.87    | 0.01%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $2277299.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2007-1                                                       | LUDGATE FUNDING PLC LGATE 2007 1 A2A REGS                  | CUSIP: 994JTTII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     12304699 | PA      | $15877984.33    | 0.01%             | 2061-01-01      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW7744 FN 09/52 FIXED 6                          | CUSIP: 3140N0TA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31272 | PA      | $31994.82       | 0.00%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-13                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 1A              | CUSIP: 126698AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7775751 | PA      | $7606208.01     | 0.00%             | 2047-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5273 FN 01/48 FIXED VAR                        | CUSIP: 3140J92F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11507 | PA      | $11038.78       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF1881 FR 10/52 FIXED 6                  | CUSIP: 3133BPCS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       312719 | PA      | $321122.76      | 0.00%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA8135 FR 10/52 FIXED 5.5                | CUSIP: 3133KQBC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20252 | PA      | $20476.25       | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8144 FR 03/51 FIXED 3.5                | CUSIP: 3132DWBM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        99865 | PA      | $92386.99       | 0.00%             | 2051-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8386 FN 03/53 FIXED 5.5                        | CUSIP: 3140NDJ81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2330772 | PA      | $2351172.59     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A D 144A                 | CUSIP: ACI34GB56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     13812000 | PA      | $16009444.63    | 0.01%             | 2059-08-22      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH                    | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH A 144A      | CUSIP: 46654EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19290000 | PA      | $18671076.49    | 0.01%             | 2038-06-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-4R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 4R 5A1 144A         | CUSIP: 12646DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86684953 | PA      | $31893327.17    | 0.01%             | 2047-02-27      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BNC1                                         | STRUCTURED ASSET SECURITIES CO SASC 2007 BNC1 A1           | CUSIP: 86364XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31389626 | PA      | $19813461.62    | 0.01%             | 2037-10-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R5                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R5 M2             | CUSIP: 03072SRY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       744323 | PA      | $742523.89      | 0.00%             | 2034-07-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4843 FN 02/48 FIXED 4                          | CUSIP: 3140H6LZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3834319 | PA      | $3673724.46     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 08/29 11                        | CUSIP: 958CHMII2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 974000000000 | PA      | $245575316.10   | 0.11%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60080 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $127244.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-2A                                                         | FIRST HELP FINANCIAL LLC FHF 2024 2A A2 144A               | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8066240 | PA      | $8122784.81     | 0.00%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2555 FR 06/55 FIXED 5                  | CUSIP: 31427PZV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1332007 | PA      | $1316974.31     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD4457 FN 04/55 FIXED 5                          | CUSIP: 3140B45T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       936942 | PA      | $925213.89      | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-FM1                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 FM1 2A4             | CUSIP: 65536HBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6340784 | PA      | $6169789.69     | 0.00%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 480335 GN 01/29 FIXED 6.1                        | CUSIP: 36209SSY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11932 | PA      | $12172.79       | 0.00%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 65CB 1A5         | CUSIP: 12668AX75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3083265 | PA      | $1803966.46     | 0.00%             | 2036-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                          | BCAP LLC TRUST BCAP 2011 R11 29A8 144A                     | CUSIP: 05533FKK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9074 | PA      | $8414.99        | 0.00%             | 2036-02-26      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3218                                                                 | FREDDIE MAC FHR 3218 SA                                    | CUSIP: 31397BJY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       498344 | PA      | $47809.97       | 0.00%             | 2036-09-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                           | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A4 144A      | CUSIP: 1248RHAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3837412 | PA      | $2567606.32     | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $170280.69      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK7669 FN 10/48 FIXED 4                          | CUSIP: 3140HMQX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       129281 | PA      | $123832.56      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2B               | CUSIP: 61750SAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3780201 | PA      | $1649125.36     | 0.00%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60500 08/28/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1039014.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-6                                                    | COUNTRYWIDE HOME LOANS CWHL 2004 6 1A1                     | CUSIP: 12669FVD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33549 | PA      | $33618.93       | 0.00%             | 2034-05-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/42 0.75                                 | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    268636012 | PA      | $207186010.87   | 0.09%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-HE1              | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE1 A1A          | CUSIP: 04544RAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1374184 | PA      | $1347998.08     | 0.00%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-147544.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2004-6                                               | HOME EQUITY ASSET TRUST HEAT 2004 6 M5                     | CUSIP: 437084EX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1215273 | PA      | $1217288.22     | 0.00%             | 2034-12-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| SIERRA MADRE FUNDING LTD 2004-1A                                                 | SIERRA MADRE FUNDING LTD MADRE 2004 1A ALTB 144A           | CUSIP: 82639RAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     18683048 | PA      | $10000568.61    | 0.00%             | 2039-09-07      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8862 FN 08/26 FIXED 3.5                        | CUSIP: 3138ANZ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3580 | PA      | $3565.59        | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP / VICI NOTE CO INC                                            | VICI PROPERTIES / NOTE COMPANY GUAR 144A 01/28 4.5         | CUSIP: 92564RAK1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3495000 | PA      | $3475800.29     | 0.00%             | 2028-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 995977 FN 05/39 FIXED VAR                        | CUSIP: 31416CM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       351331 | PA      | $368764.82      | 0.00%             | 2039-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-3 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 3 A1 144A         | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6386273 | PA      | $6373067.18     | 0.00%             | 2030-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A1                     | CUSIP: 12544RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2855650 | PA      | $1110281.44     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.65000 05/11/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-12570726.09   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 4 A2 144A          | CUSIP: 29374MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16097265 | PA      | $16134382.43    | 0.01%             | 2027-07-20      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZI6345 FR 08/37 FIXED 6.5                | CUSIP: 3131WKBN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          532 | PA      | $561.24         | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.61000 03/24/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-2793475.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM45 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1627218.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $23384.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-2766640.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT3 M1           | CUSIP: 83611MPK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1208948 | PA      | $1087142.91     | 0.00%             | 2036-06-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| YELLOW TULIP BIDCO BV                                                            | YELLOW TULIP ASSETCO B.V. GALIBIER ASSETCO PPN             | CUSIP: ACI2QBL39<br>LEI: 7245007F7OM6G569EP33 | Long             | DBT              | CORP              | NL        |     45750000 | PA      | $52880147.58    | 0.02%             | 2036-07-30      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2633 FN 11/55 FIXED 5                          | CUSIP: 3140BS4T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15684208 | PA      | $15566429.41    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ6652 FR 10/54 FIXED 5.5                | CUSIP: 3133CXL99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31511 | PA      | $31687.51       | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3462                                                          | FREDDIE MAC FHR 3462 SC                                    | CUSIP: 31397WCE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1157561 | PA      | $114448.25      | 0.00%             | 2038-06-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-8                                                    | COUNTRYWIDE HOME LOANS CWHL 2004 8 1A5                     | CUSIP: 12669FZM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94323 | PA      | $94038.66       | 0.00%             | 2034-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ7731 FN 03/49 FIXED 4.5                        | CUSIP: 3140H9SV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       138372 | PA      | $135591.00      | 0.00%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3241 FN 03/50 FIXED VAR                        | CUSIP: 3140X6S77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    236319675 | PA      | $211469297.84   | 0.09%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.63761 03/01/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $29526.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-2                                | BEAR STEARNS ASSET BACKED SECU BSABS 2007 2 A3             | CUSIP: 07400TAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7526279 | PA      | $7487480.53     | 0.00%             | 2047-01-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 12A1          | CUSIP: 466278AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10255659 | PA      | $3721197.11     | 0.00%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9358 FN 03/47 FIXED 3.5                        | CUSIP: 3140FVMG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       237082 | PA      | $223302.01      | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF0568 FN 11/55 FIXED 5                          | CUSIP: 3140BQT27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6997138 | PA      | $6907549.38     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3524 FN 11/47 FIXED 4                          | CUSIP: 3140H44J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96586 | PA      | $92555.86       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $-38975.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS 2026-NPL4 LLC                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL4 A1 144A      | CUSIP: 74144EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111000000 | PA      | $111079609.20   | 0.05%             | 2056-04-25      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-77073.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/53 1.5                                  | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    341346720 | PA      | $261945243.64   | 0.12%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-4Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-852.06        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-2                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2007 2 A2C                  | CUSIP: 66989EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24234210 | PA      | $23501457.21    | 0.01%             | 2037-09-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9817 FN 03/47 FIXED 4                          | CUSIP: 3138WK4B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       685028 | PA      | $657152.67      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                              | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/41 FIXED 3.714    | CUSIP: 38122ND58<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      1100000 | PA      | $872499.98      | 0.00%             | 2041-06-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8496 FN 03/53 FIXED 5.5                        | CUSIP: 3140NDNN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7938541 | PA      | $7997277.16     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $272575.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ4234 FR 10/55 FIXED 5.5                | CUSIP: 31427BV44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49319 | PA      | $49700.43       | 0.00%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4485 FN 02/27 FIXED 3                          | CUSIP: 31417A6X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6833 | PA      | $6789.93        | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2005-2                                                   | NEW YORK MORTGAGE TRUST NYMT 2005 2 A                      | CUSIP: 649603AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       213685 | PA      | $195629.66      | 0.00%             | 2035-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-FLX1                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 FLX1 A2           | CUSIP: 45667WAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5019986 | PA      | $4867261.93     | 0.00%             | 2036-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA2476 FR 09/49 FIXED 3                  | CUSIP: 31334YXD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1091739 | PA      | $976258.30      | 0.00%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY39 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $2241188.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-6                                              | PAGAYA AI DEBT SELECTION TRUST PAID 2024 6 A 144A          | CUSIP: 69548KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3574235 | PA      | $3579833.62     | 0.00%             | 2031-11-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB2                                          | SPECIALTY UNDERWRITING + RESID SURF 2006 AB2 A2D           | CUSIP: 84751VAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3267294 | PA      | $1617889.04     | 0.00%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EQUINIX INC SNR S* SP GST                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1052517.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1025 FR 04/53 FIXED 6                  | CUSIP: 3133C1D64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10046489 | PA      | $10294023.82    | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-1 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2025 1 A3 144A          | CUSIP: 29390HAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17800000 | PA      | $17964075.06    | 0.01%             | 2029-02-20      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A3            | CUSIP: 06050HKR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1858 | PA      | $1824.98        | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-B                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 B 2AV4            | CUSIP: 63860LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1188996 | PA      | $1184794.43     | 0.00%             | 2037-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR6                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR6 2A3           | CUSIP: 17309RAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       233069 | PA      | $223730.91      | 0.00%             | 2036-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-15                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 15 4A1            | CUSIP: 863579UU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1113866 | PA      | $987827.09      | 0.00%             | 2035-07-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP JPS                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $719.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1H1343 FH 08/36 FLOATING VAR             | CUSIP: 3128NGEQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          158 | PA      | $164.05         | 0.00%             | 2036-08-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260422                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-6552632.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4862 FN 08/31 FIXED VAR                        | CUSIP: 3140J9ML2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       724462 | PA      | $717034.70      | 0.00%             | 2031-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2B               | CUSIP: 61755AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7260453 | PA      | $5538695.66     | 0.00%             | 2037-05-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 1A2           | CUSIP: 02151AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5087406 | PA      | $2301151.26     | 0.00%             | 2037-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTGE 2004-14                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 14 M              | CUSIP: 863579CQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       214503 | PA      | $196392.93      | 0.00%             | 2034-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2282896.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BECKETT MORTGAGES 2026-1 DAC 26-1A                                               | BECKETT MORTGAGES BECKS 2026 1A E 144A                     | CUSIP: ACI38PPX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      3977000 | PA      | $4628787.19     | 0.00%             | 2071-07-20      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08705 FG 05/46 FIXED 3                  | CUSIP: 3128MJYB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51754 | PA      | $46864.85       | 0.00%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $190738.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2867 FN 06/46 FIXED 3.5                        | CUSIP: 3140E7FH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12287 | PA      | $11505.92       | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 190301 FN 04/29 FIXED VAR                        | CUSIP: 31368HKN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          187 | PA      | $193.64         | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUST RATE MTG LN 2004-13                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 13 A2             | CUSIP: 863579BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       124353 | PA      | $117283.11      | 0.00%             | 2034-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1733 FN 11/46 FIXED 4                          | CUSIP: 3140FL4T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       124490 | PA      | $119796.70      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1+24/9.32* 12/18/25-5Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $-6957454.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $545391.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7571 FR 06/54 FIXED 6.5                | CUSIP: 3132DVMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1963955 | PA      | $2071592.22     | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO2985 FN 05/42 FIXED 4                          | CUSIP: 3138LTJ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79619 | PA      | $76932.06       | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-5393.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $-212887.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF16                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF16 2A3           | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4527403 | PA      | $1770173.70     | 0.00%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08710 FG 06/46 FIXED 3                  | CUSIP: 3128MJYG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       483672 | PA      | $437626.12      | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY9274 FR 07/55 FIXED 5                  | CUSIP: 31426UJU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       348180 | PA      | $344918.69      | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2004 A 3A1             | CUSIP: 06051GBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       282722 | PA      | $260098.32      | 0.00%             | 2034-05-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL AZ6892 G2 05/47 FIXED 3.5                     | CUSIP: 36197KUR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       722921 | PA      | $672827.91      | 0.00%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-616972.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA6573 FR 02/50 FIXED 3                  | CUSIP: 3133A1JS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5806360 | PA      | $5219305.32     | 0.00%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-OP1                                                     | ACE SECURITIES CORP. ACE 2003 OP1 M1                       | CUSIP: 004427BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       584462 | PA      | $600512.38      | 0.00%             | 2033-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG          | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     85923000 | PA      | $30073050.00    | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR3228 FN 02/36 FIXED 2                          | CUSIP: 3140L1SS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       889337 | PA      | $819869.53      | 0.00%             | 2036-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-3099328.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-3                                                     | LEHMAN MORTGAGE TRUST LMT 2007 3 1A2                       | CUSIP: 52521JAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11884475 | PA      | $1821365.33     | 0.00%             | 2037-03-25      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| WMALT MORTGAGE PASS-THRU CERT 2005-5                                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 5 CB1            | CUSIP: 93934FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       528929 | PA      | $461582.50      | 0.00%             | 2035-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 852414 FN 03/36 FIXED 6                          | CUSIP: 31408JAP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          677 | PA      | $694.74         | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2169 FN 08/48 FIXED 4.5                        | CUSIP: 3140Q9MT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48037 | PA      | $47064.67       | 0.00%             | 2048-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP8347 FN 06/50 FIXED 3.5                        | CUSIP: 3140KGHZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       683650 | PA      | $633421.36      | 0.00%             | 2050-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI A 144A         | CUSIP: 12652FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8800000 | PA      | $7457802.00     | 0.00%             | 2032-11-10      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS A 144A                   | CUSIP: 90137LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15739048 | PA      | $15164572.36    | 0.01%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q62293 FG 03/49 FIXED 3                  | CUSIP: 3132VNRP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10390 | PA      | $9263.87        | 0.00%             | 2049-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RONDA RMBS DAC 2025-1A                                                           | RONDA RMBS DESIGNATED ACTIVITY RONDA 2025 1A C 144A        | CUSIP: ACI34XG05<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     16443000 | PA      | $18755741.85    | 0.01%             | 2075-10-28      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                                | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/27 5.375     | CUSIP: P7807HAC9<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    108730000 | PA      | $36402804.00    | 0.02%             | 2027-04-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M4               | CUSIP: 61744CLX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2114249 | PA      | $2026151.83     | 0.00%             | 2035-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR14                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR14 A1           | CUSIP: 939336V91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       622094 | PA      | $608968.69      | 0.00%             | 2035-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES7                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES7 A1A 144A        | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20153597 | PA      | $20143615.32    | 0.01%             | 2044-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A Y 144A              | CUSIP: ACI2PHLW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       950000 | PA      | $17352.40       | 0.00%             | 2048-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-4                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2025 4 A2             | CUSIP: 802923AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     89767603 | PA      | $89820637.41    | 0.04%             | 2029-01-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-30                                                               | FANNIE MAE FNR 2007 30 JS                                  | CUSIP: 31396VHR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       864414 | PA      | $103905.79      | 0.00%             | 2037-04-25      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-OPT1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 OPT1 A1           | CUSIP: 59022VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6041801 | PA      | $5601204.87     | 0.00%             | 2037-08-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1                       | ACE SECURITIES CORP. ACE 2006 HE1 A2D                      | CUSIP: 004421WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        44896 | PA      | $44858.24       | 0.00%             | 2036-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC            | PREFERRED TERM XXIV SR SECURED 144A 03/37 VAR              | CUSIP: 74043CAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     42693921 | PA      | $40879429.69    | 0.02%             | 2037-03-22      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8327 FN 11/46 FIXED 4                          | CUSIP: 3138WJHD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       207854 | PA      | $199525.45      | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-26403.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-FR1                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 FR1 M4            | CUSIP: 03072SQU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5524637 | PA      | $4733326.04     | 0.00%             | 2034-05-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 06/26 0.00000                                | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4614000 | PA      | $4572572.05     | 0.00%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-461033.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO7258 FN 01/35 FIXED 3                          | CUSIP: 3140K3B43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       107114 | PA      | $103134.99      | 0.00%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175MR9F2 PIMCO CAP USD 0.0255 USD SOFR COMPOU             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1277500000 | NC      | $-7168308.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3819 FN 11/55 FIXED 5                          | CUSIP: 3140BGG56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1895034 | PA      | $1870576.08     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A       | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     19295745 | PA      | $18852531.40    | 0.01%             | 2038-04-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-R2                                                                | CIM TRUST CIM 2019 R2 B1 144A                              | CUSIP: 17182AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15069000 | PA      | $13211500.13    | 0.01%             | 2058-07-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5875 G2 04/49 FIXED 3.5                     | CUSIP: 36179UQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14893 | PA      | $13914.83       | 0.00%             | 2049-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A14            | CUSIP: 74958YAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       468864 | PA      | $358515.62      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2432 FN 01/47 FIXED 4                          | CUSIP: 3140F9V28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16354689 | PA      | $15689155.59    | 0.01%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/1.3000 06/16/22-25Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $35411424.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A             | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28677727 | PA      | $28910406.46    | 0.01%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q63559 FG 05/49 FIXED 3.5                | CUSIP: 3132VP5V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2445807 | PA      | $2272587.43     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR4                                              | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR4 2A1          | CUSIP: 94983PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1100950 | PA      | $1097584.66     | 0.00%             | 2036-04-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A R 144A          | CUSIP: 83407UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11634089 | PA      | $11470828.50    | 0.01%             | 2034-03-27      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO CLASS A SHARE                                   | CUSIP: 972BEF903<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $284867.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2730774.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW COMMERCIAL ASSET TRUST 2006-SP2                                          | BAYVIEW COMMERCIAL ASSET TRUST BAYC 2006 SP2 A 144A        | CUSIP: 07325KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22742 | PA      | $21757.46       | 0.00%             | 2037-01-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1575 FN 02/48 FIXED 3.5                        | CUSIP: 3140H2XD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       867110 | PA      | $810925.63      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVIII LTD/PREFERRED TERM SECURITIES XXVIII INC        | PREF TERM SEC XXVIII LTD SR SECURED 144A 03/38 VAR         | CUSIP: 74042CAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     13793371 | PA      | $13724404.38    | 0.01%             | 2038-03-22      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6138 FN 08/47 FIXED 4                          | CUSIP: 3140GUZC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2664471 | PA      | $2553282.84     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI8203 FR 06/54 FIXED 6.5                | CUSIP: 3133WFDG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2240196 | PA      | $2338805.15     | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-NC8                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 NC8 M1                | CUSIP: 61744CHP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6179027 | PA      | $6329078.40     | 0.00%             | 2034-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.75000 03/05/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-1239136.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-99                                                        | FANNIE MAE FNR 2011 99 DZ                                  | CUSIP: 3136A1KK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9692566 | PA      | $9787108.05     | 0.00%             | 2041-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB2                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB2 B 144A        | CUSIP: 054987AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160044470 | PA      | $145079743.90   | 0.06%             | 2053-08-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1           | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55994 | PA      | $25941.60       | 0.00%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-6                                              | RBSSP RESECURITIZATION TRUST RBSSP 2009 6 1A2 144A         | CUSIP: 74928XAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1106276 | PA      | $1061632.59     | 0.00%             | 2036-01-26      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A5           | CUSIP: 46628SAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6694161 | PA      | $1686893.02     | 0.00%             | 2036-07-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A20         | CUSIP: 02146TAV9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7172846 | PA      | $606940.39      | 0.00%             | 2036-08-25      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA2178 FR 12/55 FIXED 5                  | CUSIP: 3142JQM48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18097864 | PA      | $17864820.39    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.47000 11/01/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4912330.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MSJP 2015-HAUL                                                                   | MSJP MSJP 2015 HAUL XB 144A                                | CUSIP: 553697AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31700000 | PA      | $586120.32      | 0.00%             | 2047-09-05      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-5 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 5 A1 144A         | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15579350 | PA      | $15558573.27    | 0.01%             | 2030-07-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-224772.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2487 FN 06/42 FIXED VAR                        | CUSIP: 3138EJXR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       198293 | PA      | $191665.61      | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KENTMERE PLC 3A                                                                  | KENTMERE KMR 3A Z 144A                                     | CUSIP: ACI2RTRM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     10373000 | PA      | $11803757.71    | 0.01%             | 2051-01-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2010-8R                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 8R 10AC 144A        | CUSIP: 12644KAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7545917 | PA      | $4211991.29     | 0.00%             | 2047-04-26      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-25T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 25T1 A4          | CUSIP: 12667GRE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1067416 | PA      | $529269.31      | 0.00%             | 2035-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO 2022 XXA LTD                                                        | TRINITAS CLO LTD TRNTS 2022 20A A1R 144A                   | CUSIP: 89640EAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |      5500000 | PA      | $5501086.91     | 0.00%             | 2035-07-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                     | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                   | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     31069000 | PA      | $30406272.44    | 0.01%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2008-1                                       | THORNBURG MORTGAGE SECURITIES TMST 2008 1 3A1              | CUSIP: 88522UAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5329100 | PA      | $4214024.73     | 0.00%             | 2038-04-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE7878 FN 09/55 FIXED 5                          | CUSIP: 3140BLXG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       989214 | PA      | $987867.29      | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68400 01/03/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $264998.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX1267 FR 12/54 FIXED 5                  | CUSIP: 31425VMR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5248705 | PA      | $5191568.84     | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2002-21A                                         | STRUCTURED ASSET SECURITIES CO SASC 2002 21A 1A1           | CUSIP: 86359ABP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35530 | PA      | $35942.91       | 0.00%             | 2032-11-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55100 09/17/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3070696.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8277 FR 12/52 FIXED 5.5                | CUSIP: 3132DWFS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       771526 | PA      | $779611.44      | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT REFINANCE LOAN TRUST 2025-A                                              | NAVIENT REFINANCE LOAN TRUST NAVRL 2025 A A 144A           | CUSIP: 63943FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15611951 | PA      | $15699430.92    | 0.01%             | 2055-02-16      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257247 FN 06/48 FIXED 5.5                        | CUSIP: 31371NWG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11590 | PA      | $11771.74       | 0.00%             | 2048-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0133 FR 09/52 FIXED 4                  | CUSIP: 3133BMEE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1249101 | PA      | $1184002.31     | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/40 2.125                                | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     76285755 | PA      | $74735741.36    | 0.03%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2006-WMC4                                            | MASTR ASSET BACKED SECURITIES MABS 2006 WMC4 A1            | CUSIP: 57645MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50073097 | PA      | $19031547.47    | 0.01%             | 2036-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA8715 FN 06/39 FIXED 4                          | CUSIP: 31416SVH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35974 | PA      | $34897.97       | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $3339241.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                                     | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A             | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6000000 | PA      | $5712516.00     | 0.00%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/28 4.65             | CUSIP: 694308JC2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     19885000 | PA      | $19917648.58    | 0.01%             | 2028-08-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| MMCAPS FUNDING LTD 17A                                                           | MMCAPS FUNDING LTD MMCAP 17A A2 144A                       | CUSIP: 55312HAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8266244 | PA      | $8200113.64     | 0.00%             | 2035-12-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3142446.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A15         | CUSIP: 12668ABM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       820063 | PA      | $513438.30      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.14 10/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-39894097.01   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9598 FN 03/45 FIXED 4.5                        | CUSIP: 3138YBUY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       530354 | PA      | $523516.79      | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RED & BLACK AUTO ITALY SRL 3                                                     | RED + BLACK AUTO ITALY RNBAI 3 A REGS                      | CUSIP: ACI2R1Y85<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |      5231251 | PA      | $6064065.74     | 0.00%             | 2036-07-28      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $549848.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS7751 FR 01/29 FIXED 3                  | CUSIP: 3132A8TG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       997186 | PA      | $986800.41      | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2323 FN 09/55 FIXED 5                          | CUSIP: 3140BSSM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1528117 | PA      | $1510512.35     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 4A1               | CUSIP: 12638PBQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40941 | PA      | $32389.07       | 0.00%             | 2037-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9418 FN 08/31 FIXED VAR                        | CUSIP: 3138ERPC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7847 | PA      | $7767.41        | 0.00%             | 2031-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3682 FN 07/31 FIXED 3.5                        | CUSIP: 3140FBCU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69000 | PA      | $67655.35       | 0.00%             | 2031-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4099 FN 10/47 FIXED 3.5                        | CUSIP: 3140GSRV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7219641 | PA      | $6733901.28     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-4                                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 4A B2 144A         | CUSIP: 64830WAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12949504 | PA      | $12676289.81    | 0.01%             | 2058-12-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440                   | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 A 144A      | CUSIP: 46653DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4652049.00     | 0.00%             | 2036-03-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                              | SPACE COAST CREDIT UNION SCCU 2024 1A A3 144A              | CUSIP: 78436RAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35062195 | PA      | $35230738.68    | 0.02%             | 2029-06-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN0936 FN 12/48 FIXED 4                          | CUSIP: 3140JHBE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       625751 | PA      | $600408.19      | 0.00%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 21A2                 | CUSIP: 07386HB83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       963210 | PA      | $672236.82      | 0.00%             | 2036-02-25      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8719 FR 11/55 FIXED 5                  | CUSIP: 31427JVM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21446948 | PA      | $21171793.61    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN4642 FR 12/48 FIXED 3.5                | CUSIP: 3131YBEP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21082722 | PA      | $19639154.51    | 0.01%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-109325.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.45000 10/31/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2765169.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260506                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-155741.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 2A2           | CUSIP: 542512AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13385809 | PA      | $4574774.14     | 0.00%             | 2036-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-45098.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0143 G2 01/55 FIXED 3.5                     | CUSIP: 3618N5ER6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35484 | PA      | $32579.87       | 0.00%             | 2055-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CDW LLC / CDW FINANCE CORP                                                       | CDW LLC/CDW FINANCE COMPANY GUAR 12/26 2.67                | CUSIP: 12513GBG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     64300000 | PA      | $63562043.05    | 0.03%             | 2026-12-01      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0TIA8 PIMCO FPPSWAPTION 2.17 PUT USD                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    159400000 | NC      | $46120397.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-76                                                               | FANNIE MAE FNR 2006 76 QF                                  | CUSIP: 31396KBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1660 | PA      | $1650.70        | 0.00%             | 2036-08-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR0028 FN 11/50 FIXED 4                          | CUSIP: 3140KXA63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       146692 | PA      | $139418.42      | 0.00%             | 2050-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF5673 FN 11/55 FIXED 5                          | CUSIP: 3140BWJT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1978413 | PA      | $1953487.69     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A4C           | CUSIP: 251513BA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2145576 | PA      | $1871909.60     | 0.00%             | 2036-10-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                                  | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25              | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     73603000 | PA      | $35329440.00    | 0.02%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX3342 FR 01/55 FIXED 5                  | CUSIP: 31425XWC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       435270 | PA      | $429891.82      | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $205536.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R3                                             | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R3 A1 144A         | CUSIP: 62951MAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       957950 | PA      | $829389.78      | 0.00%             | 2035-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.52000 03/27/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-3437032.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021-5                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2021 5 M1 144A               | CUSIP: 03465HAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3345000 | PA      | $2560335.59     | 0.00%             | 2066-07-25      | Variable      | 2.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ7428 FR 10/55 FIXED 5                  | CUSIP: 31427HHE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       538260 | PA      | $531469.17      | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-RPL3                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2022 RPL3 SA 144A      | CUSIP: 36267AAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       547029 | PA      | $535860.67      | 0.00%             | 2062-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 2022-27A LTD                                                            | AMERICAN MONEY MANAGEMENT CORP AMMC 2022 27A A1R 144A      | CUSIP: 00173UAS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     45500000 | PA      | $45502825.10    | 0.02%             | 2037-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE5                                                             | GSAMP TRUST GSAMP 2006 HE5 A2D                             | CUSIP: 362437AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19854320 | PA      | $18473839.07    | 0.01%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ7280 FN 01/48 FIXED 4.5                        | CUSIP: 3140H9CS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       166983 | PA      | $164445.95      | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 789865 FH 10/32 FLOATING VAR             | CUSIP: 31295N6A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5220 | PA      | $5324.29        | 0.00%             | 2032-10-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A9          | CUSIP: 02149VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2021616 | PA      | $860316.18      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52131 FG 11/47 FIXED 3.5                | CUSIP: 3132XULM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       752447 | PA      | $703008.07      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC          | CUSIP: 345397D59<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     11573000 | PA      | $11982876.43    | 0.01%             | 2028-11-07      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2003-WMC3                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 WMC3 M3           | CUSIP: 5899292D9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       202099 | PA      | $201467.43      | 0.00%             | 2034-06-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/17/25-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3505555.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9973 FN 07/47 FIXED 4                          | CUSIP: 3138WLCK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       133350 | PA      | $127827.33      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  MAR26 XCME 20260616                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2497 | NC      | $9328899.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1839 FN 05/27 FIXED VAR                        | CUSIP: 3138EJBH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2134 | PA      | $2119.29        | 0.00%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-9                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 9 M1              | CUSIP: 86358EYF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7621337 | PA      | $7532896.11     | 0.00%             | 2035-11-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-1876.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08726 FG 10/46 FIXED 3                  | CUSIP: 3128MJYY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       817466 | PA      | $738332.01      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 788662 FH 09/31 FLOATING VAR             | CUSIP: 31295MTT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33555 | PA      | $34174.46       | 0.00%             | 2031-09-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20D                                         | SMALL BUSINESS ADMINISTRATION SBAP 2008 20D 1              | CUSIP: 83162CRS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        30934 | PA      | $31143.94       | 0.00%             | 2028-04-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-1                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 15A1           | CUSIP: 07384MJ29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       345025 | PA      | $320936.37      | 0.00%             | 2034-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     50661000 | PA      | $48960353.29    | 0.02%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9282 FN 06/46 FIXED VAR                        | CUSIP: 3138ERJ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29390 | PA      | $28266.67       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                             | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 A 144A         | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5140000 | PA      | $5121375.72     | 0.00%             | 2034-12-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-RPL1                                    | GSMBS 2026 RPL1 SA 144A                                    | CUSIP: 990ACSUZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1382544 | PA      | $1387003.10     | 0.00%             | 2075-10-01      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0633 FN 06/47 FIXED 3.5                        | CUSIP: 3140FKV31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6259 | PA      | $5837.39        | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-2 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1587138.46    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08800 FG 02/48 FIXED 3.5                | CUSIP: 3128MJ3J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23476713 | PA      | $21740816.90    | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A1D         | CUSIP: 23242GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1795178 | PA      | $1719112.05     | 0.00%             | 2046-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| DOMI 2024-1 BV  24-1                                                             | DOMI DOMI 2024 1 A REGS                                    | CUSIP: ACI2P94C4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     11604864 | PA      | $13408635.97    | 0.01%             | 2056-06-15      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4535 FN 06/46 FIXED 4                          | CUSIP: 3140F0BD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85210 | PA      | $81705.82       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP MYI                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1261263.86    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC4819 FN 05/55 FIXED 5.5                        | CUSIP: 3140ASK98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       319192 | PA      | $321009.49      | 0.00%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $43133718.29    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1687 FN 12/47 FIXED 4                          | CUSIP: 3140H22V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21670 | PA      | $20765.31       | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KENTMERE PLC 3A                                                                  | KENTMERE KMR 3A Y 144A                                     | CUSIP: ACI2RTSH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9500000 | PA      | $7254264.71     | 0.00%             | 2051-01-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 25 A13                    | CUSIP: 126694HS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1620052 | PA      | $581117.88      | 0.00%             | 2035-11-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 480325 GN 07/28 FIXED 6.1                        | CUSIP: 36209SSN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9383 | PA      | $9694.79        | 0.00%             | 2028-07-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4943 FN 03/53 FIXED 6.5                        | CUSIP: 31418EP53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       147558 | PA      | $152973.00      | 0.00%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A Y 144A                                | CUSIP: ACI2J98F0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      9500000 | PA      | $1269.99        | 0.00%             | 2050-11-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-SJ1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2025 SJ1 SA 144A       | CUSIP: 36273PAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       751470 | PA      | $633612.48      | 0.00%             | 2071-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 1A A3 144A       | CUSIP: 78435VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9687180 | PA      | $9735007.20     | 0.00%             | 2029-05-21      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8574 FN 12/46 FIXED 4                          | CUSIP: 3138WJQ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4929463 | PA      | $4718612.51     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB2                                          | DEUTSCHE ALT B SECURITIES INC DBALT 2006 AB2 A8            | CUSIP: 251511AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5121831 | PA      | $4685937.87     | 0.00%             | 2036-06-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H31                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H31 FB             | CUSIP: 38375BD58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       491911 | PA      | $491169.79      | 0.00%             | 2062-10-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4922 FN 01/48 FIXED 4                          | CUSIP: 3140H6PG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       642244 | PA      | $615408.88      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.245 03/25/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-2044097.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 4 22A2                 | CUSIP: 07386HSW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       173381 | PA      | $170083.98      | 0.00%             | 2035-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.65000 04/12/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-2768491.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6289 FR 02/39 FIXED 4                  | CUSIP: 31329P7A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       208224 | PA      | $203749.96      | 0.00%             | 2039-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2006-RM2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM2 A1A           | CUSIP: 590216AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6840453 | PA      | $1978915.05     | 0.00%             | 2037-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9286 FN 11/46 FIXED 4                          | CUSIP: 3140FHJ81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2564813 | PA      | $2464692.58     | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/33 1.375                                | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2629922745 | PA      | $2571759084.41  | 1.14%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7885 FN 06/45 FIXED VAR                        | CUSIP: 3138EQXP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        95826 | PA      | $91529.20       | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA6332 FR 01/50 FIXED 3                  | CUSIP: 3133A1A93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11322628 | PA      | $10177748.97    | 0.00%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7702 FN 02/53 FIXED 6.5                        | CUSIP: 3140NCRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       186313 | PA      | $193472.26      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD4398 FN 04/55 FIXED 5                          | CUSIP: 3140B43G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       201536 | PA      | $198997.33      | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8036 FN 04/47 FIXED 4                          | CUSIP: 3140FT4W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4593 | PA      | $4392.97        | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A2           | CUSIP: 75115BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21041341 | PA      | $6572414.30     | 0.00%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                          | GSG BIDCO LTD SR SECURED 144A 06/31 4.7                    | CUSIP: ACI38RGT1<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |    126300000 | PA      | $144816741.68   | 0.06%             | 2031-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                             | GSAMP TRUST GSAMP 2007 NC1 A1                              | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4647192 | PA      | $2458724.45     | 0.00%             | 2046-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| EUCALYPTUS MORTGAGES 2022 LIMITED                                                | EUCALYPTUS MORTGAGES 2022 10/50 1                          | CUSIP: ACI279P56<br>LEI: 213800ATDA13Y12ASJ14 | Long             | DBT              | CORP              | GB        |    113946942 | PA      | $91320599.02    | 0.04%             | 2050-10-24      | Floating      | 1.00%                 | No            |                  3 | On Loan: No      |
| INTEGRITY RE LTD                                                                 | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR               | CUSIP: 45833UAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      7600000 | PA      | $7892600.00     | 0.00%             | 2026-06-08      | Floating      | 26.31%                | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                      | CUSIP: 05494AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26318000 | PA      | $25419829.82    | 0.01%             | 2056-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| HANDSHAKE RE LTD                                                                 | HANDSHAKE RE LTD UNSECURED 144A 01/30 VAR                  | CUSIP: 410290AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      2800000 | PA      | $2783760.00     | 0.00%             | 2030-01-08      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA STRUCTURED SECURITIES TRUST 2025-S1                           | FINANCE OF AMERICA STRUCTURED FASST 2025 S1 A1 144A        | CUSIP: 31741BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    151354609 | PA      | $146739262.13   | 0.07%             | 2075-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1660 FN 08/47 FIXED VAR                        | CUSIP: 3140J5Z28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16127 | PA      | $15463.65       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOSPHORUS CLO IX DAC 9A                                                          | BOSPHORUS CLO BOPHO 9A BR 144A                             | CUSIP: ACI396402<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     10400000 | PA      | $12020842.29    | 0.01%             | 2038-04-15      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.6* 10/01/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $21271108.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2014-5R                                             | GS MORTGAGE SECURITIES CORP. GSMSC 2014 5R 1C 144A         | CUSIP: 36248TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41230841 | PA      | $21745636.03    | 0.01%             | 2037-04-26      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-HE4                                                     | ACE SECURITIES CORP. ACE 2004 HE4 M1                       | CUSIP: 004421JH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       818567 | PA      | $755300.17      | 0.00%             | 2034-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX4068 FR 01/55 FIXED 5                  | CUSIP: 31425YQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3891009 | PA      | $3843505.83     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TERWIN MTGE TRUST 2006-9HGA                                                      | TERWIN MORTGAGE TRUST TMTS 2006 9HGA A3 144A               | CUSIP: 88156TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43031427 | PA      | $12489764.20    | 0.01%             | 2037-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB5213 FN 07/54 FIXED 5.5                        | CUSIP: 3140AEYK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       297659 | PA      | $299670.50      | 0.00%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI2014 FR 03/54 FIXED 5                  | CUSIP: 3133W8GX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37883 | PA      | $37571.82       | 0.00%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI5856 FN 07/41 FIXED 4.5                        | CUSIP: 3138AKQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4532 | PA      | $4455.31        | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.6941 03/23/26-01/02/31 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $179689.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HOLDING SA SR SECURED REGS 06/30 7.5               | CUSIP: L26915AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |       407953 | PA      | $400890.15      | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD1733 FN 01/55 FIXED 5                          | CUSIP: 3140B14T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1520702 | PA      | $1508220.36     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                                     | ACE SECURITIES CORP. ACE 2007 WM1 A2D                      | CUSIP: 004424AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7866712 | PA      | $3215055.85     | 0.00%             | 2036-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/27 3.3              | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     83737000 | PA      | $82761305.69    | 0.04%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A Z 144A                       | CUSIP: ACI2V5FF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     35282000 | PA      | $37425263.06    | 0.02%             | 2056-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.62000 01/31/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-504066.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 09/31 5.125                      | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     96400000 | PA      | $110659592.86   | 0.05%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1395 FN 08/34 FIXED VAR                        | CUSIP: 3140X4RR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39668 | PA      | $38285.45       | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-22                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 22 1A4            | CUSIP: 863579J90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        64406 | PA      | $42753.03       | 0.00%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW6224 FN 08/52 FIXED 6                          | CUSIP: 3140MX4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17532 | PA      | $18094.09       | 0.00%             | 2052-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2542 FN 02/46 FIXED 4                          | CUSIP: 3140EWZG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68952 | PA      | $66260.09       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-OA5                                                  | COUNTRYWIDE HOME LOANS CWHL 2006 OA5 3A1                   | CUSIP: 126694N46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       227728 | PA      | $210438.49      | 0.00%             | 2046-04-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3733 FN 08/46 FIXED 3.5                        | CUSIP: 3140FBEF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       119354 | PA      | $111277.49      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA4197 FN 01/56 FIXED VAR                        | CUSIP: 3140W4UX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    219073647 | PA      | $222965262.83   | 0.10%             | 2056-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                       | ACE SECURITIES CORP. ACE 2005 HE3 M5                       | CUSIP: 004421NG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3376608 | PA      | $2774302.40     | 0.00%             | 2035-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2006-2                                              | MASTR SPECIALIZED LOAN TRUST MASD 2006 2 A 144A            | CUSIP: 57643AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       824819 | PA      | $816109.75      | 0.00%             | 2036-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3063 FN 01/28 FIXED VAR                        | CUSIP: 3138EKMM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5283 | PA      | $5249.08        | 0.00%             | 2028-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 4A1             | CUSIP: 058928AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       363841 | PA      | $299605.32      | 0.00%             | 2036-03-20      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-5A LLC                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 5A A 144A        | CUSIP: 05377RHC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35413000 | PA      | $35862330.77    | 0.02%             | 2028-04-20      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 481410 GN 07/28 FIXED 6.1                        | CUSIP: 36209TYF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9744 | PA      | $10085.01       | 0.00%             | 2028-07-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MF5             | CUSIP: 126673JG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       992109 | PA      | $707887.19      | 0.00%             | 2034-07-25      | Variable      | 5.56%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC5                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC5 M4           | CUSIP: 76112BH78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10947556 | PA      | $10682961.92    | 0.00%             | 2035-10-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A3         | CUSIP: 02146XAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2363799 | PA      | $952218.68      | 0.00%             | 2036-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC9785 FN 08/46 FIXED 3.5                        | CUSIP: 3140F52T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       297973 | PA      | $278329.54      | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q60692 FG 12/48 FIXED 3.5                | CUSIP: 3132VLXW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       345721 | PA      | $320923.96      | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-F                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 F 2A1             | CUSIP: 05946XYV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        79358 | PA      | $68408.52       | 0.00%             | 2035-09-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2005-AR2                                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR2 2A2A          | CUSIP: 45660LCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       537703 | PA      | $489117.56      | 0.00%             | 2035-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO2                                          | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1            | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       220231 | PA      | $190960.01      | 0.00%             | 2045-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.44600 10/23/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3171795.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 468306 GN 02/28 FIXED 6.49                       | CUSIP: 36209DGP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4880 | PA      | $4922.03        | 0.00%             | 2028-02-15      | Fixed         | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-1410212.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A      | CUSIP: 17312EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23465456 | PA      | $21457003.04    | 0.01%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BCD TR 2005-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2005 B M6             | CUSIP: 456606GY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8950000 | PA      | $8816288.79     | 0.00%             | 2035-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.36832 09/03/24-25Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6427191.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 B2 144A       | CUSIP: 173114AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9043050 | PA      | $8532409.77     | 0.00%             | 2070-03-01      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4900 G2 12/47 FIXED 3.5                     | CUSIP: 36179TNR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       331648 | PA      | $311122.88      | 0.00%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0682 G2 10/55 FIXED 3.5                     | CUSIP: 3618N5XL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    641204535 | PA      | $588569753.58   | 0.26%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2014-2R                                                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 2R 23A2 144A        | CUSIP: 12648EJA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8600249 | PA      | $1964306.36     | 0.00%             | 2046-02-27      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/17/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2872454.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8668 FN 10/46 FIXED 3.5                        | CUSIP: 3140FGT25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       935312 | PA      | $878046.80      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A A3 144A            | CUSIP: 37989AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3783116 | PA      | $3785335.08     | 0.00%             | 2028-04-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE7035 FN 08/55 FIXED 5                          | CUSIP: 3140BKY99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       778269 | PA      | $772896.66      | 0.00%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO 2016-1 LLC                                                     | MOUNTAIN VIEW CLO MVEW 2016 1A AR3 144A                    | CUSIP: 62432FAV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     31300000 | PA      | $31270833.10    | 0.01%             | 2033-04-14      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO110626                                 | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 141108500000 | PA      | $98082088.88    | 0.04%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE6795 FN 09/55 FIXED 5                          | CUSIP: 3140BKRR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1791507 | PA      | $1768539.68     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-4537461.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3B            | CUSIP: 59024FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4298153 | PA      | $994080.21      | 0.00%             | 2037-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $108.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-364089.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2623 FN 08/47 FIXED 4                          | CUSIP: 3140GQ4H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       790483 | PA      | $757499.42      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.70 12/18/20-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $59203998.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 1A A4 144A       | CUSIP: 78435VAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3650000 | PA      | $3686727.76     | 0.00%             | 2031-01-21      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 09/30 7.75                      | CUSIP: ACI0BJ3C2<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 242000000000 | PA      | $52830062.74    | 0.02%             | 2030-09-18      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2024-3A LTD                                                      | ATLANTIC AVENUE LTD MCCP 2024 3A A 144A                    | CUSIP: 04822JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     83300000 | PA      | $83344497.19    | 0.04%             | 2035-01-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A R 144A         | CUSIP: 210927AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45900161 | PA      | $20586830.48    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 AIOS 144A      | CUSIP: 12660QAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219001474 | PA      | $3802424.05     | 0.00%             | 2061-02-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-7 LLC                                                                  | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 7 A1 144A         | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21441436 | PA      | $21465317.11    | 0.01%             | 2029-11-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 1 M5                     | CUSIP: 43739EAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        58173 | PA      | $42742.72       | 0.00%             | 2035-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5805 FN 03/48 FIXED 4.5                        | CUSIP: 3140H7NX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       170383 | PA      | $166864.52      | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-4                                                    | GSAA HOME EQUITY TRUST GSAA 2007 4 A1                      | CUSIP: 3622EBAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29326555 | PA      | $7929671.78     | 0.00%             | 2037-03-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-4CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 4CB 1A2          | CUSIP: 12668BPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1710236 | PA      | $746383.77      | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-B TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 B A               | CUSIP: 83407KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    146961165 | PA      | $147285611.51   | 0.07%             | 2034-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.3275 04/05/24-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-29193978.51   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-CW1                                                     | ACE SECURITIES CORP. ACE 2006 CW1 A1                       | CUSIP: 00441QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8445078 | PA      | $8191190.30     | 0.00%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TR 2004-J5                                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J5 M2            | CUSIP: 12667FLM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1769564 | PA      | $1751111.39     | 0.00%             | 2034-08-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1                | CUSIP: 61750SAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12371200 | PA      | $11193528.17    | 0.00%             | 2036-10-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1                    | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1033647 | PA      | $485891.05      | 0.00%             | 2035-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                                    | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR          | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |      2400000 | PA      | $2914961.79     | 0.00%             | 2029-01-17      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-2041711.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G0477 FH 05/35 FLOATING VAR             | CUSIP: 3128NCQ64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8342 | PA      | $8464.08        | 0.00%             | 2035-05-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A            | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         3579 | PA      | $783390.80      | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A2            | CUSIP: 61754HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49816640 | PA      | $13097043.75    | 0.01%             | 2037-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A9                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A9 2A1E           | CUSIP: 59020U2H7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       531946 | PA      | $513011.59      | 0.00%             | 2035-12-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| BLETCHLEY PARK FUNDING 2024-1 PLC 24-1                                           | BLETCHLEY PARK FUNDING BPKF 2024 1 A REGS                  | CUSIP: ACI2Q8963<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     15069647 | PA      | $19972562.31    | 0.01%             | 2070-07-27      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR2                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR2 A1            | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15781229 | PA      | $15173554.09    | 0.01%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 1 M2                   | CUSIP: 07386HQJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3680348 | PA      | $3551447.99     | 0.00%             | 2035-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-5                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 5 1A               | CUSIP: 12668KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21196290 | PA      | $20110298.54    | 0.01%             | 2047-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR18 3A1          | CUSIP: 92922F8T8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       152823 | PA      | $151140.06      | 0.00%             | 2036-01-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                                     | ACE SECURITIES CORP. ACE 2006 NC3 A1B                      | CUSIP: 00442EAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58597914 | PA      | $29923224.06    | 0.01%             | 2036-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-2                                                     | LEHMAN MORTGAGE TRUST LMT 2005 2 3A3                       | CUSIP: 52520MCA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24282 | PA      | $12011.02       | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2005-WF2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF2 AF7           | CUSIP: 17307GVN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12579 | PA      | $11668.75       | 0.00%             | 2035-08-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS2699 FN 08/52 FIXED VAR                        | CUSIP: 3140XH7M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2093452 | PA      | $2075440.50     | 0.00%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A9                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A9 A5             | CUSIP: 45660LTS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1188911 | PA      | $681757.28      | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A             | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147171712 | PA      | $146003948.76   | 0.06%             | 2064-10-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ5555 FR 09/55 FIXED 5                  | CUSIP: 3142GWE54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4685906 | PA      | $4627248.77     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $1144020.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                               | ALTICE FRANCE SA 2025 EXT TERM LOAN B14                    | CUSIP: BA000QF60<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |    347730894 | PA      | $349107907.98   | 0.16%             | 2031-05-31      | Floating      | 10.55%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $132153.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9136 FN 04/53 FIXED 5.5                        | CUSIP: 3140NEEJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23476 | PA      | $23607.00       | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP4746 FN 08/27 FIXED 3                          | CUSIP: 3138M8HY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6961 | PA      | $6905.43        | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                     | BONOS TESORERIA PESOS BONDS 03/35 5                        | CUSIP: BZ8VHWII9<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  18000000000 | PA      | $18767408.72    | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A3             | CUSIP: 55275BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6311078 | PA      | $2195518.14     | 0.00%             | 2036-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5787 FN 08/47 FIXED VAR                        | CUSIP: 3140JAND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47164 | PA      | $45365.78       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-2                                       | GS MORTGAGE BACKED SECURITIES GSMBS 2026 2 SA 144A         | CUSIP: 36274JAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30826 | PA      | $30876.48       | 0.00%             | 2055-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| INVESCO EURO CLO III DAC 3A                                                      | INVESCO EURO CLO INVSC 3A AR                               | CUSIP: ACI2Q9953<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     70200000 | PA      | $81100115.12    | 0.04%             | 2038-10-30      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A            | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3444 | PA      | $3495.78        | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535423 FN 07/30 FIXED VAR                        | CUSIP: 31384VYU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          226 | PA      | $233.86         | 0.00%             | 2030-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TR 2004-IP1                                                | RESIDENTIAL ASSET SECURITIZATI RAST 2004 IP1 A1            | CUSIP: 45660NYL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62604 | PA      | $60213.07       | 0.00%             | 2034-01-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0323 FR 09/52 FIXED 4                  | CUSIP: 3133BMLC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       737208 | PA      | $697719.44      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2896 FN 02/47 FIXED 3.5                        | CUSIP: 31418CGE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156391 | PA      | $146224.77      | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 9 1A1                  | CUSIP: 07386HKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        65820 | PA      | $64509.49       | 0.00%             | 2034-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2004-HYB4                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB4 AA           | CUSIP: 17307GMC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       223642 | PA      | $216221.33      | 0.00%             | 2034-12-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-HYB1                                                 | COUNTRYWIDE HOME LOANS CWHL 2003 HYB1 1A1                  | CUSIP: 12669DC89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        96366 | PA      | $90790.69       | 0.00%             | 2033-05-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2886 FN 05/50 FIXED VAR                        | CUSIP: 3140X6F48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     72915848 | PA      | $65367276.05    | 0.03%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0115 FN 07/29 FIXED 4.5                        | CUSIP: 31417YDV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9761 | PA      | $9773.46        | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1            | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7237 | PA      | $6824.78        | 0.00%             | 2033-02-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QS15                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS15 1A           | CUSIP: 761118KG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5257924 | PA      | $1465629.92     | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT2097 FN 04/43 FIXED 4                          | CUSIP: 3138WPKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       368974 | PA      | $356074.28      | 0.00%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2501 FN 10/44 FIXED 4                          | CUSIP: 3138Y3X71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3848 | PA      | $3708.08        | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC5737 FN 07/29 FIXED 3                          | CUSIP: 3140F1LT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44007 | PA      | $43179.48       | 0.00%             | 2029-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 781867 FH 08/34 FLOATING VAR             | CUSIP: 31349TCC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          648 | PA      | $661.27         | 0.00%             | 2034-08-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3628778.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LOAN TRUST SERIES 2006-5                                          | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 5 A2D            | CUSIP: 69121EAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6114163 | PA      | $5707960.39     | 0.00%             | 2037-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A3A            | CUSIP: 17312VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1014434 | PA      | $909452.67      | 0.00%             | 2046-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.25000 03/20/24-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-8182089.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MF3              | CUSIP: 126673Z47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4620964.50     | 0.00%             | 2035-10-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1656 FN 04/47 FIXED 4                          | CUSIP: 3140GPZW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        93329 | PA      | $89396.23       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6108 FN 01/53 FIXED 5.5                        | CUSIP: 3140NAYE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2556058 | PA      | $2583887.73     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1953 FN 08/45 FIXED VAR                        | CUSIP: 3140J6E37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7296 | PA      | $6880.78        | 0.00%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1822 FN 03/44 FIXED 4                          | CUSIP: 31418BAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3449 | PA      | $3328.45        | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7492 FN 07/46 FIXED 4                          | CUSIP: 3138WHKE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21396 | PA      | $20532.16       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-8F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 8F 4A17                   | CUSIP: 362611BR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1256946 | PA      | $473018.00      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC5 A3           | CUSIP: 07384YMC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9178 | PA      | $10161.53       | 0.00%             | 2033-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5037 FR 03/40 FIXED 2.5                | CUSIP: 3133KYS26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5878 | PA      | $5354.95        | 0.00%             | 2040-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                      | TURKIYE GOVERNMENT BOND BONDS 01/27 0.00000                | CUSIP: ACI3871B0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |  11250000000 | PA      | $192799642.21   | 0.09%             | 2027-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1           | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2036326 | PA      | $1986938.73     | 0.00%             | 2035-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.83000 10/12/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1691022.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 005284 G2 01/42 FIXED 3                       | CUSIP: 36202F2R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2463 | PA      | $2259.44        | 0.00%             | 2042-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7555 FN 03/53 FIXED 5.5                        | CUSIP: 3140NCMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1389852 | PA      | $1401940.40     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 7CA1                | CUSIP: 466247QP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27603 | PA      | $22181.32       | 0.00%             | 2035-06-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB7                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 6A1                  | CUSIP: 126694MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       365882 | PA      | $344486.27      | 0.00%             | 2035-11-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET 2003-FF5                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2003 FF5 M3             | CUSIP: 32027NFF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1397947 | PA      | $1356933.72     | 0.00%             | 2034-03-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| ARES LXII CLO LTD 2021-62A                                                       | ARES CLO LTD ARES 2021 62A A1R 144A                        | CUSIP: 00192WAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    117300000 | PA      | $117338475.57   | 0.05%             | 2034-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2024-3A                                            | LENDBUZZ SECURITIZATION TRUST LBZZ 2024 3A A2 144A         | CUSIP: 52609YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10787596 | PA      | $10798160.96    | 0.00%             | 2029-10-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                 | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B B 144A         | CUSIP: 02007G4C4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4081874 | PA      | $4109852.87     | 0.00%             | 2032-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1035 FN 04/27 FIXED 3                          | CUSIP: 31418AEH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2240 | PA      | $2225.49        | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS7423 FN 03/54 FIXED VAR                        | CUSIP: 3140XPG94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29418740 | PA      | $29939062.29    | 0.01%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIFIRST FRANKLIN MTG LOAN ABS 2006-FF2                                           | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF2 A1             | CUSIP: 32027NZX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9203327 | PA      | $8764493.70     | 0.00%             | 2036-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP BOA                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $13.33          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4786 FN 10/52 FIXED 5.5                        | CUSIP: 31418EJ84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31877 | PA      | $32178.22       | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY0377 FR 04/55 FIXED 5                  | CUSIP: 31426JM30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       940544 | PA      | $928769.96      | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XXV LTD                                              | BENEFIT STREET PARTNERS CLO LT BSP 2021 25A A1R 144A       | CUSIP: 08186YAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7000000 | PA      | $7002664.34     | 0.00%             | 2035-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 2 M3             | CUSIP: 68389FHD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3941000 | PA      | $3480792.48     | 0.00%             | 2035-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-9                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 9 4A3            | CUSIP: 41161PJG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20953 | PA      | $18271.29       | 0.00%             | 2034-12-19      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA2058 FN 07/48 FIXED 4.5                        | CUSIP: 3140Q9JC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49890 | PA      | $48869.46       | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-14                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 14 4A1A          | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1268061 | PA      | $593044.59      | 0.00%             | 2035-12-19      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2661 FR 04/53 FIXED 5.5                | CUSIP: 3132DP5W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2187920 | PA      | $2210293.23     | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ0516 FR 08/55 FIXED 5                  | CUSIP: 31426WSE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       314097 | PA      | $311518.95      | 0.00%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                             | EUROSAIL PLC ESAIL 2007 3X A3A REGS                        | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       524047 | PA      | $693662.05      | 0.00%             | 2045-06-13      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF3 A1 144A      | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9360120 | PA      | $9348509.50     | 0.00%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A1           | CUSIP: 93364FAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29221671 | PA      | $27093628.92    | 0.01%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2007-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 M1               | CUSIP: 65106FAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7785000 | PA      | $6924456.22     | 0.00%             | 2037-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.51000 04/09/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2291551.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.97500 03/21/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2403055.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7483 FR 02/53 FIXED 5.5                | CUSIP: 3133BVJ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14844917 | PA      | $14968362.31    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $78952.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF5025 FN 11/55 FIXED 5                          | CUSIP: 3140BVSP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16969984 | PA      | $16753140.72    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG3197 FR 05/53 FIXED 5                  | CUSIP: 3133C3RS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       990747 | PA      | $984315.45      | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW0096 FN 06/29 FIXED 3                          | CUSIP: 3138XPDA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6505 | PA      | $6394.70        | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRPL-2019-1A                                                                     | NRPL TRUST SERIES NRPL 2019 1A SA 144A                     | CUSIP: 62947EAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       311292 | PA      | $302354.80      | 0.00%             | 2058-05-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-OPT1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT1 M1           | CUSIP: 17307GNR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       979044 | PA      | $934582.09      | 0.00%             | 2035-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT1 M1           | CUSIP: 83611MLS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       877903 | PA      | $791908.13      | 0.00%             | 2036-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P5                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P5 A3 144A       | CUSIP: 14687RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5791519 | PA      | $5829049.14     | 0.00%             | 2029-01-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                                | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2C           | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18762525 | PA      | $7109918.25     | 0.00%             | 2036-07-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC2 1A           | CUSIP: 12668BRC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1048253 | PA      | $916445.82      | 0.00%             | 2036-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 4A1A                 | CUSIP: 1266944J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1749912 | PA      | $1681756.44     | 0.00%             | 2036-05-20      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1            | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3237779 | PA      | $2434031.52     | 0.00%             | 2035-07-19      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1           | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        99901 | PA      | $70647.07       | 0.00%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5776 FN 09/45 FIXED 4                          | CUSIP: 3138WFM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120047 | PA      | $115312.04      | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7281 FN 09/28 FIXED 2                          | CUSIP: 3138WVCT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6126 | PA      | $5994.57        | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BQ1794 FN 09/50 FIXED 4                          | CUSIP: 3140KL7G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1045786 | PA      | $1040831.60     | 0.00%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                                    | AMSURG EQUITY EQTYAS910                                    | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5968052 | NS      | $262444651.03   | 0.12%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-1                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 1 M3             | CUSIP: 07384YUW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6060523 | PA      | $6047239.09     | 0.00%             | 2036-02-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 7 LLC/ABILENE DC 8 LLC                                                | PROJECT FLASH TERM LOAN 1                                  | CUSIP: BA000KZ61<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    522021398 | PA      | $522021398.17   | 0.23%             | 2030-04-30      | Floating      | 3.54%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.183133 04/04/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-16189915.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20270120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1300324.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.30000 10/03/23-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $6445841.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LUCA RE LTD                                                                      | LUCA RE LTD UNSECURED 144A 07/31 VAR                       | CUSIP: 54930CAA3<br>LEI: 2549001YET1TWKCC6Y26 | Long             | DBT              | CORP              | BM        |     20700000 | PA      | $21332385.00    | 0.01%             | 2031-07-22      | Floating      | 10.80%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY1510 FR 05/55 FIXED 5                  | CUSIP: 31426KVC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7599867 | PA      | $7508245.65     | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ4911 FR 09/54 FIXED 5.5                | CUSIP: 3133CVN42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       861677 | PA      | $866889.75      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3831 FN 11/55 FIXED 5                          | CUSIP: 3140BGHH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3126298 | PA      | $3086237.67     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2018-A                                                    | SOFI ALTERNATIVE TRUST SAT 2018 A P1 144A                  | CUSIP: 834012AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49263569 | PA      | $47093991.21    | 0.02%             | 2050-05-16      | Variable      | 5.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q58587 FG 09/48 FIXED 3.5                | CUSIP: 3132Y2RH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17763 | PA      | $16516.93       | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA3 2A1B          | CUSIP: 93364AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27013 | PA      | $22873.49       | 0.00%             | 2047-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                                  | KKR FINANCIAL CLO LTD KKR 36A AR 144A                      | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    113700000 | PA      | $113839196.09   | 0.05%             | 2034-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA E 144A         | CUSIP: 21050UAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5149098 | PA      | $5199016.06     | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8462 FN 06/28 FIXED 2                          | CUSIP: 3138WWML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15197 | PA      | $14908.37       | 0.00%             | 2028-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-135871.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A2                                              | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A2 2A2            | CUSIP: 761120AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19160977 | PA      | $5064455.03     | 0.00%             | 2037-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A1            | CUSIP: 32028GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2692203 | PA      | $2512762.74     | 0.00%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A1            | CUSIP: 939336Z30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       332287 | PA      | $323679.27      | 0.00%             | 2035-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GSAA TRUST 2006-15                                                               | GSAA HOME EQUITY TRUST GSAA 2006 15 AF6                    | CUSIP: 3622E8AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7925614 | PA      | $1983193.15     | 0.00%             | 2036-09-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3298 FR 11/55 FIXED 5.5                | CUSIP: 31427QUY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14922364 | PA      | $15215202.56    | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 07/28 2.45                       | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      7500000 | PA      | $6989163.75     | 0.00%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-J1                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A3           | CUSIP: 02149MAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1215319 | PA      | $448048.11      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q44655 FG 12/46 FIXED 3                  | CUSIP: 3132WJE56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        91565 | PA      | $82629.96       | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1776 FR 03/49 FIXED 3.5                | CUSIP: 3132AD6M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       327310 | PA      | $303849.30      | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM4 TRUST                                                             | GCAT GCAT 2023 NQM4 A1 144A                                | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15432315 | PA      | $14580363.49    | 0.01%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-HHV                                                        | HILTON USA TRUST HILT 2016 HHV XA 144A                     | CUSIP: 43300LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118960000 | PA      | $46769.12       | 0.00%             | 2038-11-05      | Variable      | 0.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA1942 FR 08/49 FIXED 3                  | CUSIP: 31334YEP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14563650 | PA      | $13041576.19    | 0.01%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2007-WMC1                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2007 WMC1 A2B          | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2137216 | PA      | $1837466.60     | 0.00%             | 2037-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.17500 10/10/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2755665.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | LETRA TESOURO NACIONAL BILLS 10/26 0.00000                 | CUSIP: ACI2Q7PM2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  16092435000 | PA      | $2910486738.40  | 1.29%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC2                                           | MASTR ASSET BACKED SECURITIES MABS 2006 WMC2 A4            | CUSIP: 57644TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23913239 | PA      | $4722855.17     | 0.00%             | 2036-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5680 FR 01/53 FIXED 5.5                | CUSIP: 3133BTJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2655985 | PA      | $2676718.29     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2668 FN 09/47 FIXED 3.5                        | CUSIP: 3140GQ6E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125744 | PA      | $116867.50      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-122                                                              | FANNIE MAE FNR 2005 122 SG                                 | CUSIP: 31394VED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8881 | PA      | $32.05          | 0.00%             | 2035-11-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1           | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10426 | PA      | $10568.62       | 0.00%             | 2034-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/35 4.25                                 | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    175693100 | PA      | $175061702.92   | 0.08%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725553 FN 09/33 FLOATING VAR                     | CUSIP: 31402DBW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          162 | PA      | $164.02         | 0.00%             | 2033-09-01      | Floating      | 6.73%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH9344 G2 07/48 FIXED 4                       | CUSIP: 3617H7LZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       789159 | PA      | $746051.37      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2C               | CUSIP: 61750MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22028247 | PA      | $9252295.57     | 0.00%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                                 | WESTMORELAND MINING HOLDINGS L COMMON                      | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       143733 | NS      | $85341.69       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A C 144A               | CUSIP: 193938AD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13791332 | PA      | $14021059.84    | 0.01%             | 2055-05-25      | Fixed         | 6.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4748 FR 12/47 FIXED 4                  | CUSIP: 3132A5HZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       108533 | PA      | $104004.06      | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE9 M2           | CUSIP: 073879R59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2995827 | PA      | $3009178.41     | 0.00%             | 2035-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-RPL3                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2022 RPL3 PT 144A      | CUSIP: 36267AAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    684508862 | PA      | $646544289.59   | 0.29%             | 2062-01-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-J8                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J8 2A1           | CUSIP: 12667FSH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       154696 | PA      | $166062.64      | 0.00%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3088 FN 08/47 FIXED 4                          | CUSIP: 31418CNE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15120529 | PA      | $14489619.75    | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2025-7                                                          | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 7 A1 144A         | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81715014 | PA      | $81504973.31    | 0.04%             | 2030-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 2A1           | CUSIP: 86360JAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        81490 | PA      | $57887.02       | 0.00%             | 2046-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0902 FN 01/48 FIXED 4.5                        | CUSIP: 3140H2AC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45136 | PA      | $43858.41       | 0.00%             | 2048-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS8                                              | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS8 MII1          | CUSIP: 76110WD52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       387239 | PA      | $378367.44      | 0.00%             | 2034-09-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL2                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL2 A1 144A      | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17556171 | PA      | $16598764.29    | 0.01%             | 2064-06-25      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2007-BC2               | SPECIALTY UNDERWRITING + RESID SURF 2007 BC2 A2C           | CUSIP: 84752EAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2089572 | PA      | $1550838.05     | 0.00%             | 2037-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR2                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR2 A2B                 | CUSIP: 23332UAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27166 | PA      | $25464.01       | 0.00%             | 2044-11-19      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K112                      | FHLMC MULTIFAMILY STRUCTURED P FHMS K112 X1                | CUSIP: 3137FUZX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    302090577 | PA      | $15238052.90    | 0.01%             | 2030-05-25      | Variable      | 1.43%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A15                                  | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A15 A6            | CUSIP: 76114DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3333812 | PA      | $1030083.76     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM0076 FN 03/50 FIXED VAR                        | CUSIP: 3140X3CN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    317329334 | PA      | $283894436.42   | 0.13%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 3A1            | CUSIP: 863579B49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22189 | PA      | $20692.32       | 0.00%             | 2035-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-3A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 3A A3 144A        | CUSIP: 39571WAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     36160718 | PA      | $36141296.20    | 0.02%             | 2060-12-27      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2938 FN 03/47 FIXED 4.5                        | CUSIP: 31418CHQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3328 | PA      | $3265.82        | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE6110 FN 08/55 FIXED 5                          | CUSIP: 3140BJYG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2136279 | PA      | $2108770.82     | 0.00%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-RM2                                                     | ACE SECURITIES CORP. ACE 2005 RM2 M6                       | CUSIP: 004421NY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4149016 | PA      | $4049780.56     | 0.00%             | 2035-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2005-A8CB                                 | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A8CB A7           | CUSIP: 45660LSV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2732628 | PA      | $1156123.92     | 0.00%             | 2035-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4742 FN 11/27 FIXED VAR                        | CUSIP: 3140J9HU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14341 | PA      | $14143.12       | 0.00%             | 2027-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-1 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 17 1 AA PTT PASS THRU CE 02/29 3.65           | CUSIP: 023761AA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      9173070 | PA      | $8930844.08     | 0.00%             | 2029-02-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY 144A 03/29 VAR                     | CUSIP: 63861VAB3<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     56000000 | PA      | $55648782.56    | 0.02%             | 2029-03-08      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                                          | RIPON MORTGAGES PLC RIPON 1RA Y 144A                       | CUSIP: ACI23MMX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7125000 | PA      | $27594940.21    | 0.01%             | 2056-08-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY5241 FN 06/53 FIXED 5.5                        | CUSIP: 3140NMZF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       261268 | PA      | $263160.93      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 304                                                           | FREDDIEMAC STRIP FHS 304 C21                               | CUSIP: 31325UPA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11401547 | PA      | $1718779.45     | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3800 FN 12/55 FIXED 5                          | CUSIP: 3140BUGJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25701610 | PA      | $25370223.24    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RMAC NO 3 PLC 3                                                                  | RMAC PLC RMAC 3 A REGS                                     | CUSIP: ACI2JQ870<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      5926602 | PA      | $7853047.35     | 0.00%             | 2047-02-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-147544.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                                 | FREDDIE MAC FHR 4839 QO                                    | CUSIP: 3137FJJS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9743544 | PA      | $7961858.88     | 0.00%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A1                 | CUSIP: 46630GAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        63555 | PA      | $60267.87       | 0.00%             | 2035-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                      | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  41277900000 | PA      | $201810580.44   | 0.09%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/43 4.6              | CUSIP: 694308HD2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     37654000 | PA      | $31130129.71    | 0.01%             | 2043-06-15      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE6355 FN 04/47 FIXED 3.5                        | CUSIP: 3140FSBZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27250 | PA      | $25437.23       | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY2240 FR 05/55 FIXED 5                  | CUSIP: 31426LP24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1514440 | PA      | $1503409.60     | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                      | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A A 144A          | CUSIP: ACI2NCB49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     23533110 | PA      | $31146899.86    | 0.01%             | 2050-06-28      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-4                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 4 M5              | CUSIP: 86358ESP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25492000 | PA      | $24109132.93    | 0.01%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2023-B                                                | CPS AUTO TRUST CPS 2023 B C 144A                           | CUSIP: 12664WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16493199 | PA      | $16599289.46    | 0.01%             | 2029-07-16      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 31A1          | CUSIP: 07384M4L3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12561 | PA      | $12309.78       | 0.00%             | 2035-01-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1106 FR 12/55 FIXED 5                  | CUSIP: 3142JPGQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1513677 | PA      | $1493908.14     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RONDA RMBS DAC 2025-1A                                                           | RONDA RMBS DESIGNATED ACTIVITY RONDA 2025 1A E 144A        | CUSIP: ACI34XG62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     11876000 | PA      | $13236177.05    | 0.01%             | 2075-10-28      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1525 FR 12/55 FIXED 5                  | CUSIP: 3142JPVT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2581172 | PA      | $2548891.38     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-16                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 16 2A3             | CUSIP: 23242FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11116213 | PA      | $10879511.67    | 0.00%             | 2046-12-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S3                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S3 A4            | CUSIP: 46628VAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7907813 | PA      | $7809260.32     | 0.00%             | 2036-08-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3826 FN 11/29 FIXED 3                          | CUSIP: 31418DHC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2510 | PA      | $2474.99        | 0.00%             | 2029-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUST RATE MTG LN 2004-13                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 13 A1             | CUSIP: 863579AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       150423 | PA      | $147616.19      | 0.00%             | 2034-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9103 FN 03/53 FIXED 6                          | CUSIP: 3140NEDH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       270861 | PA      | $280153.84      | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2014-1 CLASS A PASS THROUGH TRUST                                | UNITED AIR 2014 1 A PTT PASS THRU CE 10/27 4               | CUSIP: 90932PAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2187428 | PA      | $2185481.44     | 0.00%             | 2027-10-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 C D               | CUSIP: 83407XAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9770000 | PA      | $9749356.97     | 0.00%             | 2034-10-25      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE2                                               | MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A4             | CUSIP: 57644UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3667557 | PA      | $1214795.85     | 0.00%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                              | BCP TRUST BCP 2021 330N A 144A                             | CUSIP: 05553BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2300000 | PA      | $2096670.34     | 0.00%             | 2038-06-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA7312 FR 02/50 FIXED 4                  | CUSIP: 3133A2DR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       869875 | PA      | $848395.32      | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1765 FN 12/47 FIXED 3.5                        | CUSIP: 3140Q86B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2142851 | PA      | $2006221.65     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                     | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1555400 | PA      | $1448083.02     | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5209 FN 08/47 FIXED 4                          | CUSIP: 3140GTYF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4170 | PA      | $3992.33        | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A A 144A                                | CUSIP: ACI2J98X1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    284272146 | PA      | $376893208.80   | 0.17%             | 2050-11-28      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 A5 144A       | CUSIP: 17329HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    581495411 | PA      | $527080291.18   | 0.23%             | 2060-10-25      | Variable      | 1.97%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2007-2                                          | MASTR ASSET SECURITIZATION TRU MASTR 2007 2 A2             | CUSIP: 57646NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3698403 | PA      | $1835662.20     | 0.00%             | 2038-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 752884 FN 11/33 FIXED 6.5                        | CUSIP: 31403MM97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          187 | PA      | $194.79         | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                                 | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B A2 144A        | CUSIP: 02007G4B6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7449420 | PA      | $7501331.45     | 0.00%             | 2032-09-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S1                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S1 1A11          | CUSIP: 46627MEH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       227383 | PA      | $106099.63      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH2 MV4          | CUSIP: 46630MBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2350000 | PA      | $2109895.57     | 0.00%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A2            | CUSIP: 939336Z48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        53089 | PA      | $51839.91       | 0.00%             | 2035-03-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL2 PT 144A      | CUSIP: 362961AR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    476062027 | PA      | $418120803.06   | 0.19%             | 2065-06-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| SOFI ALTERNATIVE TRUST 2020-A                                                    | SOFI ALTERNATIVE TRUST SAT 2020 A R2 144A                  | CUSIP: 83406X202<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        50000 | PA      | $685567.57      | 0.00%             | 2046-02-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1483 FR 10/48 FIXED 4                  | CUSIP: 3132ADUG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       242582 | PA      | $231623.37      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2007-FF1                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2007 FF1 A2D            | CUSIP: 32028TAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       257275 | PA      | $141387.82      | 0.00%             | 2038-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-3084975.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A3                    | CUSIP: 12669GKH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4261385 | PA      | $4038587.30     | 0.00%             | 2035-02-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3990 FN 03/48 FIXED VAR                        | CUSIP: 3140J8NG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25162 | PA      | $24111.58       | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-46                                                               | FANNIE MAE FNR 2001 46 ZL                                  | CUSIP: 313920XQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       167820 | PA      | $171791.04      | 0.00%             | 2031-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MB0291 FN 12/54 FIXED 5                          | CUSIP: 3138MTKD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       525408 | PA      | $518683.39      | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5700 FN 05/55 FIXED 5.5                        | CUSIP: 31418FKN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27205011 | PA      | $27357135.28    | 0.01%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7510 FN 07/46 FIXED 4                          | CUSIP: 3138WHKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31371 | PA      | $30136.86       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 WF2 M5            | CUSIP: 86359DDF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       114816 | PA      | $115164.76      | 0.00%             | 2035-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7395 FN 08/47 FIXED 3.5                        | CUSIP: 3140GWGD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21224 | PA      | $19835.85       | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.10500 04/24/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4966599.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3494 FN 10/48 FIXED 3.5                        | CUSIP: 31418C3C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3354 | PA      | $3115.46        | 0.00%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC5                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC5 A1           | CUSIP: 073856AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       910100 | PA      | $1043641.58     | 0.00%             | 2036-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $511143.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HILDENE TRUPS 2019-2A                                                            | HILDENE CLO HITR 2019 2A A1 144A                           | CUSIP: 43133JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2119122 | PA      | $2119459.30     | 0.00%             | 2039-05-22      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX0856 FN 01/53 FIXED 5.5                        | CUSIP: 3140N45S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       331127 | PA      | $335649.72      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1896 FN 11/34 FIXED VAR                        | CUSIP: 3140X5DA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13968 | PA      | $13477.29       | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1665 FN 12/47 FIXED 4                          | CUSIP: 3140H2Z76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5998919 | PA      | $5748584.65     | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HY10                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HY10 3A1A                 | CUSIP: 126694VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2152377 | PA      | $1943257.93     | 0.00%             | 2036-02-20      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-3                                                | VERUS SECURITIZATION TRUST VERUS 2024 3 A1 144A            | CUSIP: 92540MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15560046 | PA      | $15698496.22    | 0.01%             | 2069-04-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| CFMT 2025-HB16 LLC                                                               | CASCADE FUNDING MORTGAGE TRUST CFMT 2025 HB16 A 144A       | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29956414 | PA      | $29490699.55    | 0.01%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 B2 144A         | CUSIP: 52473LAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    133365242 | PA      | $95601806.81    | 0.04%             | 2056-12-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                        | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A B 144A             | CUSIP: 36270YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23400000 | PA      | $23511007.26    | 0.01%             | 2029-04-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN6212 FN 03/49 FIXED 4                          | CUSIP: 3140JN3W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       697476 | PA      | $667488.32      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-14H                                                         | LEHMAN XS TRUST LXS 2007 14H A3                            | CUSIP: 52525LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25834957 | PA      | $19520991.75    | 0.01%             | 2047-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7467 FN 12/55 FIXED 5                          | CUSIP: 3140BYJM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19868109 | PA      | $19650834.63    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX4296 FR 02/55 FIXED 7                  | CUSIP: 31425YX28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1770120 | PA      | $1866702.66     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-K                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 K 2A1            | CUSIP: 05949CMS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1145729 | PA      | $1060927.97     | 0.00%             | 2035-12-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AR3232 FN 04/43 FIXED 3                          | CUSIP: 3138W0SW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       140970 | PA      | $128735.14      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                                | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR                 | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |     10600000 | PA      | $10986900.00    | 0.00%             | 2032-04-08      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A2           | CUSIP: 12667GL84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        74697 | PA      | $72576.59       | 0.00%             | 2035-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-DO1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 DO1 M6            | CUSIP: 83611MEC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3135157 | PA      | $3145527.43     | 0.00%             | 2035-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR HOLDCO SLU                                                        | PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1           | CUSIP: 944ZSGII9<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |     57388991 | PA      | $65906059.89    | 0.03%             | 2026-04-15      | Floating      | 5.19%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2752 FN 12/47 FIXED 4.5                        | CUSIP: 3140FNBW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47945 | PA      | $46902.82       | 0.00%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO LTD 2018-1A                                                           | CARVAL CLO LTD CARVL 2018 1A AR 144A                       | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     24412677 | PA      | $24438031.30    | 0.01%             | 2031-07-16      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5586 FN 01/55 FIXED 5.5                        | CUSIP: 31418FF44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     83597592 | PA      | $84064583.28    | 0.04%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-8                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 8 2A2            | CUSIP: 54251UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9607297 | PA      | $2382714.31     | 0.00%             | 2036-09-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5016 FN 02/43 FIXED 6.5                        | CUSIP: 31418ESE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       130568 | PA      | $136765.46      | 0.00%             | 2043-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.06000 07/02/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2088954.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 M2 144A        | CUSIP: 12660QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20261600 | PA      | $16920352.75    | 0.01%             | 2061-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90000 08/30/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2340094.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-NC2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 NC2 M1           | CUSIP: 46629FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9770835 | PA      | $9681914.62     | 0.00%             | 2036-07-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ2 A3            | CUSIP: 83611XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27436885 | PA      | $20044167.09    | 0.01%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| STUDENT LOAN MARKETING ASSN 2006-B                                               | SLM STUDENT LOAN TRUST SLMA 2006 B A5                      | CUSIP: 78443CCU6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       210001 | PA      | $205922.37      | 0.00%             | 2039-12-15      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P4                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P4 A3 144A       | CUSIP: 14687NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4765566 | PA      | $4799506.80     | 0.00%             | 2028-10-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1767 FR 07/55 FIXED 5.5                | CUSIP: 31427N6D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    165241052 | PA      | $166164118.54   | 0.07%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                                   | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 2A1               | CUSIP: 466247XG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       131315 | PA      | $85107.59       | 0.00%             | 2035-10-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5111 FN 12/53 FIXED 6.5                        | CUSIP: 3140A5VD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5738752 | PA      | $6025776.21     | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD2598 FN 01/55 FIXED 5                          | CUSIP: 3140B23G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64117 | PA      | $63314.60       | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2572 FN 11/44 FIXED 4                          | CUSIP: 3138Y32E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6961 | PA      | $6715.04        | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A3                                           | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A3 1A4            | CUSIP: 12567AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       321234 | PA      | $283396.74      | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WOODWARD CAPITAL MANAGEMENT SERIES 2026-CES1                                     | WOODWARD CAPITAL MANAGEMENT RCKT 2026 CES1 A1A 144A        | CUSIP: 74939BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31397430 | PA      | $31182621.37    | 0.01%             | 2056-01-25      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9574 FN 04/47 FIXED 4                          | CUSIP: 3140FVT89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4162510 | PA      | $3992265.71     | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1764556.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2022-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2022 P3 A4            | CUSIP: 14686MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2000000 | PA      | $2007365.80     | 0.00%             | 2028-06-12      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2023 RPL1 SA 144A      | CUSIP: 36266QAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       561457 | PA      | $455491.65      | 0.00%             | 2062-02-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 4A1            | CUSIP: 05949AJ43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        78876 | PA      | $78027.83       | 0.00%             | 2035-02-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A A2 144A        | CUSIP: 21055PAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166760000 | PA      | $171378451.55   | 0.08%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF4                                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF4 M4             | CUSIP: 32027NRF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2098367 | PA      | $2100218.90     | 0.00%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-2                                              | SAXON ASSET SECURITIES TRUST SAST 2007 2 A2B               | CUSIP: 80556YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20950871 | PA      | $15559843.36    | 0.01%             | 2037-05-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08789 FG 11/47 FIXED 4                  | CUSIP: 3128MJ2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16485676 | PA      | $15860966.97    | 0.01%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A1                 | CUSIP: 46628KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       221270 | PA      | $181223.81      | 0.00%             | 2036-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-2505.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0251 FN 04/48 FIXED 3.5                        | CUSIP: 3140HDH56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       198247 | PA      | $184024.80      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TR 2005-A2                                            | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 A2 3A1           | CUSIP: 46627MBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1645213 | PA      | $1012519.74     | 0.00%             | 2036-01-25      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-931873.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC2017 FN 09/54 FIXED 5.5                        | CUSIP: 3140APG32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       766754 | PA      | $771037.59      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-44449.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE3 A1           | CUSIP: 46629VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8101217 | PA      | $7739903.90     | 0.00%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA1714 FN 10/45 FIXED 4                          | CUSIP: 3140E53Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179947 | PA      | $172347.58      | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q49490 FG 07/47 FIXED 3.5                | CUSIP: 3132WPRL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4243 | PA      | $3970.48        | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.20325 04/02/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-37705095.04   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-HE1              | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE1 A5           | CUSIP: 04544RAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8431000 | PA      | $7923353.47     | 0.00%             | 2036-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-26A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 26A 1A            | CUSIP: 86359AS20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62033 | PA      | $51394.70       | 0.00%             | 2033-09-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-EM                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 EMX1 M1 144A      | CUSIP: 07402LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       413712 | PA      | $413152.89      | 0.00%             | 2037-03-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2049 FN 12/49 FIXED VAR                        | CUSIP: 3140X5H30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8951222 | PA      | $8025680.32     | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 7A1            | CUSIP: 225470SA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4856442 | PA      | $779474.49      | 0.00%             | 2036-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1277 FN 05/47 FIXED VAR                        | CUSIP: 3140J5M30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14979 | PA      | $14369.43       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS9276 FR 03/37 FIXED 2.5                | CUSIP: 3132AAJV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       224110 | PA      | $209257.91      | 0.00%             | 2037-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2025-NQM6                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2025 NQM6 PT1 144A       | CUSIP: 06746DAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    216851643 | PA      | $223906650.88   | 0.10%             | 2065-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.42600 08/01/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1182400.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP CBK                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $6.41           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL3                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL3 SA 144A        | CUSIP: 12596RAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17685 | PA      | $17529.36       | 0.00%             | 2054-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2007-NS1X                                                    | RMAC SECURITIES PLC RMACS 2007 NS1X A2C REGS               | CUSIP: B231LHII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       908202 | PA      | $1024552.03     | 0.00%             | 2044-06-12      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 2A1B                | CUSIP: 23333YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59794 | PA      | $62214.88       | 0.00%             | 2047-04-19      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV6139 FN 01/29 FIXED 3.5                        | CUSIP: 3138XHZD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2896 | PA      | $2862.77        | 0.00%             | 2029-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-14                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 14 A18                    | CUSIP: 12544DAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1881056 | PA      | $885434.27      | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND FUTURE  JUN26 XEUR 20260608                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -21532 | NC      | $77873536.65    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| LEHMAN XS TRUST 2005-1                                                           | LEHMAN XS TRUST LXS 2005 1 3A3A                            | CUSIP: 86359DKT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       510499 | PA      | $458566.90      | 0.00%             | 2035-07-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3428260.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 B1 144A       | CUSIP: 17329NAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58822100 | PA      | $44099151.89    | 0.02%             | 2065-03-01      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3245 G2 11/45 FIXED 4                       | CUSIP: 36179RTA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       345242 | PA      | $330976.81      | 0.00%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.098 03/28/24-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-33004037.86   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-5                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2004 5 M2              | CUSIP: 86358EJF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       202419 | PA      | $197662.20      | 0.00%             | 2034-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $939179.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 1A1            | CUSIP: 05949CPD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       442107 | PA      | $392499.11      | 0.00%             | 2036-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.00000 12/20/23-3Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-723452.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-24                                                        | FANNIE MAE FNR 2013 24 LI                                  | CUSIP: 3136AB7B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       487697 | PA      | $4358.74        | 0.00%             | 2028-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT2                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT2 A1           | CUSIP: 00075XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31521417 | PA      | $27752117.81    | 0.01%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC6011 FN 11/54 FIXED 5.5                        | CUSIP: 3140ATVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       833667 | PA      | $840193.41      | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847133 FH 04/33 FLOATING VAR             | CUSIP: 3128HD4S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          366 | PA      | $374.12         | 0.00%             | 2033-04-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| LUDGATE FUNDING PLC 2008-W1X                                                     | LUDGATE FUNDING PLC LGATE 2008 W1X A1 REGS                 | CUSIP: G571A3BB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2377760 | PA      | $3124029.48     | 0.00%             | 2061-01-01      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                                    | NPC UKRENERGO GOVT GUARANT REGS 11/28 6.875                | CUSIP: ACI21LG55<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |      3080000 | PA      | $2841300.00     | 0.00%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-3                                           | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 3 M5             | CUSIP: 68383NBT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6091000 | PA      | $6076789.70     | 0.00%             | 2035-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY LTD 2025-FL3                                             | ACRES PLC ACRES 2025 FL3 A 144A                            | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    111600000 | PA      | $112000900.68   | 0.05%             | 2040-08-18      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| MMCAPS FUNDING XVIII LTD                                                         | MMCAPS FUND XVIII LTD SR SECURED 144A 12/39 VAR            | CUSIP: 60688HAA3<br>LEI: 549300ZF6EZYDGUCIW80 | Long             | DBT              | CORP              | KY        |     14635492 | PA      | $14342782.34    | 0.01%             | 2039-12-26      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 M3 144A        | CUSIP: 12660QAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18350200 | PA      | $15493428.02    | 0.01%             | 2061-02-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC0245 FN 08/54 FIXED 6.5                        | CUSIP: 3140AMHX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       760956 | PA      | $794450.21      | 0.00%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VALERIE ASSET LTD                                                                | VALERIE ASSET LTD 09/50 1                                  | CUSIP: 918940AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    126021000 | PA      | $112706795.66   | 0.05%             | 2050-09-15      | Fixed         | 5.27%                 | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0162 FN 02/48 FIXED 4                          | CUSIP: 3140HDFC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1400658 | PA      | $1340893.12     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6787 FN 08/46 FIXED 4                          | CUSIP: 3140FERH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       390631 | PA      | $373335.29      | 0.00%             | 2046-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2005-R7                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R7 M5             | CUSIP: 03072SK46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12785000 | PA      | $12218124.61    | 0.01%             | 2035-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-CES2                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 CES2 A1A 144A     | CUSIP: 28225GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21494253 | PA      | $21615379.28    | 0.01%             | 2060-02-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1238867.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-4                                            | CONSECO FINANCE SECURITIZATION CNF 2000 4 A5               | CUSIP: 20846QDU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7163903 | PA      | $824135.44      | 0.00%             | 2032-05-01      | Fixed         | 7.97%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-1                                                | BELLA VISTA MORTGAGE TRUST BVMBS 2005 1 1A1                | CUSIP: 07820QBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       332805 | PA      | $321634.12      | 0.00%             | 2045-01-22      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4432 FN 04/31 FIXED 3.5                        | CUSIP: 3140EY4S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4274 | PA      | $4208.18        | 0.00%             | 2031-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-RMP1                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2007 RMP1 A2           | CUSIP: 25150MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1390600 | PA      | $1298450.94     | 0.00%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W6                                                     | FANNIEMAE WHOLE LOAN FNW 2002 W6 2A                        | CUSIP: 31392DH70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7293 | PA      | $7326.89        | 0.00%             | 2042-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA STRUCTURED SECURITIES TRUST 2025-S2                           | FINANCE OF AMERICA STRUCTURED FASST 2025 S2 A1 144A        | CUSIP: 31739XAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    557995756 | PA      | $545036806.42   | 0.24%             | 2075-07-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-OA2        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA2 2A           | CUSIP: 93935QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12625394 | PA      | $11165940.07    | 0.00%             | 2047-01-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1483514.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q45094 FG 12/46 FIXED 3                  | CUSIP: 3132WJUU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       589088 | PA      | $532063.82      | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9167 FR 06/53 FIXED 5.5                | CUSIP: 3133KRFG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1173287 | PA      | $1182415.85     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1            | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8305482 | PA      | $6970750.24     | 0.00%             | 2037-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.53200 08/20/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2340628.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR1 A2A                 | CUSIP: 23332UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1813552 | PA      | $1673777.82     | 0.00%             | 2044-09-19      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52079 FG 11/47 FIXED 3.5                | CUSIP: 3132XUJZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       904068 | PA      | $844668.74      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2007-4                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 4 1A1            | CUSIP: 41164YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6774031 | PA      | $6878651.99     | 0.00%             | 2037-07-19      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A D                      | CUSIP: ACI2Q4LP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     44327000 | PA      | $51402635.71    | 0.02%             | 2067-08-22      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260422                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-139020.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR18 1A1          | CUSIP: 92922F8K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       693744 | PA      | $672205.59      | 0.00%             | 2036-01-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G2172 FH 09/37 FLOATING VAR             | CUSIP: 3128QSMV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1045 | PA      | $1074.54        | 0.00%             | 2037-09-01      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| DAVIS SQUARE FUNDING LTD 2005-5A                                                 | DAVIS SQUARE FUNDING LTD DVSQ 2005 5A A1A 144A             | CUSIP: 239156AG7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    583584246 | PA      | $188308630.03   | 0.08%             | 2040-10-08      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1535 FR 12/55 FIXED 5                  | CUSIP: 3142JPV57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3193553 | PA      | $3157423.09     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1          | CUSIP: 07386UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1941924 | PA      | $1839339.73     | 0.00%             | 2046-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                                              | FANNIE MAE FNR 2006 118 A2                                 | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14223 | PA      | $13977.21       | 0.00%             | 2036-12-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ2                                                     | PARK PLACE SECURITIES INC PPSI 2005 WHQ2 M5                | CUSIP: 70069FHY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4784000 | PA      | $4010568.81     | 0.00%             | 2035-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1759 FN 11/46 FIXED VAR                        | CUSIP: 3140J55V7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14036 | PA      | $13555.25       | 0.00%             | 2046-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB                                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 2A1         | CUSIP: 02147RAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2433471 | PA      | $692217.57      | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A Y 144A                                 | CUSIP: ACI12JZ43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         6277 | PA      | $11758223.20    | 0.01%             | 2045-02-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2296                                                                 | FREDDIE MAC FHR 2296 PD                                    | CUSIP: 3133TRUS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3818 | PA      | $3945.85        | 0.00%             | 2031-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/48 1                                    | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    250178257 | PA      | $179882449.83   | 0.08%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIII LTD / PREFERRED TERM SECURITIES XXIII INC        | PREFERRED TERM XXIII SECURED 144A 12/36 VAR                | CUSIP: 74043AAG6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      1139140 | PA      | $968269.07      | 0.00%             | 2036-12-22      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2025-4A                                            | ROMARK CREDIT FUNDING I, LTD. RCF 2025 4A A 144A           | CUSIP: 77588RAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     93100000 | PA      | $93601995.20    | 0.04%             | 2043-07-29      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5252 FR 01/53 FIXED 6                  | CUSIP: 3133BSZR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55713 | PA      | $57085.31       | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 21A1         | CUSIP: 07389QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27792 | PA      | $13642.45       | 0.00%             | 2036-10-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT0789 FR 10/48 FIXED 4                  | CUSIP: 3132AC2W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       289090 | PA      | $276596.22      | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                         | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 2A1          | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       308285 | PA      | $281925.49      | 0.00%             | 2035-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-4                                                           | LEHMAN XS TRUST LXS 2005 4 1M1                             | CUSIP: 525221CD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       309912 | PA      | $374893.04      | 0.00%             | 2035-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 8/16/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-7131011.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                          | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A2F 144A        | CUSIP: 288547AS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       275421 | PA      | $273841.60      | 0.00%             | 2037-05-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.10000 01/21/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1346673.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7286 FN 06/55 FIXED 5                          | CUSIP: 3140B8CY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       738591 | PA      | $729300.24      | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/12/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3647148.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 5A1           | CUSIP: 86360QAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4756146 | PA      | $3989074.23     | 0.00%             | 2036-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 RP4 PT 144A       | CUSIP: 17330WAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362697075 | PA      | $293379171.77   | 0.13%             | 2061-12-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2412                                                                 | FREDDIE MAC FHR 2412 OS                                    | CUSIP: 31339DVK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       188970 | PA      | $205633.77      | 0.00%             | 2031-12-15      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR             | CUSIP: 903724CG5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      2554552 | PA      | $1182757.58     | 0.00%             | 2036-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-4 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 4 A3 144A          | CUSIP: 29374MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30300000 | PA      | $30483372.57    | 0.01%             | 2028-11-20      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS0126 FN 06/30 FIXED VAR                        | CUSIP: 3140XFD81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22153293 | PA      | $21849117.81    | 0.01%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55629 FG 04/48 FIXED 4                  | CUSIP: 3132XYHF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2715827 | PA      | $2601364.19     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY5224 FR 06/55 FIXED 5                  | CUSIP: 31426PYW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2626343 | PA      | $2592731.14     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BIOCEANICO SOVEREIGN CERTIFICATE LTD                                             | BIOCEANICO SOVEREIGN SR SECURED REGS 06/34 0.00000         | CUSIP: G11176AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      1826106 | PA      | $1491344.09     | 0.00%             | 2034-06-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.37000 06/21/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-9515198.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q49387 FG 07/47 FIXED 4                  | CUSIP: 3132WPND5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       332529 | PA      | $319363.31      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3695 FN 06/47 FIXED 3.5                        | CUSIP: 3140FPC98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10208 | PA      | $9539.79        | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q62966 FG 04/49 FIXED 3.5                | CUSIP: 3132VPJL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       311806 | PA      | $289346.45      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.42000 03/07/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-3917546.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A4           | CUSIP: 74922KAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62223 | PA      | $49651.88       | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES 2006-AF1                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AF1 AV1A          | CUSIP: 59023RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5289261 | PA      | $3998126.65     | 0.00%             | 2036-09-25      | Variable      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8129 FN 01/48 FIXED 3.5                        | CUSIP: 3140HAA75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       179711 | PA      | $168641.80      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF2             | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3890636 | PA      | $906449.80      | 0.00%             | 2037-06-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45             | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     46785000 | PA      | $38632644.98    | 0.02%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6747 FN 06/46 FIXED 4                          | CUSIP: 3140EBP96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4559 | PA      | $4370.34        | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM9                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM9 A1 144A      | CUSIP: 61779VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34035490 | PA      | $33989773.09    | 0.02%             | 2070-09-25      | Variable      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $20340.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5669 FN 01/53 FIXED 5.5                        | CUSIP: 3140NAJP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        23858 | PA      | $23996.42       | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA2134 FR 02/50 FIXED 3.5                | CUSIP: 3133KHLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18792319 | PA      | $17567717.10    | 0.01%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                               | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A4 144A           | CUSIP: 30336CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6700000 | PA      | $6811488.00     | 0.00%             | 2030-04-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2850 FN 12/46 FIXED 4                          | CUSIP: 3140FNEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       133609 | PA      | $128773.48      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1          | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       237948 | PA      | $221606.85      | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                     | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   8563050000 | PA      | $474288090.51   | 0.21%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M4            | CUSIP: 17307GWU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6350000 | PA      | $6187180.29     | 0.00%             | 2035-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-AR1                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AR1 A2C 144A      | CUSIP: 59020VAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4935742 | PA      | $1265958.50     | 0.00%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-14559010.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AFC HOME EQUITY LOAN TRUST 1998-3                                                | AFC HOME EQUITY LOAN TRUST AFC 1998 3 2A1                  | CUSIP: 00105HDR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9833 | PA      | $9801.29        | 0.00%             | 2028-09-22      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2005-AR2                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2005 AR2 1A1           | CUSIP: 45660LY60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1456578 | PA      | $1144686.44     | 0.00%             | 2036-01-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1             | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43938 | PA      | $38390.66       | 0.00%             | 2047-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $242173.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375             | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     29602868 | PA      | $29244788.58    | 0.01%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-9                                                    | SEQUOIA MORTGAGE TRUST SEMT 2004 9 A1                      | CUSIP: 81744FDV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       972305 | PA      | $898669.37      | 0.00%             | 2034-10-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $2289905.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5436823000 | PA      | $5119789346.18  | 2.28%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-3                                                   | FREMONT HOME LOAN TRUST FHLT 2004 3 M2                     | CUSIP: 35729PFM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3663054 | PA      | $3560539.61     | 0.00%             | 2034-11-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-34                                                        | FANNIE MAE FNR 2013 34 PC                                  | CUSIP: 3136ADQM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1501673 | PA      | $1440575.49     | 0.00%             | 2042-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-A                                             | COLLEGE AVE STUDENT LOANS CASL 2023 A A2 144A              | CUSIP: 193938AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     31537683 | PA      | $31704189.73    | 0.01%             | 2055-05-25      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-FA11                                             | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 FA11 1A4A        | CUSIP: 32051GL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2249966 | PA      | $850240.34      | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847003 FH 03/32 FLOATING VAR             | CUSIP: 3128HDX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25388 | PA      | $25721.36       | 0.00%             | 2032-03-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2023-A                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2023 A SA 144A         | CUSIP: 17295GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       206358 | PA      | $204532.15      | 0.00%             | 2063-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8297 FN 12/35 FIXED VAR                        | CUSIP: 3140XCGF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39535037 | PA      | $38071282.49    | 0.02%             | 2035-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-5                                          | THORNBURG MORTGAGE SECURITIES TMST 2003 5 1A               | CUSIP: 885220EB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        96411 | PA      | $90508.62       | 0.00%             | 2043-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM38 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $638171.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B A1A 144A         | CUSIP: 78450CAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40609513 | PA      | $41805908.30    | 0.02%             | 2052-03-15      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGE TRUST 2006-2                                          | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 2 3A1             | CUSIP: 576438AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1083566 | PA      | $1057488.39     | 0.00%             | 2036-01-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 15 A6                     | CUSIP: 12543UAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        93340 | PA      | $38966.72       | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |            1 | NC      | $-21869.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM3527 FR 06/47 FIXED 4.5                | CUSIP: 3131XW4L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9659 | PA      | $9514.86        | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 2A1           | CUSIP: 933634AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11501264 | PA      | $10078005.91    | 0.00%             | 2037-03-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-4                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 4 TA4             | CUSIP: 05953YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       787234 | PA      | $718863.06      | 0.00%             | 2037-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2             | CUSIP: 61751QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3030641 | PA      | $1442987.15     | 0.00%             | 2036-12-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972116 FH 02/33 FLOATING VAR             | CUSIP: 31336CK51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          365 | PA      | $369.37         | 0.00%             | 2033-02-01      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5645 FN 03/55 FIXED 5                          | CUSIP: 31418FHX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     40834537 | PA      | $40313973.44    | 0.02%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO 2020-6 LTD                                                       | 522 FUNDING CLO LTD MORGN 2020 6A A1R2 144A                | CUSIP: 33835AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     25550000 | PA      | $25585259.26    | 0.01%             | 2034-10-23      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| TRAPEZA CDO LLC 2007-13A                                                         | TRAPEZA CDO LLC TRAP 2007 13A A1 144A                      | CUSIP: 894135AA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10734088 | PA      | $10412064.97    | 0.00%             | 2042-11-09      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                                   | GSAA HOME EQUITY TRUST GSAA 2006 10 AF5                    | CUSIP: 362375AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18053729 | PA      | $3885243.80     | 0.00%             | 2036-06-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.9* 9/11/23-27Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $728355994.19   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260513                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-465379.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA1164 FN 03/55 FIXED VAR                        | CUSIP: 3140W1JJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       972209 | PA      | $959765.14      | 0.00%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7026 FN 04/46 FIXED 4                          | CUSIP: 3138WGYY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6639 | PA      | $6379.30        | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-39500110.52   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-SJ1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2025 SJ1 PT 144A       | CUSIP: 36273PAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87429832 | PA      | $81187219.46    | 0.04%             | 2071-08-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                                    | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1                     | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        75287 | PA      | $75771.68       | 0.00%             | 2033-07-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 43 LTD 2021-43A                               | NEUBERGER BERMAN CLO LTD NEUB 2021 43A AR 144A             | CUSIP: 64134AAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     62500000 | PA      | $62533308.75    | 0.03%             | 2036-07-17      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8080 FN 03/48 FIXED 3.5                        | CUSIP: 3140H96S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173971 | PA      | $163471.34      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $2409116.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB7                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 1A1                  | CUSIP: 126694FW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       523920 | PA      | $471659.84      | 0.00%             | 2035-11-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV8842 FN 09/44 FIXED 4                          | CUSIP: 3138XLZG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14561 | PA      | $14036.59       | 0.00%             | 2044-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8552 FN 03/48 FIXED 4                          | CUSIP: 3140HAQE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       100637 | PA      | $96386.92       | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY3029 FR 05/55 FIXED 5.5                | CUSIP: 31426MLK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5281053 | PA      | $5310553.60     | 0.00%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                                  | IHEARTMEDIA INC   CLASS B COMMON STOCK                     | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     12214441 | NS      | $31386227.59    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60989 FG 12/46 FIXED 3                  | CUSIP: 31335BC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6932 | PA      | $6269.82        | 0.00%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                     | CAIXABANK SA 144A 09/27 VAR                                | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     41400000 | PA      | $41789410.47    | 0.02%             | 2027-09-13      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2026-HB1                                          | FINANCE OF AMERICA HECM BUYOUT FAHB 2026 HB1 A 144A        | CUSIP: 31737BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    161700000 | PA      | $159335046.95   | 0.07%             | 2029-03-25      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-7                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 7 1A3             | CUSIP: 863579PF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        25964 | PA      | $23558.10       | 0.00%             | 2035-04-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8267 FR 03/53 FIXED 5.5                | CUSIP: 3133BWFG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1945306 | PA      | $1964306.41     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY8994 FN 09/45 FIXED 3.5                        | CUSIP: 3138YN7G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27582 | PA      | $25914.63       | 0.00%             | 2045-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68700 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-301640.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/30 VAR                   | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    163400000 | PA      | $162470902.70   | 0.07%             | 2030-05-08      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-WMC3                                              | MASTR ASSET BACKED SECURITIES MABS 2006 WMC3 A2            | CUSIP: 55291KAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4582487 | PA      | $1555635.50     | 0.00%             | 2036-08-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4882 FR 10/33 FIXED 3                  | CUSIP: 3131XYM71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20689 | PA      | $20080.02       | 0.00%             | 2033-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260417                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-69975.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET D SHARES                               | CUSIP: ACI01UGC4<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD1382 FR 08/52 FIXED 4                  | CUSIP: 3132DNRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       571051 | PA      | $541851.33      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7558 FN 07/46 FIXED 4                          | CUSIP: 3138WHMG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       955100 | PA      | $917126.52      | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2003-S4                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 S4 2A9            | CUSIP: 9292275B8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       175662 | PA      | $173799.89      | 0.00%             | 2033-06-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1002 FN 07/49 FIXED 4.5                        | CUSIP: 3140JVDG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16561 | PA      | $16104.11       | 0.00%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-7630877.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q45252 FG 01/47 FIXED 3                  | CUSIP: 3132WJZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       117453 | PA      | $106053.59      | 0.00%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFA 2024-RPL1 TRUST                                                              | MFRA TRUST MFRA 2024 RPL1 A1 144A                          | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3223282 | PA      | $3076334.55     | 0.00%             | 2066-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ9064 FR 11/54 FIXED 5.5                | CUSIP: 3133D1B99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       373093 | PA      | $375176.71      | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC8341 FN 12/54 FIXED 5                          | CUSIP: 3140AWHT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       548813 | PA      | $543181.45      | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-6                                                     | LEHMAN MORTGAGE TRUST LMT 2007 6 2A1                       | CUSIP: 52521NAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2629522 | PA      | $1336189.72     | 0.00%             | 2037-07-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0742 G2 11/55 FIXED 3.5                     | CUSIP: 3618N5ZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    134155344 | PA      | $123142887.44   | 0.05%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0316 FN 08/43 FIXED 4                          | CUSIP: 3138W9K66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48099 | PA      | $46435.51       | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB8220 FR 02/51 FIXED 2.5                | CUSIP: 3133AFDZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2676243 | PA      | $2272285.13     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR2                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR2 1A2           | CUSIP: 17307G6L7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       474052 | PA      | $467840.17      | 0.00%             | 2036-03-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-6AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 6AR 3A             | CUSIP: 61748HBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1254 | PA      | $1214.05        | 0.00%             | 2034-08-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                         | FANNIE MAE FNR 2013 6 JS                                   | CUSIP: 3136ABN25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1721428 | PA      | $190715.66      | 0.00%             | 2043-02-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.00000 01/03/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $554549.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7603 FN 07/46 FIXED 4                          | CUSIP: 3138WHNV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4894646 | PA      | $4699538.75     | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.08316 06/30/26-27Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $650901.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A2           | CUSIP: 92925VAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1370271 | PA      | $1193723.18     | 0.00%             | 2037-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-262931.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5760 FN 07/55 FIXED 5.5                        | CUSIP: 31418FMJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33454918 | PA      | $33641802.70    | 0.01%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95              | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1416480000 | PA      | $441470074.89   | 0.20%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                                    | ARGENT SECURITIES INC. ARSI 2006 M2 A2B                    | CUSIP: 04013BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9021851 | PA      | $2918564.18     | 0.00%             | 2036-09-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-4 TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 4 A 144A          | CUSIP: 83405UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     40070432 | PA      | $40014325.70    | 0.02%             | 2035-08-25      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2024 3 A2 144A          | CUSIP: 29375QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4789861 | PA      | $4800874.75     | 0.00%             | 2027-04-20      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2384 FN 12/41 FIXED VAR                        | CUSIP: 3138EJUJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9864991 | PA      | $9533173.57     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08626 FG 02/45 FIXED 3                  | CUSIP: 3128MJVU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8034 | PA      | $7340.86        | 0.00%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU4967 FN 09/54 FIXED 5.5                        | CUSIP: 3140M6QV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1072657 | PA      | $1079037.18     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0532 FN 10/47 FIXED 3.5                        | CUSIP: 3140Q7SW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       437378 | PA      | $407587.95      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA8880 FR 04/53 FIXED 5.5                | CUSIP: 3133KQ2M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72362 | PA      | $73488.49       | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR3                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR3 A1A          | CUSIP: 93934FQP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1791371 | PA      | $1611681.58     | 0.00%             | 2046-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-42                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 42 2A4                    | CUSIP: 12669EH74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12277 | PA      | $12218.53       | 0.00%             | 2033-10-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                               | VENTURE GLOBAL PLAQUE SR SECURED 144A 01/34 6.5            | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |     31080000 | PA      | $32418904.02    | 0.01%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA2400 FR 04/50 FIXED 3                  | CUSIP: 3133KHUZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11838737 | PA      | $10589208.45    | 0.00%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CONSTELLATION OIL D SHS WARRNT WARRYU9O1                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |            3 | NC      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3239 FN 01/48 FIXED 4                          | CUSIP: 31418CS54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4069759 | PA      | $3878997.27     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC  / SPRINT SPECTRUM CO III LLC | SPRINT SPECTRUM / SPEC I SR SECURED 144A 03/28 5.152       | CUSIP: 85208NAE0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12426000 | PA      | $12489727.24    | 0.01%             | 2028-03-20      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6175 FN 07/47 FIXED 3.5                        | CUSIP: 3140GU2H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30706 | PA      | $28594.37       | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5621 FN 01/53 FIXED 5.5                        | CUSIP: 3140NAG72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1738406 | PA      | $1750603.54     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA9751 FN 03/54 FIXED 6.5                        | CUSIP: 3140YXZR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3278440 | PA      | $3415242.51     | 0.00%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP CBK                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $49990.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5613 FN 02/55 FIXED 5                          | CUSIP: 31418FGX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    340176938 | PA      | $335822918.13   | 0.15%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $1206370.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP4 SA 144A       | CUSIP: 17332EAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       300553 | PA      | $296920.32      | 0.00%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2025-A                                              | WORLD OMNI SELECT AUTO TRUST WOSAT 2025 A A2A              | CUSIP: 98164UAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     50046828 | PA      | $50069449.40    | 0.02%             | 2030-05-15      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51131 FG 10/47 FIXED 3.5                | CUSIP: 3132XTHH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       995796 | PA      | $930570.30      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                                  | REPUBLIC OF VENEZUELA SR UNSECURED REGS 08/31 11.95        | CUSIP: P17625AD9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     75700000 | PA      | $38985500.00    | 0.02%             | 2031-08-05      | Fixed         | 11.95%                | No            |                  2 | On Loan: No      |
| NRPLM 2023-RPL1                                                                  | NRPLM TRUST SERIES NRPLM 2023 RPL1 CERT 144A               | CUSIP: 628989AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6386899 | PA      | $5170588.65     | 0.00%             | 2062-09-27      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL1                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL1 A1 144A     | CUSIP: 16159LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34887718 | PA      | $32161462.67    | 0.01%             | 2062-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A              | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2018600 | PA      | $1942704.43     | 0.00%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-3                                                                | FANNIE MAE FNR 2007 3 SH                                   | CUSIP: 31396PRU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       250079 | PA      | $15728.46       | 0.00%             | 2037-02-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| WATR 2025-2                                                                      | WATR ISSUER TRUST WATR 2025 2 A 144A                       | CUSIP: 94260AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     42871982 | PA      | $42401731.41    | 0.02%             | 2050-09-16      | Fixed         | 4.79%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0062 FN 07/47 FIXED 4                          | CUSIP: 3140Q7B89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       413154 | PA      | $396041.54      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-17                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 17 2A1                    | CUSIP: 12544KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3969023 | PA      | $1124583.74     | 0.00%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP3322 FN 09/42 FIXED 4                          | CUSIP: 3138M6VQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       185838 | PA      | $179408.22      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE9415 FN 09/55 FIXED 5                          | CUSIP: 3140BNN95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1048361 | PA      | $1042738.26     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF1                                               | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF1 A1            | CUSIP: 57645RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       703937 | PA      | $278888.45      | 0.00%             | 2037-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 961809 FN 02/38 FIXED 6                          | CUSIP: 31414CAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1770 | PA      | $1852.93        | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-B                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A3            | CUSIP: 43710EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14242327 | PA      | $7950149.73     | 0.00%             | 2037-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 1A1A         | CUSIP: 073888AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59923 | PA      | $60669.21       | 0.00%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-9137.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260526                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $34775.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51138 FG 10/47 FIXED 3.5                | CUSIP: 3132XTHQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101002 | PA      | $94031.72       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2020-1 DAC  20-1A                                               | BARINGS EURO CLO BABSE 2020 1A ARR 144A                    | CUSIP: ACI316LH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     81300000 | PA      | $93916401.86    | 0.04%             | 2038-10-21      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD3955 FN 08/46 FIXED 3.5                        | CUSIP: 3140FBMD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13384 | PA      | $12581.21       | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-ALT1                                                   | JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 4A1               | CUSIP: 466247XN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4123 | PA      | $2643.39        | 0.00%             | 2035-10-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.00000 09/16/26-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2496755.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5474 FN 07/45 FIXED 4                          | CUSIP: 3138WFCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        60829 | PA      | $58596.10       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-HY2                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY2 1A           | CUSIP: 02148LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4599588 | PA      | $4383955.04     | 0.00%             | 2047-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-2                                                    | GSAA HOME EQUITY TRUST GSAA 2007 2 AF4A                    | CUSIP: 3622EUAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9075753 | PA      | $2378684.89     | 0.00%             | 2037-03-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| DILOSK RMBS NO.8 (STS) DAC                                                       | DILOSK RMBS DILSK 10 A REGS                                | CUSIP: ACI2R6TY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     11015884 | PA      | $12734725.47    | 0.01%             | 2060-09-24      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $14072310.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 12A1          | CUSIP: 07387AFX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       959234 | PA      | $888481.60      | 0.00%             | 2036-02-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR15                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR15 2A1          | CUSIP: 45669JAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49992 | PA      | $35693.31       | 0.00%             | 2037-08-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                   | CUSIP: 73110JAF9<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |       500000 | PA      | $501125.00      | 0.00%             | 2029-01-08      | Floating      | 14.16%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2005-RS1                                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS1 MI2           | CUSIP: 76112BJA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       433310 | PA      | $358400.20      | 0.00%             | 2035-01-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1          | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       823041 | PA      | $366470.05      | 0.00%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2005-NC4                                               | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC4 M3            | CUSIP: 78514RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       822884 | PA      | $827074.87      | 0.00%             | 2035-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4782 FN 07/53 FIXED 5                          | CUSIP: 3140NMJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       855054 | PA      | $848299.90      | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2102 FN 04/29 FIXED 3                          | CUSIP: 3138WBKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51820 | PA      | $50931.30       | 0.00%             | 2029-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2004-3                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2004 3 2M1             | CUSIP: 004375BR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8727 | PA      | $17596.11       | 0.00%             | 2034-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A E 144A         | CUSIP: 21056EAK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4842638 | PA      | $4888674.70     | 0.00%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-26CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 26CB A18         | CUSIP: 02147WAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3869511 | PA      | $1800754.04     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RIO OIL FINANCE TRUST SERIES 2018-1                                              | RIO OIL FINANCE TRUST SR SECURED 144A 04/28 8.2            | CUSIP: 76716XAC6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     11514250 | PA      | $11875221.74    | 0.01%             | 2028-04-06      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.21 04/03/24-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-5418202.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-5A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 5A A3 144A               | CUSIP: 16144QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27000000 | PA      | $27017128.80    | 0.01%             | 2029-08-27      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO XXXIV LTD                                                       | BLUEMOUNTAIN CLO LTD BLUEM 2022 34A AR 144A                | CUSIP: 09631JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    117200000 | PA      | $117228037.76   | 0.05%             | 2035-04-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM39 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-119092.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175AC950 PIMCO CAP USD 0.026175 USD SOFR COMP             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1955700000 | NC      | $-10371468.24   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $125705.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK3848 FR 01/27 FIXED 3                  | CUSIP: 3131X7HZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55650 | PA      | $55331.66       | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0149 G2 01/55 FIXED 6.5                     | CUSIP: 3618N5EX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    178694762 | PA      | $185829171.99   | 0.08%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR27                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR27 2A1          | CUSIP: 45660LN96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4220054 | PA      | $2873399.13     | 0.00%             | 2035-12-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q44018 FG 10/46 FIXED 3                  | CUSIP: 3132WHPC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       243679 | PA      | $219180.02      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60654 FG 04/46 FIXED 3.5                | CUSIP: 31335AWP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3710 | PA      | $3483.26        | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-C                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 C 3A4            | CUSIP: 43709BAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11950715 | PA      | $11106019.53    | 0.00%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 895072 FN 08/36 FIXED 6.5                        | CUSIP: 31410RMV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3155 | PA      | $3313.61        | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2006-3                                   | AMERICAN HOME MORTGAGE INVESTM AHM 2006 3 12A1             | CUSIP: 026929AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1326452 | PA      | $1263750.53     | 0.00%             | 2046-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA 13.250 330209                         | CUSIP: 958QDKII9<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 500000000000 | PA      | $134056047.80   | 0.06%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ6816 FR 10/55 FIXED 5                  | CUSIP: 31427GSE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1025990 | PA      | $1012590.72     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY8888 FR 07/55 FIXED 5                  | CUSIP: 31426T2W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1041825 | PA      | $1028527.24     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3738 FN 08/34 FIXED 3                          | CUSIP: 31418DEL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31071 | PA      | $29979.17       | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SEC 2007-2                                         | MERRILL LYNCH MORTGAGE BACKED MLMBS 2007 2 1A1             | CUSIP: 59025GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2471300 | PA      | $2130694.18     | 0.00%             | 2036-08-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB5                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB5 A4           | CUSIP: 81376WAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14957175 | PA      | $10231654.71    | 0.00%             | 2036-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS4                                              | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS4 A4            | CUSIP: 74924NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       281440 | PA      | $280671.40      | 0.00%             | 2037-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7467 FN 08/47 FIXED 3.5                        | CUSIP: 3140GWJM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55900 | PA      | $52046.15       | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO5                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 1A1           | CUSIP: 75114HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10483461 | PA      | $9497608.66     | 0.00%             | 2046-05-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 11A1                 | CUSIP: 07386HA92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1140424 | PA      | $1096242.08     | 0.00%             | 2036-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HKD SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $-147.92        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH2                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH2 AF2          | CUSIP: 46630MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10638 | PA      | $5198.39        | 0.00%             | 2037-01-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4049 FN 12/41 FIXED 4                          | CUSIP: 31417AQB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       301689 | PA      | $291540.33      | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR6                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR6 2A2           | CUSIP: 17309RAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1504967 | PA      | $1442833.12     | 0.00%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 D D 144A           | CUSIP: 78454XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30237646 | PA      | $30822430.17    | 0.01%             | 2058-10-15      | Fixed         | 7.23%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-9                                                   | HOME EQUITY ASSET TRUST HEAT 2005 9 M1                     | CUSIP: 437084QY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       194902 | PA      | $193922.86      | 0.00%             | 2036-04-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5764 G2 02/49 FIXED 4.5                     | CUSIP: 36179UMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57805397 | PA      | $56855747.25    | 0.03%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5386 FN 09/47 FIXED 3.5                        | CUSIP: 3140GT6Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       434353 | PA      | $405308.21      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2019 RPL1 B3 144A         | CUSIP: 52473MAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51617577 | PA      | $29105474.36    | 0.01%             | 2058-04-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8810 FN 02/47 FIXED 3.5                        | CUSIP: 3138WJYG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16149 | PA      | $15102.74       | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1532 FN 04/48 FIXED 3.5                        | CUSIP: 3140Q8V28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3188688 | PA      | $2973792.10     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2025-CP1                                                 | NEW YORK MORTGAGE TRUST NYMT 2025 CP1 A1 144A              | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43740944 | PA      | $42155015.15    | 0.02%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 06/21/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-4315574.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP9757 FN 08/35 FIXED 3                          | CUSIP: 3140KHZX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       102324 | PA      | $98328.93       | 0.00%             | 2035-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX2500 FN 11/52 FIXED 6                          | CUSIP: 3140N6X64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1338709 | PA      | $1376751.83     | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08619 FG 12/44 FIXED 3                  | CUSIP: 3128MJVM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57871 | PA      | $52879.73       | 0.00%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PROTEUS RMBS DAC 1A                                                              | PROTEUS RMBS DAC PROTE 1A DR 144A                          | CUSIP: ACI1745Z5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     28871000 | PA      | $32215930.62    | 0.01%             | 2054-10-29      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889299 FN 04/38 FIXED VAR                        | CUSIP: 31410G7L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          402 | PA      | $421.91         | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535300 FN 05/30 FIXED VAR                        | CUSIP: 31384VUZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          900 | PA      | $931.19         | 0.00%             | 2030-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV7              | CUSIP: 126673C26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1908258.80     | 0.00%             | 2035-08-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8195 FR 11/55 FIXED 5                  | CUSIP: 31427JC97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6608058 | PA      | $6524934.92     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO XIV DAC 14A                                                   | HAYFIN EMERALD CLO HAYEM 14A A 144A                        | CUSIP: ACI2SSWQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     85000000 | PA      | $98237738.74    | 0.04%             | 2039-01-22      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ5969 FR 11/55 FIXED 5                  | CUSIP: 3142GWT33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    124404494 | PA      | $122818040.67   | 0.05%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-102                                                       | FANNIE MAE FNR 2012 102 SJ                                 | CUSIP: 3136A8RV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       818674 | PA      | $453369.55      | 0.00%             | 2042-09-25      | Floating      | 0.41%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-5                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 5 A1               | CUSIP: 02660KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    143000912 | PA      | $33567590.74    | 0.01%             | 2046-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-8707596.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A1A          | CUSIP: 46629NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       790294 | PA      | $786988.12      | 0.00%             | 2036-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR25                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR25 3A1          | CUSIP: 45661HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        53732 | PA      | $33761.78       | 0.00%             | 2036-09-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6121 FN 11/45 FIXED 4                          | CUSIP: 3138WFYT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32525 | PA      | $31302.47       | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX2947 FN 10/52 FIXED 6                          | CUSIP: 3140N7HZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24002 | PA      | $24644.47       | 0.00%             | 2052-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                       | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7       | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    140900000 | PA      | $43081008.07    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL1 SA 144A        | CUSIP: 12653HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       229334 | PA      | $221626.29      | 0.00%             | 2057-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                                        | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A                  | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     26050000 | PA      | $26076204.22    | 0.01%             | 2034-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-2                                             | MASTR REPERFORMING LOAN TRUST MARP 2005 2 1A1F 144A        | CUSIP: 57643QAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1382071 | PA      | $640722.62      | 0.00%             | 2035-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS D 144A                   | CUSIP: 90137LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13844500 | PA      | $12934224.13    | 0.01%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-J2                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 J2 1A1                    | CUSIP: 12545EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        54083 | PA      | $50671.47       | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-LTV2                                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2025 LTV2 PT 144A           | CUSIP: 46594BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    179020055 | PA      | $180640777.17   | 0.08%             | 2055-12-25      | Variable      | 7.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-35997427.35   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3619 FN 05/47 FIXED 4                          | CUSIP: 3140FPAV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28008869 | PA      | $26851790.89    | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3892 FN 11/44 FIXED 4                          | CUSIP: 3138WDKE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22648 | PA      | $21822.37       | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2002 3 4A1             | CUSIP: 576433BM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28546 | PA      | $28398.97       | 0.00%             | 2032-10-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM5261 FN 01/48 FIXED VAR                        | CUSIP: 3140J9Z38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       193609 | PA      | $185530.58      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC7415 FN 12/54 FIXED 7                          | CUSIP: 3140AVGZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       206426 | PA      | $218281.28      | 0.00%             | 2054-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.0 09/15/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-18425904.38   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 10/34 VAR                                     | CUSIP: 05571AAS4<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     42300000 | PA      | $46248708.38    | 0.02%             | 2034-10-19      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY6310 FN 02/45 FIXED 4                          | CUSIP: 3138YLAL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74477 | PA      | $71637.91       | 0.00%             | 2045-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE0568 FN 05/55 FIXED 5                          | CUSIP: 3140BCT28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79348 | PA      | $78885.67       | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S2 1A12          | CUSIP: 16163BAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       961333 | PA      | $343699.19      | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2006-RS4                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS4 M1            | CUSIP: 75156WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6129043 | PA      | $6033821.78     | 0.00%             | 2036-07-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| CHASE FUND MTGE LN ASSET-BACKED 2003-3                                           | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 3 1A5             | CUSIP: 161546FF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1236494 | PA      | $1236088.01     | 0.00%             | 2033-03-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260615                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-95432.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                              | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR               | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      8750000 | PA      | $9058000.00     | 0.00%             | 2033-04-10      | Floating      | 13.28%                | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A3           | CUSIP: 41161PKH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       127964 | PA      | $120102.85      | 0.00%             | 2035-01-19      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BDS 2025-FL14 LLC                                                                | BDS LTD BDS 2025 FL14 A 144A                               | CUSIP: 072921AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $498446.41      | 0.00%             | 2042-10-17      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 258749 FN 06/36 FIXED 6                          | CUSIP: 31371QL63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        55392 | PA      | $56684.74       | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.08000 01/08/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $891755.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2005-5                                          | STRUCTURED ASSET SECURITIES CO SASC 2005 5 2A2             | CUSIP: 863576AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       655064 | PA      | $615847.23      | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED CTFS 2006-HE3                                     | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE3 2A4          | CUSIP: 93934MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8084059 | PA      | $5278532.57     | 0.00%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A4             | CUSIP: 55275BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20910443 | PA      | $7274364.65     | 0.00%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8425 G2 11/52 FIXED 3.5                     | CUSIP: 36179XLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    121823445 | PA      | $112700575.33   | 0.05%             | 2052-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2018-C48                                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2018 C48 XA            | CUSIP: 95001RAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    111227701 | PA      | $2191841.96     | 0.00%             | 2052-01-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2FP              | CUSIP: 61750MAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       209273 | PA      | $88031.09       | 0.00%             | 2036-09-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2003-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2003 6 1A1                  | CUSIP: 07386HDZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        81132 | PA      | $79558.04       | 0.00%             | 2034-01-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES COMPANY GUAR 12/26 4.75                     | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      2445000 | PA      | $2444071.61     | 0.00%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1409 FR 05/55 FIXED 5                  | CUSIP: 31427NR76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1173194 | PA      | $1158237.72     | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-3                                            | CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A           | CUSIP: 20846QDJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     74286189 | PA      | $11397299.06    | 0.01%             | 2030-12-01      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | REPUBLIC OF COLOMBIA SR UNSECURED 09/32 5                  | CUSIP: ACI309N04<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     47250000 | PA      | $51556089.37    | 0.02%             | 2032-09-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PPMC-2021-5A                                                                     | PPM CLO, LTD. PPMC 2021 5A AR 144A                         | CUSIP: 69356TAJ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     93200000 | PA      | $93309715.04    | 0.04%             | 2034-10-18      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA3586 FR 09/50 FIXED 4                  | CUSIP: 3133KJ6X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38400 | PA      | $36620.39       | 0.00%             | 2050-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD2888 FN 01/55 FIXED 7                          | CUSIP: 3140B3F64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       797771 | PA      | $839895.99      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ7698 FR 11/54 FIXED 5                  | CUSIP: 3133CYRT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       918995 | PA      | $907208.70      | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-1A                                        | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 1A A3 144A        | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15795518 | PA      | $15889608.39    | 0.01%             | 2028-10-16      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                             | GSAMP TRUST GSAMP 2006 NC2 A1                              | CUSIP: 362463AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4723760 | PA      | $2649923.36     | 0.00%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6167 FN 02/48 FIXED 3.5                        | CUSIP: 3140H7Z91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1035860 | PA      | $963595.03      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A4            | CUSIP: 14689MAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     61238000 | PA      | $61939248.59    | 0.03%             | 2031-04-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2005-4                                             | RENAISSANCE HOME EQUITY LOAN T RAMC 2005 4 A5              | CUSIP: 759950FZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       270000 | PA      | $232035.76      | 0.00%             | 2036-02-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| DRYDEN EURO CLO 20-74A                                                           | DRYDEN LEVERAGED LOAN CDO DRYD 2020 74A B2R 144A           | CUSIP: ACI2Z96Z0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     12000000 | PA      | $13856766.58    | 0.01%             | 2039-10-18      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA2542 FR 08/49 FIXED 3                  | CUSIP: 31334YZF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       694632 | PA      | $621332.91      | 0.00%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-IND                                                                | BX TRUST BX 2022 IND A 144A                                | CUSIP: 05609WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1956382 | PA      | $1957783.60     | 0.00%             | 2037-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CW1                                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW1 M2           | CUSIP: 46628MAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19000000 | PA      | $17709698.60    | 0.01%             | 2036-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0VAA1 PIMCO FPPSWAPTION 2.11 PUT USD                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    177300000 | NC      | $52499930.67    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-16019281.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2003-BC9                                  | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC9 M3            | CUSIP: 86358EDM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1046414 | PA      | $965019.63      | 0.00%             | 2033-08-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO RECEIVABLES TRUST 2024-C                                            | HYUNDAI AUTO RECEIVABLES TRUST HART 2024 C A3              | CUSIP: 448976AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     77000000 | PA      | $77299583.90    | 0.03%             | 2029-05-15      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF4994 FN 11/55 FIXED 5                          | CUSIP: 3140BVRQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5663079 | PA      | $5592189.99     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-4A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 4A C 144A         | CUSIP: 21056DAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11153491 | PA      | $11513985.50    | 0.01%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1166 FN 05/47 FIXED 4                          | CUSIP: 3140GPJL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2748597 | PA      | $2636745.29     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2005-FF7                                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF7 M4             | CUSIP: 32027NUP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3612160 | PA      | $3601333.56     | 0.00%             | 2035-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| DLLMT 2026-1 LLC                                                                 | DLLMT LLC DLLMT 2026 1A A2 144A                            | CUSIP: 23347JAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5300000 | PA      | $5297391.34     | 0.00%             | 2028-07-20      | Fixed         | 4.03%                 | No            |                  2 | On Loan: No      |
| ARES LXV CLO LTD                                                                 | ARES CLO LTD ARES 2022 65A A1R 144A                        | CUSIP: 04019FAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     57900000 | PA      | $57916112.41    | 0.03%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $94483.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3384 FN 10/27 FIXED VAR                        | CUSIP: 3140J7XN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2524 | PA      | $2507.61        | 0.00%             | 2027-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-F                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 F 1A1             | CUSIP: 05950HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       566490 | PA      | $574115.70      | 0.00%             | 2036-07-20      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q42019 FG 07/46 FIXED 3                  | CUSIP: 3132WFG52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78334 | PA      | $70819.61       | 0.00%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2981 FR 05/53 FIXED 6.5                | CUSIP: 3132DQJ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       186562 | PA      | $194170.93      | 0.00%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0318 FN 02/30 FIXED 4.5                        | CUSIP: 31417YK89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6509 | PA      | $6535.15        | 0.00%             | 2030-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-4                                                                | FANNIE MAE FNR 2007 4 SL                                   | CUSIP: 31396PMQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       227231 | PA      | $26402.23       | 0.00%             | 2037-02-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-550261.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LN TRUST 2004-AR5                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR5 2A1B          | CUSIP: 45660NS48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        45202 | PA      | $41975.70       | 0.00%             | 2034-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 3A                                                  | ALESCO PREFERRED FUNDING LTD ALESC 3A A2 144A              | CUSIP: 01448MAB5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2161795 | PA      | $2161795.28     | 0.00%             | 2034-05-01      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-655.29        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0810 G2 12/55 FIXED 3.5                     | CUSIP: 3618N53U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    217875157 | PA      | $199990363.02   | 0.09%             | 2055-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90000 01/08/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $860099.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-5                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 5 M3             | CUSIP: 68389FKA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8709000 | PA      | $7857683.06     | 0.00%             | 2035-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                                                    | ARGENT SECURITIES INC. ARSI 2006 W4 A2D                    | CUSIP: 040104TH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14964368 | PA      | $3534235.03     | 0.00%             | 2036-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 1A1                 | CUSIP: 46631JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       182352 | PA      | $143134.01      | 0.00%             | 2037-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2849 FN 05/47 FIXED 3.5                        | CUSIP: 3140GREX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11911 | PA      | $11094.35       | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    363181518 | PA      | $318512944.20   | 0.14%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $3911572.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2971 FN 02/47 FIXED 4                          | CUSIP: 3140FNJR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1192266 | PA      | $1144241.33     | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                                       | ENCINA PRIVATE CREDIT LLC NOTE                             | CUSIP: 938DREII2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2761570 | PA      | $2283394.38     | 0.00%             | 2026-11-30      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-2 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 2A A1R 144A        | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     23700000 | PA      | $23694075.95    | 0.01%             | 2035-04-22      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX--0A08AGAA9-20450725                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-386673.35     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| CHASE FUNDING LN ACQ TR 2004-OPT1                                                | CHASE FUNDING LOAN ACQUISITION CFLAT 2004 OPT1 M1          | CUSIP: 161542DZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5102415 | PA      | $5087233.96     | 0.00%             | 2034-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                          | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A2D 144A        | CUSIP: 288547AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       712107 | PA      | $706773.78      | 0.00%             | 2037-05-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-993208.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $4949.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS15                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS16 A9           | CUSIP: 761118MJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1696036 | PA      | $1408821.95     | 0.00%             | 2035-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 1A1A           | CUSIP: 41161QAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       237523 | PA      | $95467.72       | 0.00%             | 2036-06-19      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST 26-2                                       | PRESTON RIDGE PARTNERS MORTGAG PRPM 2026 2 A1 144A         | CUSIP: 74390XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45615675 | PA      | $45646538.61    | 0.02%             | 2031-02-25      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A90                | CUSIP: 46631NDT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       756676 | PA      | $351431.85      | 0.00%             | 2037-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL7 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL7 A1 144A      | CUSIP: 740934AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37839898 | PA      | $37940075.85    | 0.02%             | 2055-07-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XX LTD / PREFERRED TERM SECURITIES XX INC              | PREFERRED TERM SECS XX SR SECURED 144A 03/38 VAR           | CUSIP: 74042DAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     37143985 | PA      | $35751085.30    | 0.02%             | 2038-03-22      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-D                                                        | CENTEX HOME EQUITY CXHE 2005 D M5                          | CUSIP: 152314PR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2584043 | PA      | $2584896.12     | 0.00%             | 2035-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.95000 09/13/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3807533.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4363 FN 04/46 FIXED 3.5                        | CUSIP: 3140EYZ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1887 | PA      | $1770.04        | 0.00%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX3421 FR 11/54 FIXED 5                  | CUSIP: 31425XYT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1871775 | PA      | $1848345.63     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8469 FR 10/54 FIXED 5.5                | CUSIP: 3132DWMS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     50002689 | PA      | $50289911.92    | 0.02%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PPM CLO LTD 2019-3A                                                              | PPM CLO 3 LTD. PPMC 2019 3A A1R2 144A                      | CUSIP: 69355EAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     52000000 | PA      | $52046874.36    | 0.02%             | 2034-07-17      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9665 FN 05/47 FIXED 4                          | CUSIP: 3138WKW35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9613573 | PA      | $9219394.76     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2959 FN 04/47 FIXED 3.5                        | CUSIP: 31418CJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       183339 | PA      | $171420.77      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3900 FN 11/26 FIXED 3                          | CUSIP: 31417AKN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4775 | PA      | $4751.45        | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB1782 FN 10/51 FIXED 2                          | CUSIP: 3140QL6U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       341092 | PA      | $276596.73      | 0.00%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7323 FR 12/54 FIXED 5                  | CUSIP: 3132DVD44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79596 | PA      | $78580.52       | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8494 FR 01/55 FIXED 5.5                | CUSIP: 3132DWNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39618191 | PA      | $39839505.22    | 0.02%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AR3                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR3 2A4           | CUSIP: 25150VAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31210193 | PA      | $26755156.62    | 0.01%             | 2037-06-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5040 FN 06/53 FIXED 6                          | CUSIP: 31418ES68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8554984 | PA      | $8771435.42     | 0.00%             | 2053-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8369 FR 11/55 FIXED 5                  | CUSIP: 31427JJP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37432744 | PA      | $36946172.67    | 0.02%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-153                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 153 SE             | CUSIP: 38380HA69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6469920 | PA      | $852978.69      | 0.00%             | 2047-10-20      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC2                                           | MASTR ASSET BACKED SECURITIES MABS 2006 WMC2 A1            | CUSIP: 57644TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     61930190 | PA      | $9291702.25     | 0.00%             | 2036-04-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9902 G2 09/54 FIXED 3.5                     | CUSIP: 36180AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15653205 | PA      | $14496197.84    | 0.01%             | 2054-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UROPA SECURITIES PLC 2007-1                                                      | UROPA SECURITIES PLC UROPA 2007 1 A3A REGS                 | CUSIP: G92958AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      4794605 | PA      | $6298545.05     | 0.00%             | 2040-10-10      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX1                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX1 M3           | CUSIP: 76110WQ74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       530311 | PA      | $528469.94      | 0.00%             | 2035-03-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-WFH4                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH4 M3           | CUSIP: 17309SAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2384532.50     | 0.00%             | 2036-11-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5392 FN 09/47 FIXED 4                          | CUSIP: 3140GT7E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3624034 | PA      | $3467496.52     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                                       | LCM LTD PARTNERSHIP LCM 31A AR 144A                        | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     42800000 | PA      | $42855732.02    | 0.02%             | 2034-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A1                | CUSIP: 59020UUK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       479883 | PA      | $439559.74      | 0.00%             | 2035-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                            | CONSECO FINANCE SECURITIZATION CNF 2000 5 A7               | CUSIP: 20846QER5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29476990 | PA      | $5221521.64     | 0.00%             | 2031-05-01      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A E 144A             | CUSIP: ACI2DJB29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     15394721 | PA      | $20396469.06    | 0.01%             | 2053-03-14      | Floating      | 10.23%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.70000 03/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-246844.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260803                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1090342.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP OF AMERICA FINANCE LLC                                          | VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 03/27 5.3       | CUSIP: 928668CF7<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    100000000 | PA      | $100854074.00   | 0.04%             | 2027-03-22      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICAN T BILLS SOUTH AFRICAN T BILLS                | CUSIP: ACI355B18<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1683220000 | PA      | $95372436.40    | 0.04%             | 2026-11-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE1                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE1 21A3         | CUSIP: 07389UAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7429531 | PA      | $7310816.38     | 0.00%             | 2037-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 36A1                 | CUSIP: 07386HR52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7979433 | PA      | $3478325.17     | 0.00%             | 2036-05-25      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4837 G2 11/47 FIXED 3.5                     | CUSIP: 36179TLS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       150510 | PA      | $141520.71      | 0.00%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR1                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR1 1A2           | CUSIP: 45669AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       685879 | PA      | $501882.31      | 0.00%             | 2037-03-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 23A1         | CUSIP: 073888AQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       533869 | PA      | $479376.64      | 0.00%             | 2036-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0947 FN 05/53 FIXED 6                          | CUSIP: 3140NHBR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4148013 | PA      | $4260245.84     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB4843 FN 10/52 FIXED 5.5                        | CUSIP: 3140QQLZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       101889 | PA      | $103008.62      | 0.00%             | 2052-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP MYC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-8582.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE8546 FN 09/55 FIXED 5                          | CUSIP: 3140BMP87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1177362 | PA      | $1165030.53     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-56                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 56 6A1                    | CUSIP: 12669FBR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24894 | PA      | $25643.25       | 0.00%             | 2033-12-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                              | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A4            | CUSIP: 57643GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6002206 | PA      | $3544260.71     | 0.00%             | 2036-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5866 FR 12/38 FIXED 4                  | CUSIP: 31329PQT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3905440 | PA      | $3824331.45     | 0.00%             | 2038-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2          | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2709299 | PA      | $2652336.30     | 0.00%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52093 FG 11/47 FIXED 3.5                | CUSIP: 3132XUKF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1258333 | PA      | $1170179.21     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC 2022-NQM7                                               | ONSLOW BAY FINANCIAL LLC OBX 2022 NQM7 A1 144A             | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14804901 | PA      | $14765405.65    | 0.01%             | 2062-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1307880.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1900 FN 05/47 FIXED VAR                        | CUSIP: 3140J6DE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       120519 | PA      | $118890.17      | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-526487.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-8T2                                            | BANC OF AMERICA FUNDING CORPOR BAFC 2006 8T2 A3            | CUSIP: 05951UAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3330047 | PA      | $2860555.95     | 0.00%             | 2036-10-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $5654527.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3382 FN 12/46 FIXED 4                          | CUSIP: 3140FNXL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1816921 | PA      | $1739880.13     | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8268 FR 11/52 FIXED 5.5                | CUSIP: 3132DWFH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17845 | PA      | $18031.70       | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-30CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 30CB 1A8         | CUSIP: 12667GXS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       855882 | PA      | $522626.29      | 0.00%             | 2035-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ3141 FR 09/54 FIXED 5.5                | CUSIP: 3133CTP29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       171378 | PA      | $172335.77      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A C 144A         | CUSIP: 210927AD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30393903 | PA      | $31386953.83    | 0.01%             | 2053-11-25      | Fixed         | 7.40%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AR98 CREDIT SUISSE GROUP AG          | CUSIP: 952NPGII8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     18510000 | PA      | $6478500.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2024-VIS1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2024 VIS1 A1 144A           | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12284978 | PA      | $12355334.34    | 0.01%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08715 FG 08/46 FIXED 3                  | CUSIP: 3128MJYM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        31658 | PA      | $28620.82       | 0.00%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA9477 FR 05/50 FIXED 3.5                | CUSIP: 3133A4Q66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       668063 | PA      | $620509.37      | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES1 A1A 144A        | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7157696 | PA      | $7192635.88     | 0.00%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0753 FN 01/55 FIXED 7                          | CUSIP: 3140B0ZT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       224188 | PA      | $236340.62      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-9                                                    | GSAA HOME EQUITY TRUST GSAA 2007 9 A2A                     | CUSIP: 3622EEAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4891362 | PA      | $2649149.30     | 0.00%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX4399 FN 11/52 FIXED 6                          | CUSIP: 3140N83H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       449440 | PA      | $463773.77      | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3558 FN 01/34 FIXED 3                          | CUSIP: 31418C5U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40291 | PA      | $39053.09       | 0.00%             | 2034-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH3466 FN 11/47 FIXED 4                          | CUSIP: 3140GRZ80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44079 | PA      | $42385.13       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                                  | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 08/37 7.288     | CUSIP: 368266AH5<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     30730000 | PA      | $23047500.00    | 0.01%             | 2037-08-16      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC3245 FN 09/54 FIXED 5.5                        | CUSIP: 3140AQTB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11504644 | PA      | $11568911.44    | 0.01%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MFA 2023-INV2 TRUST                                                              | MFRA TRUST MFRA 2023 INV2 A1 144A                          | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16544956 | PA      | $16654166.40    | 0.01%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-WMC1                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 WMC1 M2           | CUSIP: 59020UQW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        42978 | PA      | $41964.13       | 0.00%             | 2035-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0310 G2 04/55 FIXED 6.5                     | CUSIP: 3618N5KY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2124103 | PA      | $2208908.37     | 0.00%             | 2055-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                                          | BCAP LLC TRUST BCAP 2010 RR1 3A7 144A                      | CUSIP: 05532TAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9040649 | PA      | $3799112.10     | 0.00%             | 2035-12-20      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-3 2006-3                                              | LEHMAN MORTGAGE TRUST LMT 2006 3 1A8                       | CUSIP: 52520CAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4805478 | PA      | $1752385.40     | 0.00%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J8                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J8 1A3           | CUSIP: 12667GJ20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        38974 | PA      | $26295.22       | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-111                                                              | FANNIE MAE FNR 2009 111 ZB                                 | CUSIP: 31398GQR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1217107 | PA      | $1207003.44     | 0.00%             | 2040-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE4                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE4 M1                | CUSIP: 61746RGK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7782028 | PA      | $8412522.20     | 0.00%             | 2034-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1           | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       251675 | PA      | $240753.28      | 0.00%             | 2035-12-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 05/37 5.625                      | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     34800000 | PA      | $37895044.18    | 0.02%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 870634 FN 07/36 FIXED 6.5                        | CUSIP: 31409GHK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          125 | PA      | $131.95         | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| YELLOWSTONE ENERGY LP                                                            | YELLOWSTONE ENERGY LP SR SECURED 12/26 5.75                | CUSIP: 98580LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       761995 | PA      | $754458.91      | 0.00%             | 2026-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7883 FN 09/46 FIXED 3.5                        | CUSIP: 3140FFXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9521 | PA      | $8892.43        | 0.00%             | 2046-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 B 144A        | CUSIP: 17329AAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108965192 | PA      | $81232319.33    | 0.04%             | 2060-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5626 FN 01/53 FIXED 5.5                        | CUSIP: 3140NAHC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8176847 | PA      | $8240676.59     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK9778 FN 08/48 FIXED 4                          | CUSIP: 3140HP2L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       138950 | PA      | $133071.97      | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8902 FN 05/49 FIXED 3.5                        | CUSIP: 3140JR3L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1285073 | PA      | $1193366.33     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A1            | CUSIP: 00075WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38547665 | PA      | $27761400.05    | 0.01%             | 2037-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ1748 FR 06/54 FIXED 6.5                | CUSIP: 3142GR5J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9929086 | PA      | $10272037.79    | 0.00%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A1           | CUSIP: 92922FZE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       676491 | PA      | $656326.98      | 0.00%             | 2044-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-16                                                               | FANNIE MAE FNR 2010 16 EZ                                  | CUSIP: 31398MSG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       388239 | PA      | $384851.46      | 0.00%             | 2040-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-OA1                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 OA1 2A2                   | CUSIP: 362631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34126079 | PA      | $7266326.18     | 0.00%             | 2046-08-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $1206.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/29 VAR                  | CUSIP: 45870GAJ5<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      1450000 | PA      | $1450000.00     | 0.00%             | 2029-06-07      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RMS1                                              | STRUCTURED ASSET SECURITIES CO SASC 2005 RMS1 M2           | CUSIP: 86359B6T3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2424667 | PA      | $2323708.15     | 0.00%             | 2035-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9151 FN 04/53 FIXED 6                          | CUSIP: 3140NEEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1351334 | PA      | $1383244.81     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                                           | LEHMAN XS TRUST LXS 2006 7 1A1A                            | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11909550 | PA      | $10607569.86    | 0.00%             | 2036-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 781890 FH 09/34 FLOATING VAR             | CUSIP: 31349TC33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20237 | PA      | $20769.61       | 0.00%             | 2034-09-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.36000 08/07/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1885564.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC2313 FN 09/54 FIXED 5.5                        | CUSIP: 3140APSB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       489633 | PA      | $492427.03      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2007-3                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 3 1A1A           | CUSIP: 41164UAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30473842 | PA      | $25669854.18    | 0.01%             | 2037-05-19      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-SB1                                       | UPSTART PASS THROUGH TRUST UPSPT 2022 SB1 A 144A           | CUSIP: 91682PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2194416 | PA      | $2210794.94     | 0.00%             | 2028-10-20      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-724119.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA0215 FR 11/55 FIXED 5                  | CUSIP: 3142JNGZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54512 | PA      | $53808.16       | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB2 1A2                  | CUSIP: 12669GWS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       220197 | PA      | $216886.82      | 0.00%             | 2035-05-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3260 FN 01/48 FIXED VAR                        | CUSIP: 3140J7TS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4252 | PA      | $3967.54        | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SEC 2006-2                                         | CITICORP RESIDENTIAL MORTGAGE CRMSI 2006 2 M1              | CUSIP: 17310EAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9421783 | PA      | $9354724.45     | 0.00%             | 2036-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC3                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC3 M7           | CUSIP: 76112BYZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12534000 | PA      | $11893584.04    | 0.01%             | 2035-08-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $3812943.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-2A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 2A A3 144A       | CUSIP: 96042YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12843660 | PA      | $12870089.40    | 0.01%             | 2028-02-15      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0754 FN 01/55 FIXED 5.5                        | CUSIP: 3140B0ZU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       106409 | PA      | $107003.69      | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2007-1                                                   | LUMINENT MORTGAGE TRUST LUM 2007 1 1A1                     | CUSIP: 55028CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1554996 | PA      | $1407794.82     | 0.00%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-6726786.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 3A1               | CUSIP: 12638PBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       153167 | PA      | $125074.28      | 0.00%             | 2037-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2907 FN 02/47 FIXED 4                          | CUSIP: 31418CGR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       163438 | PA      | $156753.27      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83953 FG 03/48 FIXED 3.5                | CUSIP: 3132L9MA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       641118 | PA      | $597336.02      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ3447 FR 09/54 FIXED 7                  | CUSIP: 3142GTZM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       790131 | PA      | $830923.40      | 0.00%             | 2054-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1           | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3392788 | PA      | $2979086.45     | 0.00%             | 2035-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-1                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2004 1 7A1             | CUSIP: 05946XGB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       272210 | PA      | $262037.63      | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED 144A 07/31 3.061                    | CUSIP: 74365PAF5<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     46300000 | PA      | $41504548.34    | 0.02%             | 2031-07-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-862770.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC IMJA MORTGAGE LN TR 2007-A3                                              | INDYMAC IMJA MORTGAGE LOAN TRU IMJA 2007 A3 A1             | CUSIP: 456669AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1847116 | PA      | $692215.20      | 0.00%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                             | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC2 A1 144A           | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       720487 | PA      | $715528.22      | 0.00%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF9906 FN 01/56 FIXED 5                          | CUSIP: 3140U2AG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19190313 | PA      | $18941745.09    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8875 G2 05/53 FIXED 3.5                     | CUSIP: 36179X2G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2337675 | PA      | $2188123.64     | 0.00%             | 2053-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.33675 07/06/26-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1885492.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260917                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-4261881.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $20.38          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2005-71                                                        | FANNIE MAE FNR 2005 71 SE                                  | CUSIP: 31394EWH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       467074 | PA      | $33854.34       | 0.00%             | 2035-08-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS11                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS11 1A1          | CUSIP: 75115EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8185469 | PA      | $6835333.61     | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4927 FN 04/27 FIXED 3                          | CUSIP: 31417BPM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29813 | PA      | $29618.68       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260630                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-24407.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4547 FN 01/48 FIXED 4                          | CUSIP: 3140H6BR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6115632 | PA      | $5845304.91     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XVI LTD / PREFERRED TERM SECURITIES XVI INC            | PREFERRED TERM SECS XVI SR SECURED 144A 03/35 VAR          | CUSIP: 74041EAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      8862810 | PA      | $8530454.73     | 0.00%             | 2035-03-23      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC3171 FN 03/46 FIXED 3.5                        | CUSIP: 3140EXQZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79558 | PA      | $74645.48       | 0.00%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2022-NQM3 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2022 NQM3 A1A 144A            | CUSIP: 67116KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4270625 | PA      | $4211598.89     | 0.00%             | 2062-01-25      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 03/30 5.25                       | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    129850000 | PA      | $152351966.22   | 0.07%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                        | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2B 144A       | CUSIP: 78449VAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2164455 | PA      | $2159293.57     | 0.00%             | 2054-09-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1            | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48265324 | PA      | $34832461.90    | 0.02%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 B3 144A         | CUSIP: 52474AAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132995080 | PA      | $97004935.61    | 0.04%             | 2058-02-25      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR6                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR6 2A1A          | CUSIP: 456612AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10237760 | PA      | $9296816.58     | 0.00%             | 2046-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                             | GSAMP TRUST GSAMP 2006 FM3 A2B                             | CUSIP: 36245TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21028239 | PA      | $9719239.49     | 0.00%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7531 FN 09/28 FIXED VAR                        | CUSIP: 3138EQLM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          826 | PA      | $819.92         | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5353 FN 05/54 FIXED 5.5                        | CUSIP: 31418E5P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     85282791 | PA      | $85803047.20    | 0.04%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 11 A1A           | CUSIP: 41162GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1376531 | PA      | $1255800.18     | 0.00%             | 2036-12-19      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 24A1                 | CUSIP: 07386HVV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3749813 | PA      | $1608590.61     | 0.00%             | 2035-09-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-9032459.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005 8                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 8 9A9             | CUSIP: 2254582T4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2151394 | PA      | $1389729.83     | 0.00%             | 2035-09-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR3                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR3 3A1                   | CUSIP: 36242D4T7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       353098 | PA      | $259861.74      | 0.00%             | 2035-05-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2              | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     65400000 | PA      | $64643701.97    | 0.03%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3022 FN 09/32 FIXED VAR                        | CUSIP: 3140X6LC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144138 | PA      | $143519.23      | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU4293 FN 09/43 FIXED 4                          | CUSIP: 3138X3XX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13858 | PA      | $13383.33       | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-2                                              | RBSSP RESECURITIZATION TRUST RBSSP 2010 2 3A2 144A         | CUSIP: 74929CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9322738 | PA      | $8924307.05     | 0.00%             | 2036-12-26      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB9585 FN 11/54 FIXED 7                          | CUSIP: 3140QVUK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        66653 | PA      | $70083.59       | 0.00%             | 2054-11-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION 2006-AM1                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 AM1 A5            | CUSIP: 86359XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3781150 | PA      | $3726203.51     | 0.00%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                                    | HESTIA RE LTD UNSECURED 144A 03/32 VAR                     | CUSIP: 42815KAC6<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |      3400000 | PA      | $3454400.00     | 0.00%             | 2032-03-13      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF9031 FN 01/56 FIXED 5                          | CUSIP: 3140U1A96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     37631727 | PA      | $37142265.19    | 0.02%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECU 2005-HE6                                          | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE6 M3           | CUSIP: 073879YA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2791725 | PA      | $2802481.81     | 0.00%             | 2035-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP SAL                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $19.29          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1288 FN 01/46 FIXED 3.5                        | CUSIP: 3140EVNE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6312 | PA      | $5910.70        | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8491 FR 12/54 FIXED 5                  | CUSIP: 3132DWNG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8637220 | PA      | $8529551.44     | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6402 FR 03/39 FIXED 3.5                | CUSIP: 31329QDF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1271484 | PA      | $1216393.56     | 0.00%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-18                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 18 A6                     | CUSIP: 126694EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1059122 | PA      | $434648.21      | 0.00%             | 2035-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO8700 FN 07/42 FIXED 4                          | CUSIP: 3138M0U24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        64185 | PA      | $62026.03       | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LRECS 2025-CRE1 LLC                                                              | LRECS 2025 CRE1 LLC LRECS 2025 CRE1 A 144A                 | CUSIP: 50230AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    239200000 | PA      | $238784449.80   | 0.11%             | 2043-08-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 1A            | CUSIP: 93363CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3208386 | PA      | $3105198.33     | 0.00%             | 2046-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC2718 FN 12/54 FIXED 5.5                        | CUSIP: 3140AQAU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       609988 | PA      | $614696.23      | 0.00%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL0799 FR 03/55 FIXED 5                  | CUSIP: 31427M3H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4507694 | PA      | $4451386.43     | 0.00%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2005-WMC1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 WMC1 M2            | CUSIP: 92977YAY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3205003 | PA      | $2991587.95     | 0.00%             | 2035-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR13                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR13 4A1          | CUSIP: 45660LRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1203187 | PA      | $1060086.61     | 0.00%             | 2035-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2703 FR 04/27 FIXED 3                  | CUSIP: 31329LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       129569 | PA      | $128691.45      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2004-AC3                                            | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC3 A1           | CUSIP: 073879BM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1130064 | PA      | $1094713.93     | 0.00%             | 2034-06-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A1          | CUSIP: 12668AFG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3895977 | PA      | $2084629.96     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A D 144A         | CUSIP: 210928AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17650646 | PA      | $18277306.16    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-GEL1                                              | STRUCTURED ASSET SECURITIES CO SASC 2007 GEL1 A3 144A      | CUSIP: 86362QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11485799 | PA      | $9530315.40     | 0.00%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MID-STATE TRUST-11                                                               | MID STATE TRUST MDST 11 A1                                 | CUSIP: 59549WAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        67842 | PA      | $67877.93       | 0.00%             | 2038-07-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| TEXTRON INC                                                                      | TEXTRON INC SR UNSECURED 03/27 3.65                        | CUSIP: 883203BX8<br>LEI: 3PPKBHUG1HD6BO7RNR87 | Long             | DBT              | CORP              | US        |     12300000 | PA      | $12214640.95    | 0.01%             | 2027-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3211 FN 12/47 FIXED 4                          | CUSIP: 31418CR97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       928000 | PA      | $891567.95      | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ5879 FR 10/55 FIXED 5                  | CUSIP: 31427DQ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1769572 | PA      | $1746725.57     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA2202 FN 12/45 FIXED 4                          | CUSIP: 3140E6NU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       407306 | PA      | $392720.21      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR8 A1A           | CUSIP: 86361WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1623696 | PA      | $1462991.53     | 0.00%             | 2036-10-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | REPUBLIC OF COLOMBIA SR UNSECURED 11/38 6.5                | CUSIP: ACI35CDQ6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    119700000 | PA      | $131941120.99   | 0.06%             | 2038-11-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1674 FN 09/34 FIXED VAR                        | CUSIP: 3140X42G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13697 | PA      | $13261.27       | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3.5 JUMBOS                               | CUSIP: 21H032647<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3079851000 | PA      | $-2825356228.59 | -1.26%            | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.90 9/12/23-26Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $589365646.72   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5422 FN 07/54 FIXED 6.5                        | CUSIP: 31418FAY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2714921 | PA      | $2808695.22     | 0.00%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 3A1                 | CUSIP: 46628LAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        95067 | PA      | $62163.98       | 0.00%             | 2036-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-15                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 15 MV5             | CUSIP: 126673UR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       375373 | PA      | $372924.84      | 0.00%             | 2035-04-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 2A1          | CUSIP: 07387VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5547425 | PA      | $5407197.06     | 0.00%             | 2037-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL1 XS 144A         | CUSIP: 52474BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    318748021 | PA      | $1408722.81     | 0.00%             | 2057-12-26      | Variable      | 0.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9261 FN 03/47 FIXED 4.5                        | CUSIP: 3140FVJF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14307 | PA      | $14135.46       | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA1005 FN 03/55 FIXED VAR                        | CUSIP: 3140W1DK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1064487 | PA      | $1070433.77     | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-11265844.86   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EGP BOUGHT USD 20260618                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $136899.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1957 FN 11/47 FIXED VAR                        | CUSIP: 3140J6E78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45238 | PA      | $42175.89       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-8XS                                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 8XS A1             | CUSIP: 61754PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2059153 | PA      | $974494.75      | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.78000 05/02/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1911253.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL10                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP10 B3 144A        | CUSIP: 12655BAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    120738888 | PA      | $74086359.81    | 0.03%             | 2057-09-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP1                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP1 PT 144A         | CUSIP: 12653WAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110866214 | PA      | $104054338.72   | 0.05%             | 2046-06-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S3                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S3 A8             | CUSIP: 76111XP64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201800 | PA      | $160839.26      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-5                                                   | GSR MORTGAGE LOAN TRUST GSR 2004 5 1A1                     | CUSIP: 36228FV94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41621 | PA      | $38254.97       | 0.00%             | 2034-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2426642.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3434 FN 06/43 FIXED VAR                        | CUSIP: 3138EKY82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80008 | PA      | $77299.92       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 2.75000 06/17/16-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-120255.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-2N                                                   | LEHMAN XS TRUST LXS 2007 2N 3A3                            | CUSIP: 52524LAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20065243 | PA      | $17490058.00    | 0.01%             | 2037-02-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-10                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 10 2A4           | CUSIP: 54251YAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11690785 | PA      | $3478715.86     | 0.00%             | 2036-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-51459.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A          | CUSIP: 92922FR75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2547450 | PA      | $2463862.85     | 0.00%             | 2045-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $136527.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-6                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 2A10            | CUSIP: 059487AY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       181300 | PA      | $153352.01      | 0.00%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-44847.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-899534.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A96                | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        75472 | PA      | $30476.35       | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-3                                                          | MORTGAGEIT TRUST MHL 2005 3 A1                             | CUSIP: 61915RAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       508428 | PA      | $511447.98      | 0.00%             | 2035-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-359090.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2003-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2003 5 1A1                  | CUSIP: 07386HDD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       100028 | PA      | $98569.37       | 0.00%             | 2033-12-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2026-A                                                | CPS AUTO TRUST CPS 2026 A A 144A                           | CUSIP: 22410MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     81553252 | PA      | $81516145.75    | 0.04%             | 2029-12-17      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 545762 FN 07/32 FIXED VAR                        | CUSIP: 31385JJF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1291 | PA      | $1341.80        | 0.00%             | 2032-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI6584 FN 07/26 FIXED 3                          | CUSIP: 3138ALJ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2156 | PA      | $2147.41        | 0.00%             | 2026-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6608 FN 12/55 FIXED 5                          | CUSIP: 3140BXKW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5221600 | PA      | $5155814.71     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9579 FN 12/46 FIXED 4                          | CUSIP: 3140FHUD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94772 | PA      | $91078.29       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8174 FN 02/46 FIXED VAR                        | CUSIP: 3138ETCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48808 | PA      | $45857.96       | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-A                                                  | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 A 1A1              | CUSIP: 92977TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       234157 | PA      | $222828.82      | 0.00%             | 2036-05-20      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-3                                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 3A A1A 144A        | CUSIP: 64830EAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14160472 | PA      | $13675730.55    | 0.01%             | 2058-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ3054 FN 07/45 FIXED 4                          | CUSIP: 3138YUMC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46634 | PA      | $44842.03       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 2A2          | CUSIP: 32056JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       612122 | PA      | $440011.32      | 0.00%             | 2037-11-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VII DAC 7A                                                            | ARBOUR CLO ARBR 7A AR 144A                                 | CUSIP: ACI2S2CF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     93400000 | PA      | $108145323.50   | 0.05%             | 2038-12-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA 11/28 6.607                             | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     61400000 | PA      | $64541956.50    | 0.03%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.255 03/10/26-01/02/31 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-3832570.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-1                                | BEAR STEARNS ASSET BACKED SECU BSABS 2007 1 A3             | CUSIP: 073860AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       280901 | PA      | $281067.87      | 0.00%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1219 FN 07/46 FIXED 3.5                        | CUSIP: 3140EVK97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43474 | PA      | $40683.98       | 0.00%             | 2046-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE1109 FN 06/55 FIXED 5                          | CUSIP: 3140BDGT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       959459 | PA      | $951584.22      | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LUGO FUNDING DAC 24-1A                                                           | LUGO FUNDING DAC LUGO 2024 1A A 144A                       | CUSIP: ACI2S0075<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    154590524 | PA      | $178504665.17   | 0.08%             | 2066-05-26      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.7* 8/12/23-28Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $37642437.27    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-5                                            | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 5 2A3            | CUSIP: 54251PAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51904871 | PA      | $24379884.13    | 0.01%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6078 FN 05/55 FIXED 5.5                        | CUSIP: 3140B6XG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49210 | PA      | $49486.27       | 0.00%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7186 FN 10/47 FIXED 4                          | CUSIP: 3140GV6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1256344 | PA      | $1203843.56     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                                    | ORANGE CAPITAL RE DAC 01/27 1                              | CUSIP: ACI2L70B8<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |     19700000 | PA      | $23685613.36    | 0.01%             | 2027-01-08      | Floating      | 10.36%                | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST 2006-NC5                                          | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC5 A4            | CUSIP: 144539AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23866000 | PA      | $18859956.14    | 0.01%             | 2037-01-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-15                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 15 1A1A          | CUSIP: 41161PXF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5593050 | PA      | $3973993.11     | 0.00%             | 2045-10-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB7                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB7 A5           | CUSIP: 12479DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1723376 | PA      | $1211435.77     | 0.00%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7388 FN 06/46 FIXED 3.5                        | CUSIP: 3138WHF64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9098 | PA      | $8554.88        | 0.00%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8492 FR 11/55 FIXED 5                  | CUSIP: 31427JNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9679879 | PA      | $9558822.40     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0U6A8 PIMCO FPPSWAPTION 2.4 CALL USD                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    140900000 | NC      | $395633.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                              | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3                | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1656375 | PA      | $1646701.57     | 0.00%             | 2034-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175JI9T6 PIMCO FLOOR USD 0.026175 USD SOFR CO             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1955700000 | NC      | $-10365.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.066 09/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-31122598.06   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H10                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H10 FB             | CUSIP: 38375UZZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4797368 | PA      | $4858171.73     | 0.00%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7206 FN 08/45 FIXED VAR                        | CUSIP: 3138EQAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68813 | PA      | $66290.13       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR7                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR7 A3A           | CUSIP: 17312YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11856236 | PA      | $9653188.67     | 0.00%             | 2047-05-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A4                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A4 1A             | CUSIP: 589929W53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20824 | PA      | $20442.05       | 0.00%             | 2033-07-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-8925475.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5470 FN 09/54 FIXED 5.5                        | CUSIP: 31418FCG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21063048 | PA      | $21186181.52    | 0.01%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY8882 FR 07/55 FIXED 5                  | CUSIP: 31426T2Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1831758 | PA      | $1808828.99     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI7929 FN 08/41 FIXED 4                          | CUSIP: 3138AMY33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       514602 | PA      | $500824.90      | 0.00%             | 2041-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBK SEC INC 2005-H                                              | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE1 M3           | CUSIP: 073879PT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       805148 | PA      | $814876.11      | 0.00%             | 2035-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2004-NC7                                              | MORGAN STANLEY CAPITAL INC MSAC 2004 NC7 M3                | CUSIP: 61744CFR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       220847 | PA      | $238326.14      | 0.00%             | 2034-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A F 144A                 | CUSIP: ACI34GB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     13813000 | PA      | $15998386.72    | 0.01%             | 2059-08-22      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE2                                          | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE2 A3            | CUSIP: 46602WAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57139369 | PA      | $15310653.89    | 0.01%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1A           | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12057772 | PA      | $10173280.65    | 0.00%             | 2036-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/49 1                                    | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    627951312 | PA      | $445009377.14   | 0.20%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4225 FN 01/42 FIXED 3.5                        | CUSIP: 31417AVT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13035 | PA      | $12347.21       | 0.00%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7306 FR 05/52 FIXED 4                  | CUSIP: 3133KPDK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37354 | PA      | $35441.60       | 0.00%             | 2052-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF4184 FR 12/52 FIXED 6                  | CUSIP: 3133BRUH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       423217 | PA      | $432792.55      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2036 FN 05/47 FIXED 4.5                        | CUSIP: 3140GQHN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2663 | PA      | $2586.97        | 0.00%             | 2047-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV1457 FN 04/55 FIXED 5.5                        | CUSIP: 3140METP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1495073 | PA      | $1503425.22     | 0.00%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                        | PROSUS NV SR UNSECURED 144A 07/29 1.288                    | CUSIP: ACI1Z3WR4<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |     19700000 | PA      | $21051075.93    | 0.01%             | 2029-07-13      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 24 A8                     | CUSIP: 126694JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       209888 | PA      | $102346.29      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $89511.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL3 A1A 144A    | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42208264 | PA      | $37540869.75    | 0.02%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-54081.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY5895 FN 08/53 FIXED 6                          | CUSIP: 3140NNRR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1126001 | PA      | $1157023.38     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-1                                                    | OPORTUN FUNDING LLC OPTN 2025 1 A 144A                     | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3698474 | PA      | $3700041.28     | 0.00%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA3640 FN 06/49 FIXED 4                          | CUSIP: 3140QBBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       169642 | PA      | $162400.36      | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-6                                                           | LEHMAN XS TRUST LXS 2005 6 2A1                             | CUSIP: 525221CZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3064782 | PA      | $1806150.29     | 0.00%             | 2035-11-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A2 1A1                 | CUSIP: 466247NK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21960 | PA      | $21809.22       | 0.00%             | 2035-04-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| SCULPTOR CLO XXVII LTD 27A                                                       | SCULPTOR CLO LTD SCUL 27A A1RR 144A                        | CUSIP: 81124UBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    120000000 | PA      | $119902209.60   | 0.05%             | 2037-04-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.16500 09/27/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6369345.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF4             | CUSIP: 75970JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2781357 | PA      | $694632.24      | 0.00%             | 2037-04-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX1708 FR 09/54 FIXED 5.5                | CUSIP: 31425V3S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2135001 | PA      | $2151940.09     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9370 FN 10/47 FIXED 3.5                        | CUSIP: 3140GYMU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6548 | PA      | $6134.89        | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $92019.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2003-RS9                                          | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2003 RS9 MII1          | CUSIP: 760985B34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1020538 | PA      | $1024378.76     | 0.00%             | 2033-10-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-GEL3                                       | STRUCTURED ASSET SECURITIES CO SASC 2006 GEL3 M1 144A      | CUSIP: 86360XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2202567 | PA      | $2141141.09     | 0.00%             | 2036-07-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A1            | CUSIP: 74922QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2197397 | PA      | $2072406.46     | 0.00%             | 2036-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-8AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 8AR 4A1            | CUSIP: 61748HEF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17156 | PA      | $16779.99       | 0.00%             | 2034-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005 8                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 8 1A2             | CUSIP: 225458W95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       393816 | PA      | $301057.11      | 0.00%             | 2035-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 4A1          | CUSIP: 939355AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4067693 | PA      | $3434546.53     | 0.00%             | 2047-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD INC 2004-SL1                                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL1 A7            | CUSIP: 760985W80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33225 | PA      | $28782.83       | 0.00%             | 2031-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FFC SENIOR NOTE LEASE-BACKED PASS-THROUGH TRUST                                  | FFC PASS THROUGH TRUST PASS THRU CE 144A 07/53 5.141       | CUSIP: 30259GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     46583662 | PA      | $38099776.29    | 0.02%             | 2053-07-10      | Fixed         | 5.14%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE8687 FR 09/52 FIXED 4                  | CUSIP: 3133BJUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       469824 | PA      | $445289.87      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ9921 FN 03/48 FIXED 4                          | CUSIP: 3140HCAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4265944 | PA      | $4079246.78     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA2613 FR 01/56 FIXED 5                  | CUSIP: 3142JQ3X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1233188 | PA      | $1217167.40     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-WF4                                             | STRUCTURED ASSET SECURITIES CO SASC 2005 WF4 M6            | CUSIP: 863576DL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       474723 | PA      | $474808.11      | 0.00%             | 2035-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF1841 FN 10/55 FIXED 5                          | CUSIP: 3140BSBK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5726207 | PA      | $5651773.87     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 A4 144A       | CUSIP: 17329YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    679253897 | PA      | $601054723.80   | 0.27%             | 2061-05-01      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $4341834.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2624 FN 05/46 FIXED 4                          | CUSIP: 31418B4J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       212655 | PA      | $205086.16      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5211 FN 06/45 FIXED 4                          | CUSIP: 3138WEYH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       123602 | PA      | $119032.14      | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC7921 FN 04/46 FIXED 4.5                        | CUSIP: 3140F3YT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10913 | PA      | $10666.52       | 0.00%             | 2046-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2206627.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-17908231.23   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1870 FN 05/27 FIXED VAR                        | CUSIP: 3138EJCG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1584 | PA      | $1573.88        | 0.00%             | 2027-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A2                    | CUSIP: 12669FX73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        78337 | PA      | $77435.95       | 0.00%             | 2034-09-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-4709310.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS MORTGAGE LOAN TRUST 2025-NQM6                                           | BARCLAYS MORTGAGE LOAN TRUST BARC 2025 NQM6 SA 144A        | CUSIP: 06746DAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        31867 | PA      | $30724.31       | 0.00%             | 2065-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM8347 FN 12/33 FIXED VAR                        | CUSIP: 3140XCHZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73957 | PA      | $71893.32       | 0.00%             | 2033-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260803                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $459758.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5696 FN 03/45 FIXED 7                          | CUSIP: 31418FKJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       245809 | PA      | $258455.46      | 0.00%             | 2045-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1              | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4623243 | PA      | $4145090.70     | 0.00%             | 2046-05-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 01/30 VAR                   | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    177653000 | PA      | $179667554.82   | 0.08%             | 2030-01-27      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                          | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A1 144A         | CUSIP: 288547AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23852435 | PA      | $23664677.76    | 0.01%             | 2037-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73800 01/23/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-49408.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MV5              | CUSIP: 1266732L5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2655639 | PA      | $2647277.57     | 0.00%             | 2035-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX1298 FN 11/52 FIXED 5.5                        | CUSIP: 3140N5NQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       402806 | PA      | $410334.55      | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260430                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-160980.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                              | ELEVATION CLO LTD AWPT 2018 3A A1R2 144A                   | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     77200000 | PA      | $77243334.68    | 0.03%             | 2035-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2006-B                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2006 B M3              | CUSIP: 63860FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1338000 | PA      | $1286756.47     | 0.00%             | 2036-09-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2022-3 LTD                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2022 3A A1R 144A        | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     64800000 | PA      | $64812911.40    | 0.03%             | 2035-07-17      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 3A1           | CUSIP: 933636AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6074971 | PA      | $5611179.52     | 0.00%             | 2037-04-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 3A1                  | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5751158 | PA      | $5314532.02     | 0.00%             | 2047-02-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-3A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 3A A1 144A        | CUSIP: 39571WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21745926 | PA      | $21763248.33    | 0.01%             | 2060-12-27      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-3213482.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARAN FUNDING 2025-1 DAC 25-1A                                                    | ARAN FUNDING 2025 1 DAC ARANF 2025 1A A 144A               | CUSIP: ACI34GBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     99430559 | PA      | $114820526.72   | 0.05%             | 2065-12-24      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6783 FN 01/56 FIXED 5                          | CUSIP: 3140BXRD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        40410 | PA      | $39889.19       | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                                  | COSTA RICA GOVERNMENT BONDS 144A 11/30 5.4995              | CUSIP: ACI3721X4<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    169000000 | PA      | $199962353.96   | 0.09%             | 2030-11-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-5                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 5 A2                      | CUSIP: 12544VAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55265 | PA      | $25526.98       | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2022-SFR1 TRUST                                             | PROGRESS RESIDENTIAL TRUST PROG 2022 SFR1 A 144A           | CUSIP: 74333YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10560121 | PA      | $9995670.05     | 0.00%             | 2041-02-17      | Fixed         | 2.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF4988 FN 11/55 FIXED 5                          | CUSIP: 3140BVRJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8784106 | PA      | $8672087.14     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB3401 FN 05/54 FIXED 5.5                        | CUSIP: 3140ACX73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       901990 | PA      | $907401.10      | 0.00%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                              | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M4                | CUSIP: 70069FBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17186255 | PA      | $16425290.53    | 0.01%             | 2034-10-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-2                                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 2 A2 144A         | CUSIP: 69545GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6396276 | PA      | $6402942.31     | 0.00%             | 2032-10-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-45656.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                               | HOME EQUITY ASSET TRUST HEAT 2002 1 A2                     | CUSIP: 22541NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       128298 | PA      | $121435.27      | 0.00%             | 2032-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB4090 FN 12/26 FIXED 3                          | CUSIP: 31417ARL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          349 | PA      | $347.40         | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP BOA                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $24226.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AQUA FINANCE ISSUER TRUST 2026-A                                                 | AQUA FINANCE TRUST AQFIT 2026 A A 144A                     | CUSIP: 038410AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24000000 | PA      | $23901271.20    | 0.01%             | 2051-04-17      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECU 2005-FR1                                          | BEAR STEARNS ASSET BACKED SECU BSABS 2005 FR1 M2           | CUSIP: 073879G69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1921858 | PA      | $1900038.70     | 0.00%             | 2035-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6120 FN 01/53 FIXED 6                          | CUSIP: 3140NAYS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       647132 | PA      | $664128.84      | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HOLDING SA SR SECURED 144A 06/30 7.5               | CUSIP: 262051AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |      2950528 | PA      | $2899445.80     | 0.00%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL AZ0161 G2 08/47 FIXED 3.5                     | CUSIP: 36197CFA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       175115 | PA      | $162979.73      | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA7585 FN 03/46 FIXED 4                          | CUSIP: 3140ECNB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       205945 | PA      | $197497.51      | 0.00%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8296 FN 01/48 FIXED 3.5                        | CUSIP: 3140HAGE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       924866 | PA      | $859962.31      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB4904 FN 01/55 FIXED 5                          | CUSIP: 3140AENW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1968489 | PA      | $1955847.82     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52847 FG 12/47 FIXED 3.5                | CUSIP: 3132XVEV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12208 | PA      | $11290.88       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1B 144A         | CUSIP: 78450XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10695200 | PA      | $10795067.41    | 0.00%             | 2056-10-16      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                                                    | ARGENT SECURITIES INC. ARSI 2006 W4 A2C                    | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5158073 | PA      | $1218321.91     | 0.00%             | 2036-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3814 FN 10/39 FIXED 3.5                        | CUSIP: 31418DGY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       281938 | PA      | $269840.19      | 0.00%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3340 FN 05/35 FIXED VAR                        | CUSIP: 3140X6WA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1088990 | PA      | $1066770.83     | 0.00%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP2 PT 144A       | CUSIP: 17332KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    364909907 | PA      | $317594812.98   | 0.14%             | 2065-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.75 06/16/21-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $36172997.01    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $4623.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2006-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 4A11            | CUSIP: 00703QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       100867 | PA      | $38404.33       | 0.00%             | 2036-08-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| MNSN HOLDINGS INC                                                                | MNSN HOLDINGS INC COMMON STOCK                             | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |          438 | NS      | $27156.00       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| IMPAC SEC ASSETS CMN OWNER TR 2003-1                                             | IMPAC SECURED ASSETS CORP. IMSA 2003 1 A1                  | CUSIP: 45254TMF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       792085 | PA      | $787216.50      | 0.00%             | 2033-03-25      | Variable      | 5.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4201 FN 10/46 FIXED 3.5                        | CUSIP: 3140FBU32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       145556 | PA      | $136154.37      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP5098 FN 05/50 FIXED 4                          | CUSIP: 3140KCUY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       676586 | PA      | $645185.98      | 0.00%             | 2050-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q61120 FG 01/49 FIXED 3.5                | CUSIP: 3132VMG66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2115836 | PA      | $1968179.53     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-1                                                           | LEHMAN XS TRUST LXS 2007 1 2A1                             | CUSIP: 525241AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1866545 | PA      | $1954963.70     | 0.00%             | 2037-02-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-79615.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 1 A2                     | CUSIP: 43739EAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       193910 | PA      | $159083.99      | 0.00%             | 2035-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 WF2 M6            | CUSIP: 86359DDG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       444156 | PA      | $438774.47      | 0.00%             | 2035-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ3293 FR 09/55 FIXED 5                  | CUSIP: 31427AUT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1578337 | PA      | $1558169.27     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2044 FN 05/47 FIXED 4                          | CUSIP: 3140GQHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8140 | PA      | $7800.32        | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 1A             | CUSIP: 41161PGY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9188158 | PA      | $6284158.61     | 0.00%             | 2034-11-19      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1A          | CUSIP: 02150PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11766131 | PA      | $10921131.28    | 0.00%             | 2037-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3306 FN 12/46 FIXED 4                          | CUSIP: 3140FNU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30733 | PA      | $29615.62       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE INVESTMENT TRUST 2014-MH1                                              | NEWCASTLE INVESTMENT TRUST NCIT 2014 MH1 A 144A            | CUSIP: 65106TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27492707 | PA      | $27161161.31    | 0.01%             | 2033-05-01      | Fixed         | 8.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV8752 FN 02/44 FIXED 4.5                        | CUSIP: 3138XLWN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       349937 | PA      | $345206.41      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2940 FN 11/27 FIXED VAR                        | CUSIP: 3138EKHS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8288 | PA      | $8234.82        | 0.00%             | 2027-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA2                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA2 4A            | CUSIP: 74958XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201438 | PA      | $175225.87      | 0.00%             | 2037-04-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3476 FN 12/52 FIXED 5.5                        | CUSIP: 3140N72J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2526229 | PA      | $2546598.51     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR               | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    221891391 | PA      | $186361031.68   | 0.08%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-6                                                 | TOWD POINT MORTGAGE TRUST TPMT 2018 6 M1 144A              | CUSIP: 89176LAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24668000 | PA      | $21849937.55    | 0.01%             | 2058-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0549 FN 10/47 FIXED 4                          | CUSIP: 3140Q7TF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       325095 | PA      | $311629.54      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-4                                              | AMERICAN HOME MORTGAGE INVESTM AHM 2005 4 5A               | CUSIP: 02660TGW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17572237 | PA      | $6797851.34     | 0.00%             | 2045-11-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 1.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F012650<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -32175000 | PA      | $-24822509.60   | -0.01%            | 2056-05-13      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 2A3           | CUSIP: 12667GN58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2413296 | PA      | $2250706.66     | 0.00%             | 2035-08-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-5                                                   | HOME EQUITY ASSET TRUST HEAT 2005 5 M4                     | CUSIP: 437084MK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5655737 | PA      | $5589878.20     | 0.00%             | 2035-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0392 FN 10/39 FIXED VAR                        | CUSIP: 31418MNJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       214945 | PA      | $212841.50      | 0.00%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ9097 FR 11/55 FIXED 5                  | CUSIP: 31427KDB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1047462 | PA      | $1034741.65     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3250 FN 01/28 FIXED 3                          | CUSIP: 31418CTG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19291 | PA      | $19109.29       | 0.00%             | 2028-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL0324 FR 02/55 FIXED 5.5                | CUSIP: 31427MLE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2788028 | PA      | $2845579.22     | 0.00%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                                          | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A             | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     84500000 | PA      | $84605626.69    | 0.04%             | 2034-08-16      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3221 FN 12/27 FIXED 3                          | CUSIP: 31418CSK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49543 | PA      | $49092.58       | 0.00%             | 2027-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8391 FR 02/53 FIXED 6                  | CUSIP: 3133BWKC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       721673 | PA      | $741583.03      | 0.00%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1BG          | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3817652 | PA      | $3406822.65     | 0.00%             | 2036-08-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4037 FN 02/48 FIXED 3.5                        | CUSIP: 3140H5PX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       282785 | PA      | $263489.39      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX3200 FR 01/55 FIXED 7                  | CUSIP: 31425XRW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2667482 | PA      | $2806289.35     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI9792 FN 08/26 FIXED 3.5                        | CUSIP: 3138AP3A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65520 | PA      | $65275.71       | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A A2 144A        | CUSIP: 210928AB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    166770000 | PA      | $171396249.83   | 0.08%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HKD SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $-1422.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.00000 12/21/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $109323584.11   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-1 TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 1 A 144A          | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11138967 | PA      | $11164675.10    | 0.00%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK9230 FR 01/33 FIXED 3                  | CUSIP: 3131XDHF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1123106 | PA      | $1086912.17     | 0.00%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 2A4              | CUSIP: 23245CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44771688 | PA      | $40217498.28    | 0.02%             | 2037-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                           | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507       | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2691008 | PA      | $2842239.62     | 0.00%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8313 FN 04/47 FIXED 4                          | CUSIP: 3140FUGX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       164012 | PA      | $157218.56      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 6 2A2 144A        | CUSIP: 17324AAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3937197 | PA      | $3529755.79     | 0.00%             | 2035-12-25      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2023-3A                                 | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 3A A 144A        | CUSIP: 05377RGU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16865000 | PA      | $16991032.15    | 0.01%             | 2028-02-22      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 6A1             | CUSIP: 058928AL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       190521 | PA      | $171028.30      | 0.00%             | 2036-03-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| M&T EQUIPMENT 2024-LEAF1 LLC                                                     | M+T EQUIPMENT NOTES MTLRF 2024 1A A2 144A                  | CUSIP: 55376YAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15198461 | PA      | $15229536.03    | 0.01%             | 2031-08-18      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2025-1 LLC                                            | ENTERPRISE FLEET FINANCING LLC EFF 2025 1 A2 144A          | CUSIP: 29390HAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     14256870 | PA      | $14298671.24    | 0.01%             | 2027-10-20      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2003-K                                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 K 1A1            | CUSIP: 05948XZB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        87169 | PA      | $87223.71       | 0.00%             | 2033-12-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-28                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 28 A12                    | CUSIP: 126694PS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11062 | PA      | $5995.73        | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 323862 FN 08/29 FIXED VAR                        | CUSIP: 31374TWX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          407 | PA      | $421.19         | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2870 FR 04/53 FIXED 5.5                | CUSIP: 3132DQFK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       143999 | PA      | $145331.06      | 0.00%             | 2053-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $55150298.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ4738 FR 05/55 FIXED 5.5                | CUSIP: 3142GVHQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       629960 | PA      | $633499.10      | 0.00%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2004-1                                           | MASTR SEASONED SECURITIZATION MSSTR 2004 1 4A1             | CUSIP: 55265WBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7263 | PA      | $7174.83        | 0.00%             | 2032-10-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                             | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581           | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   4107935000 | PA      | $4226779408.12  | 1.88%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                          | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 E 144A        | CUSIP: 69546YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7048296 | PA      | $6874092.28     | 0.00%             | 2032-04-15      | Fixed         | 10.27%                | No            |                  3 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A1            | CUSIP: 55275TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24612199 | PA      | $6327717.61     | 0.00%             | 2037-01-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| INTERNET BRANDS INC (MH SUB I LLC)                                               | MH SUB I LLC 2023 TERM LOAN                                | CUSIP: 45567YAN5<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |      1650892 | PA      | $1423894.44     | 0.00%             | 2028-05-03      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-16                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 16 MV4             | CUSIP: 126670PL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22800000 | PA      | $22426597.56    | 0.01%             | 2036-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-2                                            | CONSECO FINANCE SECURITIZATION CNF 2000 2 A5               | CUSIP: 20846QCQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1831206 | PA      | $195142.98      | 0.00%             | 2030-12-01      | Fixed         | 8.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50514 FG 08/47 FIXED 3.5                | CUSIP: 3132XSSC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45084 | PA      | $42454.28       | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-25148692.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 4A11            | CUSIP: 007036QK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23434 | PA      | $18590.42       | 0.00%             | 2035-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5016 FN 05/45 FIXED 4                          | CUSIP: 3138WESE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20407 | PA      | $19662.74       | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4796 FN 04/45 FIXED 3.5                        | CUSIP: 3138WEKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8967805 | PA      | $8425698.37     | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A1 144A       | CUSIP: 16678RDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        73474 | PA      | $71511.98       | 0.00%             | 2036-05-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $114240.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254345 FN 06/32 FIXED 6                          | CUSIP: 31371KP62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5227 | PA      | $5332.33        | 0.00%             | 2032-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.46000 08/02/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $2087291.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.75000 09/16/26-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-18558293.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-10                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 10 4A2 144A       | CUSIP: 17316AAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1944330 | PA      | $1590684.70     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2026 B A1A 144A         | CUSIP: 78451PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    606660000 | PA      | $607391995.96   | 0.27%             | 2056-03-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3952 FN 01/48 FIXED 3.5                        | CUSIP: 3140H5MA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1087999 | PA      | $1014796.51     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-5                                                | VERUS SECURITIZATION TRUST VERUS 2023 5 A1 144A            | CUSIP: 924934AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10413050 | PA      | $10417005.20    | 0.00%             | 2068-06-25      | Variable      | 6.48%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A         | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    171612080 | PA      | $173332336.29   | 0.08%             | 2055-02-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9717 FN 01/47 FIXED VAR                        | CUSIP: 3138ERYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       226040 | PA      | $216304.51      | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 254621 FN 01/33 FIXED 6.5                        | CUSIP: 31371KYS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          512 | PA      | $529.90         | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                              | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M4                | CUSIP: 70069FLK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21655000 | PA      | $19427659.82    | 0.01%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-16                                                               | FANNIE MAE FNR 2000 16 ZG                                  | CUSIP: 31359X3X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26314 | PA      | $27852.28       | 0.00%             | 2030-06-25      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP4 PT 144A       | CUSIP: 17332EAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    488972715 | PA      | $412684903.23   | 0.18%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA7666 FN 06/39 FIXED 4.5                        | CUSIP: 31416RQU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79748 | PA      | $78968.09       | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                             | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A2              | CUSIP: 617463AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27937665 | PA      | $9094969.86     | 0.00%             | 2036-11-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                             | GSAMP TRUST GSAMP 2006 FM3 A2C                             | CUSIP: 36245TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11800668 | PA      | $5454024.42     | 0.00%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT5908 FN 06/43 FIXED 4                          | CUSIP: 3138WTR65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       190709 | PA      | $184410.54      | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $11432.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 B1 144A        | CUSIP: 12662NAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19952850 | PA      | $14465417.19    | 0.01%             | 2061-05-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A C 144A         | CUSIP: 39571NAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7300000 | PA      | $7344145.29     | 0.00%             | 2060-03-25      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.22 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-4106377.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2025-1A                                | SFS AUTO RECEIVABLES SECURITIZ SFAST 2025 1A A2 144A       | CUSIP: 81885BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15286711 | PA      | $15301371.37    | 0.01%             | 2028-05-22      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE5                                                             | GSAMP TRUST GSAMP 2006 HE5 A1                              | CUSIP: 362437AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3428262 | PA      | $3384170.70     | 0.00%             | 2036-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA1000 FN 02/55 FIXED VAR                        | CUSIP: 3140W1DE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35763528 | PA      | $37603040.13    | 0.02%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A4C           | CUSIP: 61752JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9011994 | PA      | $1800230.49     | 0.00%             | 2046-09-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA0648 FR 12/55 FIXED 5                  | CUSIP: 3142JNWJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22812030 | PA      | $22521126.42    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS2622 FN 06/44 FIXED 4.5                        | CUSIP: 3138WB4G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        37352 | PA      | $36524.11       | 0.00%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.9* 9/17/23-29Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $54224316.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MANUFACTURED HOUSING 2000-3                                           | GREENPOINT MANUFACTURED HOUSIN GPMH 2000 3 IIA2            | CUSIP: 395386BE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3107500 | PA      | $3095536.44     | 0.00%             | 2031-06-08      | Floating      | 7.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG5480 FR 06/53 FIXED 5                  | CUSIP: 3133C6CR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       132848 | PA      | $131491.72      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 2A1A           | CUSIP: 41161QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        95775 | PA      | $43132.49       | 0.00%             | 2036-06-19      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 335                                                           | FREDDIEMAC STRIP FHS 335 V2                                | CUSIP: 3132HUAY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3905268 | PA      | $3756261.70     | 0.00%             | 2044-08-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A B 144A                       | CUSIP: ACI2NGCZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     39593000 | PA      | $45747999.85    | 0.02%             | 2058-06-28      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90500 03/12/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-817400.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX8354 FR 03/55 FIXED 5                  | CUSIP: 31426FH83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3704182 | PA      | $3656676.51     | 0.00%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A3C          | CUSIP: 00075VAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2417183 | PA      | $973310.46      | 0.00%             | 2036-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-23                                            | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 23 5A1            | CUSIP: 22541QWZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18495 | PA      | $18314.48       | 0.00%             | 2033-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2374 FN 12/41 FIXED VAR                        | CUSIP: 3138EJT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30226 | PA      | $29209.28       | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW6230 FN 06/44 FIXED 4                          | CUSIP: 3138XV4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1602 | PA      | $1543.57        | 0.00%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 651623 FN 07/32 FLOATING VAR                     | CUSIP: 31390N4G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3291 | PA      | $3356.12        | 0.00%             | 2032-07-01      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS13 1A5          | CUSIP: 75115DAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1549079 | PA      | $1242120.76     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.245 03/10/26-01/02/31 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-501862.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS3984 FN 12/29 FIXED 3                          | CUSIP: 3138WDNA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12359 | PA      | $12151.23       | 0.00%             | 2029-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVIII LTD 2020-3A                                               | SOUND POINT CLO LTD SNDPT 2020 3A A1R 144A                 | CUSIP: 83615CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     32792378 | PA      | $32775254.04    | 0.01%             | 2032-01-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2007 AR2 6A1                   | CUSIP: 3622N6AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6310526 | PA      | $4061394.28     | 0.00%             | 2037-05-25      | Variable      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | DEUTSCHE BANK AKTIENGESELLSCH SLA SE ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |            1 | NC      | $173709.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ACQUISITION TR 2006-B                                          | BAYVIEW FINANCIAL ACQUISITION BAYV 2006 B M3               | CUSIP: 07325NDW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3086582 | PA      | $3109431.60     | 0.00%             | 2036-04-28      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH0139 FR 08/53 FIXED 6                  | CUSIP: 3133CCEL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68716 | PA      | $70417.83       | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MORTGAGE SEC INC. 2004-4                                                | DEUTSCHE MORTGAGE SECURITIES, DMSI 2004 4 4AR1             | CUSIP: 251563FA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3411 | PA      | $3226.56        | 0.00%             | 2034-06-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9262 FN 01/40 FIXED 4                          | CUSIP: 3138YBJG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94252 | PA      | $91021.87       | 0.00%             | 2040-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-4                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 4 M6              | CUSIP: 86358ESQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1184000 | PA      | $809073.30      | 0.00%             | 2035-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC1 A2D           | CUSIP: 172983AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2567981 | PA      | $2548799.05     | 0.00%             | 2036-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-AB1                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 AB1 M2             | CUSIP: 126673HJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8824852 | PA      | $8313679.15     | 0.00%             | 2034-08-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-F                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 F 6A1             | CUSIP: 05946XZD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5332 | PA      | $4838.73        | 0.00%             | 2035-09-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| GSAA TRUST 2006-15                                                               | GSAA HOME EQUITY TRUST GSAA 2006 15 AF5                    | CUSIP: 3622E8AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8677981 | PA      | $2169168.86     | 0.00%             | 2036-09-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8183 FR 11/55 FIXED 5                  | CUSIP: 31427JCV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1584015 | PA      | $1564065.09     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080728 G2 08/33 FLOATING VAR                  | CUSIP: 36225CY26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2226 | PA      | $2268.31        | 0.00%             | 2033-08-20      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R3                                    | MORGAN STANLEY REREMIC TRUST MSRR 2015 R3 7B 144A          | CUSIP: 61690TAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23446855 | PA      | $16828994.12    | 0.01%             | 2047-04-26      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5449 FR 05/48 FIXED 3.5                | CUSIP: 31329PBS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       138106 | PA      | $128256.35      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-2008.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2018-RP11                                                            | CSMCM TRUST CERTIFICATES CSMCM 2018 RP11 CERT 144A         | CUSIP: 12656XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8408679 | PA      | $7061579.86     | 0.00%             | 2058-10-25      | Fixed         | 13.18%                | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-5                                                     | LEHMAN MORTGAGE TRUST LMT 2007 5 5A1                       | CUSIP: 52521RBN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6320011 | PA      | $1283470.36     | 0.00%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 1A1 144A       | CUSIP: 12597GAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113478059 | PA      | $109190505.75   | 0.05%             | 2059-04-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR2                                           | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR2 1A           | CUSIP: 36185N6M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       294227 | PA      | $281488.95      | 0.00%             | 2035-05-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA ALT LN TRUST 2004-6                                              | BANC OF AMERICA ALTERNATIVE LO BOAA 2004 6 2A1             | CUSIP: 05948KSG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1980304 | PA      | $1973415.23     | 0.00%             | 2034-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-AR1                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AR1 A1 144A       | CUSIP: 59020VAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19016560 | PA      | $6019011.31     | 0.00%             | 2037-03-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX5325 FR 02/55 FIXED 7                  | CUSIP: 31426A4K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5088251 | PA      | $5361393.34     | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R6                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R6 M5             | CUSIP: 03072SG66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14800000 | PA      | $14118257.24    | 0.01%             | 2035-08-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FLATIRON CLO LTD 2019-1A                                                         | FLATIRON CLO LTD FLAT 2019 1A AR2 144A                     | CUSIP: 33883JAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     24808274 | PA      | $24827348.18    | 0.01%             | 2034-11-16      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A C 144A                         | CUSIP: ACI2SNZ69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     30820000 | PA      | $40693389.73    | 0.02%             | 2066-05-16      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $503933.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A4            | CUSIP: 54251TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20589927 | PA      | $8150606.85     | 0.00%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745974 FN 10/36 FLOATING VAR                     | CUSIP: 31403DXB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          934 | PA      | $963.62         | 0.00%             | 2036-10-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35           | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     17371586 | PA      | $16814086.95    | 0.01%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC3982 FN 10/54 FIXED 5                          | CUSIP: 3140ARM80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5714057 | PA      | $5644149.87     | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/56 4.75                                 | CUSIP: 912810UR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3803168800 | PA      | $3709872315.38  | 1.65%             | 2056-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                          | 83208D990 SMB 2026 B D 144A                                | CUSIP: 990ACZUZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81385000 | PA      | $80709594.02    | 0.04%             | 2054-03-11      | Fixed         | 6.27%                 | No            |                  3 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AX66 CREDIT SUISSE GROUP AG          | CUSIP: 952NPJ000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      4600000 | PA      | $1610000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2006-2                                                           | CHASEFLEX TRUST CFLX 2006 2 A4                             | CUSIP: 16165MAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2926629 | PA      | $2563456.22     | 0.00%             | 2036-09-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| COLT 2024-3 MORTGAGE LOAN TRUST                                                  | COLT FUNDING LLC COLT 2024 3 A1 144A                       | CUSIP: 19688VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20656332 | PA      | $20865196.57    | 0.01%             | 2069-06-25      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                                     | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A                | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     21561510 | PA      | $21583867.93    | 0.01%             | 2030-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8437 FR 06/54 FIXED 5                  | CUSIP: 3132DWLS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1489489 | PA      | $1470387.26     | 0.00%             | 2054-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3C          | CUSIP: 17311XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19270892 | PA      | $14380926.23    | 0.01%             | 2037-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ8964 FR 10/54 FIXED 5.5                | CUSIP: 3133D05Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       671074 | PA      | $674844.70      | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.57226 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $285021.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                                    | PURPLE RE LTD UNSECURED 144A 06/33 VAR                     | CUSIP: 74639NAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      9650000 | PA      | $9650000.00     | 0.00%             | 2033-06-07      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                                  | GSR MORTGAGE LOAN TRUST GSR 2007 4F 4A1                    | CUSIP: 362669AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       134601 | PA      | $29747.50       | 0.00%             | 2037-07-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-5F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 5F 2A4                    | CUSIP: 36297XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       143254 | PA      | $483617.25      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A C 144A          | CUSIP: 21050QAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11585007 | PA      | $11650960.87    | 0.01%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA3869 FR 10/49 FIXED 3.5                | CUSIP: 31339UJN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1897196 | PA      | $1758654.20     | 0.00%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-23826.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF10                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF10 A1            | CUSIP: 32028HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       189011 | PA      | $182349.29      | 0.00%             | 2036-07-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60243 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $158133.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS E 144A                   | CUSIP: 90137LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13028000 | PA      | $11917363.00    | 0.01%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| CUPRESSUS MORTGAGES HOLDCO 2022 SA RL                                            | CUPRESSUS MORTGAGES HOLDCO 10/50 1                         | CUSIP: ACI279PY3<br>LEI: 213800GH3MUFWG5P7B12 | Long             | DBT              | CORP              | LU        |      2000000 | PA      | $604809.59      | 0.00%             | 2050-10-24      | Floating      | 1.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY8C                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY8C A1          | CUSIP: 02150XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11434943 | PA      | $10774303.07    | 0.00%             | 2047-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-1309664.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ2185 FR 08/54 FIXED 5.5                | CUSIP: 3133CSNA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21090 | PA      | $21208.04       | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A88                | CUSIP: 46631NDR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13181320 | PA      | $5322975.62     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $4230778.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $-1196563.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2217 FN 03/45 FIXED 4                          | CUSIP: 31418BPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       535426 | PA      | $515908.28      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4369 FR 04/54 FIXED 5.5                | CUSIP: 3133WA2A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       381797 | PA      | $384336.78      | 0.00%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3             | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       807445 | PA      | $807864.52      | 0.00%             | 2035-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0072 FN 05/29 FIXED 4                          | CUSIP: 31417YCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18942 | PA      | $18853.90       | 0.00%             | 2029-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                     | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7        | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  26845000000 | PA      | $28393805.73    | 0.01%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0V7A5 PIMCO FPPSWAPTION 2.11 CALL USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    122300000 | NC      | $1977101.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $6919661.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 05/29 VAR                        | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     54550000 | PA      | $54891061.33    | 0.02%             | 2029-05-16      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3770 FN 02/28 FIXED VAR                        | CUSIP: 3138ELFL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          195 | PA      | $193.41         | 0.00%             | 2028-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C C 144A           | CUSIP: 83208DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35479000 | PA      | $35130702.66    | 0.02%             | 2055-03-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXIV LTD                                                        | MARBLE POINT CLO XXIV LTD MP24 2022 1A A1R 144A            | CUSIP: 56607WAU2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    122300000 | PA      | $122332585.61   | 0.05%             | 2035-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B D                | CUSIP: 78450CAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4600000 | PA      | $4826538.50     | 0.00%             | 2052-03-15      | Fixed         | 8.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $-695900.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-79312.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4582 FN 02/48 FIXED 4                          | CUSIP: 3140H6CU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       932178 | PA      | $893282.39      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS10                                           | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS10 M4           | CUSIP: 75405WAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10475000 | PA      | $9435300.73     | 0.00%             | 2035-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A F 144A                       | CUSIP: ACI2NGD22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      8964000 | PA      | $10153377.09    | 0.00%             | 2058-06-28      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3267                                                                 | FREDDIE MAC FHR 3267 SI                                    | CUSIP: 31397ERL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       330735 | PA      | $29839.64       | 0.00%             | 2037-01-15      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $15553008.09    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB5                     | CREDIT BASED ASSET SERVICING A CBASS 2004 CB5 M1           | CUSIP: 04542BHY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       741917 | PA      | $809232.76      | 0.00%             | 2034-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260408                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-336741.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                                               | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5            | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5236967 | PA      | $4407324.44     | 0.00%             | 2047-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GOVERNEMENT NATIONAL MTG ASSOC 2007-21                                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 21 PZ              | CUSIP: 38375JVW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       141184 | PA      | $142355.45      | 0.00%             | 2037-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2944 FN 12/55 FIXED 5                          | CUSIP: 3140BTHW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1958358 | PA      | $1933263.62     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2004-1                                           | AAMES MORTGAGE INVESTMENT TRUS AMIT 2004 1 M6              | CUSIP: 00252FAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       171399 | PA      | $170436.96      | 0.00%             | 2035-01-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.15500 10/02/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4450184.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A E 144A         | CUSIP: 21055PAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16482284 | PA      | $16637916.08    | 0.01%             | 2053-11-25      | Fixed         | 9.35%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS LASALLE STREET LENDING CLO I LTD 2023-1A          | NEUBERGER BERMAN LOAN ADVISERS NEUBL 2023 1A A1R 144A      | CUSIP: 640977AN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     80900000 | PA      | $80910169.94    | 0.04%             | 2036-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY4173 FR 05/55 FIXED 5                  | CUSIP: 31426NT75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3796093 | PA      | $3750327.62     | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-5085004.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6996 FN 04/46 FIXED 4                          | CUSIP: 3138WGX25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1360374 | PA      | $1307269.37     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-4820223.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOOTBALL CLUB TERM NOTES 2024-XVII TRUST                                         | NATIONAL FOOTBAL LEAGUE 4.5YR                              | CUSIP: 902EYJ902<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     38400000 | PA      | $38733462.91    | 0.02%             | 2028-10-05      | Fixed         | 5.48%                 | Yes           |                  3 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1                 | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2965946 | PA      | $1552860.97     | 0.00%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A11         | CUSIP: 02149VAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1056680 | PA      | $449679.46      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 10A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 10A A2A 144A            | CUSIP: 01449WAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     12000000 | PA      | $10800720.00    | 0.00%             | 2036-09-23      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 2A1             | CUSIP: 05946XRV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        64675 | PA      | $61318.71       | 0.00%             | 2035-04-20      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8197 FR 02/53 FIXED 5                  | CUSIP: 3133BWDA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       671079 | PA      | $666258.25      | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                      | NEWGATE FUNDING PLC NGATE 2007 3X A2B REGS                 | CUSIP: B2NDQDII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1616182 | PA      | $1858724.46     | 0.00%             | 2050-12-15      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL7 PT 144A      | CUSIP: 36273CAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68542426 | PA      | $60687683.16    | 0.03%             | 2064-07-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG          | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     21940000 | PA      | $7679000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC7535 FN 01/55 FIXED 7                          | CUSIP: 3140AVLR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1412044 | PA      | $1495254.37     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72136 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-359974.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA2                                              | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA2 1A1          | CUSIP: 32051GHJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       145265 | PA      | $143253.53      | 0.00%             | 2035-03-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1            | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       612687 | PA      | $533650.35      | 0.00%             | 2035-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-AMN1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 AMN1 A2            | CUSIP: 92978EAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18235868 | PA      | $5868080.00     | 0.00%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2279 FN 05/45 FIXED 4                          | CUSIP: 31418BQ90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        79205 | PA      | $76297.32       | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 35A1                 | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5556992 | PA      | $2632308.58     | 0.00%             | 2036-05-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.06-2 SP MYI                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-3046311.61    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 2A1            | CUSIP: 05949CKQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       871608 | PA      | $802107.10      | 0.00%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7081 FN 03/47 FIXED 4                          | CUSIP: 3140FE2P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4556603 | PA      | $4350632.58     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $2167674.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2023-2A                                                         | FIRST HELP FINANCIAL LLC FHF 2023 2A A2 144A               | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6448810 | PA      | $6502828.85     | 0.00%             | 2029-10-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX EM43 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-147832.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2019 RPL1 B2 144A         | CUSIP: 52473MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53302000 | PA      | $46541936.60    | 0.02%             | 2058-04-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-A                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 A M2              | CUSIP: 63860HAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11347000 | PA      | $11091312.38    | 0.00%             | 2037-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080568 G2 01/32 FLOATING VAR                  | CUSIP: 36225CT22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2148 | PA      | $2172.57        | 0.00%             | 2032-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3131 FN 09/27 FIXED 3                          | CUSIP: 31418CPR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54580 | PA      | $54140.77       | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF4394 FN 11/55 FIXED 5                          | CUSIP: 3140BU3C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1755872 | PA      | $1735534.46     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-6407079.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $-8794556.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $15853049.29    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2087 FN 05/47 FIXED 4                          | CUSIP: 3140GQJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72931 | PA      | $70100.19       | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-4                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 4 M1                   | CUSIP: 07386HHU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       530620 | PA      | $587441.53      | 0.00%             | 2034-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 A2 144A      | CUSIP: 36261WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12600000 | PA      | $10860547.32    | 0.00%             | 2060-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7282 FN 06/55 FIXED 5                          | CUSIP: 3140B8CU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16946297 | PA      | $16733127.87    | 0.01%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-29276627.83   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260713                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-20358.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A1 144A      | CUSIP: 17312TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28176350 | PA      | $19134657.94    | 0.01%             | 2037-05-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| CROSS 2023-H1 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2023 H1 A1 144A                 | CUSIP: 22758CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14726130 | PA      | $14752645.70    | 0.01%             | 2068-03-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| WATR 2026-1                                                                      | WATR 2026 1 D 144A                                         | CUSIP: 957ITBII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16124000 | PA      | $16144949.27    | 0.01%             | 2051-04-19      | Fixed         | 6.77%                 | No            |                  3 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT3 1A1          | CUSIP: 83612KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7455624 | PA      | $6604271.77     | 0.00%             | 2037-08-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A B 144A         | CUSIP: 39571NAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13900000 | PA      | $13970878.88    | 0.01%             | 2060-03-25      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A C 144A                 | CUSIP: ACI34GB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     20718000 | PA      | $24009581.10    | 0.01%             | 2059-08-22      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20270104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $3351087.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES5                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES5 A1A 144A        | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32487585 | PA      | $32676337.52    | 0.01%             | 2044-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-2                                                | VERUS SECURITIZATION TRUST VERUS 2022 2 A1 144A            | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21356099 | PA      | $20553552.04    | 0.01%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535614 FN 01/29 FLOATING VAR                     | CUSIP: 31384WAP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            6 | PA      | $5.91           | 0.00%             | 2029-01-01      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1151 FN 04/48 FIXED 4.5                        | CUSIP: 3140HEH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       366601 | PA      | $361985.51      | 0.00%             | 2048-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-1CON                                               | BANKERS HEALTHCARE GROUP SECUR BHG 2025 1CON A 144A        | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12701004 | PA      | $12735264.15    | 0.01%             | 2036-04-17      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-B TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 B D               | CUSIP: 83407KAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15200000 | PA      | $15366592.00    | 0.01%             | 2034-06-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6096 FN 09/53 FIXED 6                          | CUSIP: 3140NNX26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68196 | PA      | $69673.08       | 0.00%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZT1381 FR 04/48 FIXED 4                  | CUSIP: 3132ADRA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       115540 | PA      | $110719.69      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6599 FN 12/55 FIXED 5                          | CUSIP: 3140BXKM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1725626 | PA      | $1705744.92     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A              | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10919729 | PA      | $10126550.87    | 0.00%             | 2035-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-A                                               | MLCC MORTGAGE INVESTORS INC MLCC 2005 A A2                 | CUSIP: 59020UTC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        63939 | PA      | $55277.37       | 0.00%             | 2030-03-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL7                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL7 B2 144A        | CUSIP: 12597AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    118732900 | PA      | $98153579.47    | 0.04%             | 2059-01-27      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR5                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR5 1A1           | CUSIP: 45661ECK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11996197 | PA      | $8067442.71     | 0.00%             | 2036-05-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 1A1          | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1665312 | PA      | $1321508.51     | 0.00%             | 2037-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.72500 02/07/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-133938.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9026 FN 03/47 FIXED 4                          | CUSIP: 3140FHA49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       112241 | PA      | $107858.83      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8509 FR 02/55 FIXED 7                  | CUSIP: 3132DWN25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    262622288 | PA      | $276130357.67   | 0.12%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TRS SOFRINDX/IBXXLLTR 06/22/26 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $688078.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2003 FN 10/47 FIXED VAR                        | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23517540 | PA      | $22550832.39    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-2                                                 | CONSECO FINANCIAL CORP GT 1999 2 A7                        | CUSIP: 393505W32<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       130437 | PA      | $130581.63      | 0.00%             | 2030-12-01      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                                | VENTURE GLOBAL CALCASIEU SR SECURED 144A 08/29 3.875       | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     31870000 | PA      | $30308175.59    | 0.01%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AR4                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR4 A2            | CUSIP: 25150PAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2870868 | PA      | $900830.80      | 0.00%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3845 FN 12/55 FIXED VAR                        | CUSIP: 3140W4HX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9539077 | PA      | $9416695.32     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $50273.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $42451.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 2A3         | CUSIP: 94984MAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       274248 | PA      | $253999.35      | 0.00%             | 2036-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK6522 FN 07/48 FIXED 4.5                        | CUSIP: 3140HLG83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       386401 | PA      | $378742.42      | 0.00%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE4676 FN 07/55 FIXED 5.5                        | CUSIP: 3140BHFS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39681 | PA      | $39902.73       | 0.00%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $1520406.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LANDMARK MORTGAGE SEC PLC 2                                                      | LANDMARK MORTGAGE SECURITIES P LMS 2 AC REGS               | CUSIP: G53709AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       589493 | PA      | $671091.64      | 0.00%             | 2039-06-17      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2006-1                                                | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 1 A5              | CUSIP: 83611MKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9630186 | PA      | $9141862.90     | 0.00%             | 2036-02-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR4                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR4 1A1A          | CUSIP: 93934FPN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7824327 | PA      | $7167202.78     | 0.00%             | 2046-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3310 FN 03/38 FIXED 4                          | CUSIP: 31418CVC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9672 | PA      | $9485.33        | 0.00%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80000 09/05/23-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1136166.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5956 FN 05/27 FIXED VAR                        | CUSIP: 3138ENTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          419 | PA      | $418.44         | 0.00%             | 2027-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2001-2                                              | SAXON ASSET SECURITIES TRUST SAST 2001 2 M1                | CUSIP: 805564JR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       142174 | PA      | $111847.06      | 0.00%             | 2031-03-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8871 FN 05/49 FIXED 3.5                        | CUSIP: 3140JR2D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1143103 | PA      | $1070749.38     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0144 FN 02/55 FIXED 5                          | CUSIP: 3140B0ES3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       895842 | PA      | $884587.36      | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES4                                              | TOWD POINT MORTGAGE TRUST TPMT 2025 CES4 A1A 144A          | CUSIP: 89170UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48917053 | PA      | $48704483.75    | 0.02%             | 2065-10-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1A 144A            | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    331544500 | PA      | $328238172.82   | 0.15%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF9507 FN 01/56 FIXED 5                          | CUSIP: 3140U1R56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5823680 | PA      | $5747978.34     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $200860.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB2 1A1                  | CUSIP: 12669GWQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       550493 | PA      | $542217.07      | 0.00%             | 2035-05-20      | Variable      | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC5603 FN 10/54 FIXED 5                          | CUSIP: 3140ATGM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       544041 | PA      | $537189.11      | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2996 FN 06/45 FIXED 4                          | CUSIP: 3138YGKJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9816 | PA      | $9432.87        | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 901457 FN 10/36 FIXED 6.5                        | CUSIP: 31410YQJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          982 | PA      | $1017.13        | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4007 FN 02/48 FIXED 3.5                        | CUSIP: 3140H5NZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       562764 | PA      | $522399.35      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | LETRA TESOURO NACIONAL BILLS 07/26 0.00000                 | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  35725662000 | PA      | $6679367871.10  | 2.97%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2019-SPL1                                                            | CSMCM TRUST CERTIFICATES CSMCM 2019 SPL1 CERT 144A         | CUSIP: 12653XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18917098 | PA      | $21914769.09    | 0.01%             | 2049-07-25      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 03/18/26-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $5412092.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-6                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 6 1A1            | CUSIP: 07387ADG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       643894 | PA      | $562740.41      | 0.00%             | 2035-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2014-3R                                             | GS MORTGAGE SECURITIES CORP. GSMSC 2014 3R 1B 144A         | CUSIP: 36249XAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11949074 | PA      | $6513976.89     | 0.00%             | 2036-11-26      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/27 VAR                  | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       900000 | PA      | $920250.00      | 0.00%             | 2027-06-06      | Floating      | 13.26%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9664 FN 06/47 FIXED 4                          | CUSIP: 3138WKW27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15829945 | PA      | $15184150.64    | 0.01%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC4827 FN 12/54 FIXED 5                          | CUSIP: 3140ASLH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       300962 | PA      | $297194.70      | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2003-3                                              | SAXON ASSET SECURITIES TRUST SAST 2003 3 M1                | CUSIP: 805564PE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1039282 | PA      | $1002852.42     | 0.00%             | 2033-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3954 FN 12/55 FIXED VAR                        | CUSIP: 3140W4MC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       618781 | PA      | $610890.39      | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9247 FN 03/47 FIXED 4.5                        | CUSIP: 3140FVHZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        22357 | PA      | $22010.11       | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B A1B 144A         | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    307232837 | PA      | $313720857.65   | 0.14%             | 2056-10-16      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-G                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 G 1A1            | CUSIP: 05949CEA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       569365 | PA      | $533142.59      | 0.00%             | 2035-08-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1137374.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV2918 FN 12/43 FIXED 4.5                        | CUSIP: 3138XEG44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        21545 | PA      | $21270.61       | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0909 FN 11/43 FIXED 4.5                        | CUSIP: 3138WAAK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6795 | PA      | $6707.41        | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WATR 2026-1                                                                      | WATR 2026 1 R 144A                                         | CUSIP: 990ADAAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27362000 | PA      | $27397550.35    | 0.01%             | 2051-04-19      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK7588 FR 02/29 FIXED 3                  | CUSIP: 3131XBND7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8334 | PA      | $8246.08        | 0.00%             | 2029-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-50748.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1123480.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                         | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M5           | CUSIP: 83611PBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3610314 | PA      | $3589876.38     | 0.00%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED 144A 11/29 9.5                 | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     34557957 | PA      | $34945386.26    | 0.02%             | 2029-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| TRICON AMERICAN HOMES TRUST 2020-SFR2                                            | TRICON AMERICAN HOMES TAH 2020 SFR2 A 144A                 | CUSIP: 89613JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15460705 | PA      | $14732037.05    | 0.01%             | 2039-11-17      | Fixed         | 1.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-899614.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF9492 FN 01/56 FIXED 5                          | CUSIP: 3140U1RN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1994667 | PA      | $1972101.08     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG1246 FR 04/53 FIXED 6                  | CUSIP: 3133C1L32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9919996 | PA      | $10188405.54    | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS9978 FR 09/46 FIXED 4.5                | CUSIP: 3132ABCP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10497 | PA      | $10362.04       | 0.00%             | 2046-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNR 2006-120                                                                     | FANNIE MAE FNR 2006 120 TQ                                 | CUSIP: 31396LJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       577775 | PA      | $44956.56       | 0.00%             | 2036-12-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA0401 FR 11/55 FIXED 5                  | CUSIP: 3142JNNT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       135692 | PA      | $133941.18      | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847557 FH 07/34 FLOATING VAR             | CUSIP: 3128JRME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12764 | PA      | $13115.45       | 0.00%             | 2034-07-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2006-AA2                                                          | BCAP LLC TRUST BCAP 2006 AA2 A1                            | CUSIP: 05530MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       227129 | PA      | $214603.96      | 0.00%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6739 FN 10/43 FIXED 3.5                        | CUSIP: 3138X6PZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3980 | PA      | $3748.07        | 0.00%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5067 FN 11/53 FIXED 6.5                        | CUSIP: 3140A5TZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5007983 | PA      | $5190574.35     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2006-3X                                                             | EUROSAIL PLC ESAIL 2006 3X C1C REGS                        | CUSIP: B1HM7JII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       877250 | PA      | $1156087.74     | 0.00%             | 2044-09-10      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY9339 FN 08/53 FIXED 5.5                        | CUSIP: 3140NSLV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41735 | PA      | $42059.81       | 0.00%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3698 FN 07/39 FIXED 3.5                        | CUSIP: 31418DDC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       939282 | PA      | $900450.49      | 0.00%             | 2039-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 01/02/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $28359.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)JUN26 XCBT 20260618                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       331043 | NC      | $-661699487.64  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20261007                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-128291.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 1A1                 | CUSIP: 46628LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        82740 | PA      | $55019.74       | 0.00%             | 2036-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $19047.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UROPA SECURITIES PLC 2007-1                                                      | UROPA SECURITIES PLC UROPA 2007 1 A4A REGS                 | CUSIP: B23FXQII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1982849 | PA      | $2581097.28     | 0.00%             | 2040-10-10      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-2                                              | RBSSP RESECURITIZATION TRUST RBSSP 2010 2 4A2 144A         | CUSIP: 74929CAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5468316 | PA      | $5175745.52     | 0.00%             | 2036-10-26      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-C                                          | 83208D9F6 SMB 2026 B B 144A                                | CUSIP: 990ACZVC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50865000 | PA      | $50468201.63    | 0.02%             | 2054-03-11      | Fixed         | 5.53%                 | No            |                  3 | On Loan: No      |
| EVERGLADES RE II LTD                                                             | EVERGLADES RE II LTD SR UNSECURED 144A 05/31 VAR           | CUSIP: 30014LAN4<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |     48900000 | PA      | $49657950.00    | 0.02%             | 2031-05-13      | Floating      | 15.03%                | No            |                  2 | On Loan: No      |
| HARVEST CLO XVI DAC 16A                                                          | HARVEST CLO HARVT 16A AR3 144A                             | CUSIP: ACI354S05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     48600000 | PA      | $56137857.96    | 0.02%             | 2038-10-15      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                               | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A6             | CUSIP: 76114QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8268184 | PA      | $2946623.81     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6515 FN 01/46 FIXED 4                          | CUSIP: 3138WGGZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        67773 | PA      | $65239.72       | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM3 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM3 A1 144A      | CUSIP: 69381FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7868094 | PA      | $7858410.04     | 0.00%             | 2069-08-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC1 A5          | CUSIP: 46626LHU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30750920 | PA      | $29147914.36    | 0.01%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A2               | CUSIP: 12638PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11288854 | PA      | $2685631.94     | 0.00%             | 2037-04-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 433469 FN 08/28 FIXED 6.5                        | CUSIP: 31379YQW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1081 | PA      | $1117.69        | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2005-HE2                                         | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE2 M3           | CUSIP: 04541GQD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34420 | PA      | $35621.44       | 0.00%             | 2035-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA0308 FN 01/55 FIXED VAR                        | CUSIP: 3140W0KW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1293874 | PA      | $1280267.52     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-6                                                | VERUS SECURITIZATION TRUST VERUS 2023 6 A1 144A            | CUSIP: 92539XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34869600 | PA      | $35033285.05    | 0.02%             | 2068-09-25      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6934 FR 02/53 FIXED 5                  | CUSIP: 3133BUV38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1882020 | PA      | $1867536.85     | 0.00%             | 2053-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A2            | CUSIP: 68402BAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2012443 | PA      | $998501.34      | 0.00%             | 2037-04-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-8T1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 8T1 1A3          | CUSIP: 12668BMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10026688 | PA      | $4499567.64     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1          | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       113020 | PA      | $39212.11       | 0.00%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-92470.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING LTD 2026-20A                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2026 20A A 144A        | CUSIP: 03333NAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    124200000 | PA      | $124200000.00   | 0.06%             | 2042-04-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2008-IND1                                                         | BCAP LLC TRUST BCAP 2008 IND1 A1                           | CUSIP: 05531CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3782567 | PA      | $2851740.15     | 0.00%             | 2047-10-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $5838706.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-3                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2006 3 A2              | CUSIP: 863587AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7884695 | PA      | $7679685.58     | 0.00%             | 2036-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Z40117 FG 04/45 FIXED 3                  | CUSIP: 3132FCDW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51365 | PA      | $47025.74       | 0.00%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 7A1             | CUSIP: 576433B21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           21 | PA      | $21.29          | 0.00%             | 2035-06-25      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10776000000 | PA      | $10964494438.56 | 4.88%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1B 144A         | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9418693 | PA      | $9414828.57     | 0.00%             | 2052-06-17      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A4           | CUSIP: 144527AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8317260 | PA      | $7267339.00     | 0.00%             | 2036-12-26      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH5673 FN 07/47 FIXED 4                          | CUSIP: 3140GUJT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4302 | PA      | $4122.35        | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260730                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $106929.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICAN T BILLS SOUTH AFRICAN T BILLS                | CUSIP: ACI34TB58<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     31600000 | PA      | $1795576.57     | 0.00%             | 2026-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3511 FN 03/28 FIXED VAR                        | CUSIP: 3138EK3V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3080 | PA      | $3059.68        | 0.00%             | 2028-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE8923 FN 09/55 FIXED 5                          | CUSIP: 3140BM4H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9012451 | PA      | $8896249.33     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256885 FN 09/27 FIXED 6                          | CUSIP: 31371NJ63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19146 | PA      | $19521.53       | 0.00%             | 2027-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF4712 FR 12/52 FIXED 6                  | CUSIP: 3133BSGV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       320931 | PA      | $333607.76      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $615.54         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MORTGAGE LOAN TRUST 2007-F1                                         | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 F1 1A1            | CUSIP: 456671AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9918167 | PA      | $5770784.33     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                              | NATURE COAST RE LTD UNSECURED 144A 12/30 VAR               | CUSIP: 63901CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     22346000 | PA      | $22733703.10    | 0.01%             | 2030-12-07      | Floating      | 13.54%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260706                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1246563.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                   | EPR PROPERTIES COMPANY GUAR 06/27 4.5                      | CUSIP: 26884UAD1<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |       500000 | PA      | $498021.29      | 0.00%             | 2027-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 12/55 3.4                      | CUSIP: ACI37YF43<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  84684000000 | PA      | $509848851.64   | 0.23%             | 2055-12-20      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ1                                              | PARK PLACE SECURITIES INC PPSI 2004 WHQ1 M5                | CUSIP: 70069FBV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2610281 | PA      | $2561901.26     | 0.00%             | 2034-09-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3387 FN 11/55 FIXED VAR                        | CUSIP: 3140W3XR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     22321633 | PA      | $22744405.48    | 0.01%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                                  | GAZPROM (GAZ CAPITAL SA) SR UNSECURED REGS 04/34 8.625     | CUSIP: B00ZMCII3<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |     29460000 | PA      | $24304500.00    | 0.01%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.42760 07/31/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $1995875.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB2             | CUSIP: 05950BAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8358 | PA      | $7321.77        | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MMCAPS FUNDING XVIII LTD                                                         | MMCAPS FUND XVIII LTD SECURED 144A 12/39 VAR               | CUSIP: 60688HAC9<br>LEI: 549300ZF6EZYDGUCIW80 | Long             | DBT              | CORP              | KY        |     10100000 | PA      | $8938500.00     | 0.00%             | 2039-12-26      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R4                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R4 M5             | CUSIP: 03072SC60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1450000 | PA      | $1413734.49     | 0.00%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A1 144A       | CUSIP: 81377JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64023913 | PA      | $22975493.31    | 0.01%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD9838 FN 05/55 FIXED 5                          | CUSIP: 3140BA4Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1427515 | PA      | $1422391.87     | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-15                                                        | FANNIE MAE FNR 2013 15 LI                                  | CUSIP: 3136ACK67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       646066 | PA      | $99627.52       | 0.00%             | 2042-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83444 FG 09/47 FIXED 3.5                | CUSIP: 3132L8ZH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53400 | PA      | $49891.10       | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2025-A                                                     | SBNA AUTO LEASE TRUST SBALT 2025 A A3 144A                 | CUSIP: 78437KAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34100000 | PA      | $34210088.44    | 0.02%             | 2028-04-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF5             | CUSIP: 75971FAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28641733 | PA      | $10885413.66    | 0.00%             | 2037-09-25      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2432 FR 08/55 FIXED 5.5                | CUSIP: 31427PV27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8420732 | PA      | $8608953.65     | 0.00%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/30 VAR             | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       970729 | PA      | $571759.38      | 0.00%             | 2030-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2022-3A                                         | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2022 3A A 144A        | CUSIP: 68269PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       314071 | PA      | $314588.04      | 0.00%             | 2034-05-15      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8075 FR 11/55 FIXED 5                  | CUSIP: 31427H6M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5030292 | PA      | $4965627.43     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q61681 FG 02/49 FIXED 3.5                | CUSIP: 3132VM2P9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173888 | PA      | $163270.38      | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 25-1A                                                        | RIPON MORTGAGES RIPON 2025 1A D 144A                       | CUSIP: ACI2V58Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     44102000 | PA      | $58239985.74    | 0.03%             | 2056-08-28      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-RPL2                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL2 SA 144A        | CUSIP: 12594YAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       183357 | PA      | $179590.61      | 0.00%             | 2056-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR2                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 AR2 2A1                   | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       633315 | PA      | $372396.10      | 0.00%             | 2036-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV45 5Y ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $36676560.46    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-13R                                         | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 13R 4A2 144A        | CUSIP: 12642LCA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       322264 | PA      | $305071.03      | 0.00%             | 2036-09-26      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 14A                                                 | ALESCO PREFERRED FUNDING LTD ALESC 14A A2 144A             | CUSIP: 014498AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2255000 | PA      | $2012587.50     | 0.00%             | 2037-09-23      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A R 144A                 | CUSIP: ACI34GD13<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      1830000 | PA      | $23738492.62    | 0.01%             | 2059-08-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J2                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J2 A3            | CUSIP: 12668BTF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30907 | PA      | $14408.37       | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A B1 144A         | CUSIP: 64830TAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9296181 | PA      | $9050215.39     | 0.00%             | 2059-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL1 B4W 144A        | CUSIP: 52474BAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    273616598 | PA      | $225853127.34   | 0.10%             | 2057-12-26      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-1                                         | MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 1 A2C            | CUSIP: 59023LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20001567 | PA      | $7323117.68     | 0.00%             | 2037-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC11                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC11 2A3         | CUSIP: 23244JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23096427 | PA      | $20346686.20    | 0.01%             | 2037-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2014-2R                                            | NOMURA RESECURITIZATION TRUST NMRR 2014 2R 2A11 144A       | CUSIP: 65540FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2882106 | PA      | $2543333.69     | 0.00%             | 2036-10-26      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1            | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50312 | PA      | $45700.93       | 0.00%             | 2035-06-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256310 FN 07/26 FIXED 6.5                        | CUSIP: 31371MVB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2963 | PA      | $3063.07        | 0.00%             | 2026-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2004-2                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 2 1A1             | CUSIP: 86359BKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       177692 | PA      | $175361.35      | 0.00%             | 2034-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-2A                                                   | CHASE AUTO OWNER TRUST CHAOT 2024 2A A3 144A               | CUSIP: 16144CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110090654 | PA      | $111251746.85   | 0.05%             | 2029-06-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                             | DISH DBS CORP SR SECURED 144A 12/28 5.75                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    252793000 | PA      | $244652443.53   | 0.11%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                                     | BEAR STEARNS ALT A TRUST BALTA 2005 3 2A1                  | CUSIP: 07386HRV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        70977 | PA      | $68553.29       | 0.00%             | 2035-04-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-10431534.52   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ4479 FR 09/54 FIXED 5.5                | CUSIP: 3133CU6Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       441981 | PA      | $444542.22      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7471 FN 12/55 FIXED 5                          | CUSIP: 3140BYJR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2904025 | PA      | $2867706.49     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 3 PLC 3A                                                         | AVON FINANCE AVON 3A B 144A                                | CUSIP: ACI2J99M4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     31368000 | PA      | $41586760.77    | 0.02%             | 2050-11-28      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                                                        | INDYMAC ARM TRUST INARM 2001 H2 A2                         | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          417 | PA      | $406.42         | 0.00%             | 2032-01-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR13                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR13 1A1          | CUSIP: 45660N7J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       290606 | PA      | $267466.23      | 0.00%             | 2035-01-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE6                                                             | GSAMP TRUST GSAMP 2005 HE6 M2                              | CUSIP: 362341G52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46420 | PA      | $45567.77       | 0.00%             | 2035-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 NC1 A1 144A       | CUSIP: 81378AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5545784 | PA      | $5283432.36     | 0.00%             | 2036-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD6324 FN 04/55 FIXED 5                          | CUSIP: 3140B7A29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1938036 | PA      | $1917476.28     | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260914                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $525478.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 6                                                                 | PIKES PEAK CLO PIPK 2020 6A ARR 144A                       | CUSIP: 72132YAY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     20000000 | PA      | $19987940.00    | 0.01%             | 2034-05-18      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 758614 FN 11/33 FLOATING VAR                     | CUSIP: 31403UYK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3474 | PA      | $3550.15        | 0.00%             | 2033-11-01      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-13                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 13 2A5                    | CUSIP: 12669FK44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       111781 | PA      | $109699.12      | 0.00%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 846784 FH 05/29 FLOATING VAR             | CUSIP: 3128HDRD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          699 | PA      | $698.32         | 0.00%             | 2029-05-01      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0869 FN 06/29 FIXED VAR                        | CUSIP: 3138EG6F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1665 | PA      | $1664.41        | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2000 FN 05/47 FIXED VAR                        | CUSIP: 3140J6GJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39890 | PA      | $37296.69       | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                               | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1A 144A          | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13577151 | PA      | $12466308.84    | 0.01%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8155 FN 01/27 FIXED 3                          | CUSIP: 3138XYBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          580 | PA      | $576.09         | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2006-OPT4                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT4 2A4          | CUSIP: 83611YAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3171766 | PA      | $3099906.63     | 0.00%             | 2036-06-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2146741.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD0329 FN 09/28 FIXED VAR                        | CUSIP: 31418MLK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7041 | PA      | $7280.05        | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M3                                                    | ARGENT SECURITIES INC. ARSI 2006 M3 A2C                    | CUSIP: 03076MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8921783 | PA      | $2710814.95     | 0.00%             | 2036-10-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1189 FR 11/55 FIXED 5                  | CUSIP: 3142JPKB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1141983 | PA      | $1127243.37     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH 05/56 1                      | CUSIP: 05494AAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18798000 | PA      | $14226065.11    | 0.01%             | 2056-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2371 FN 08/45 FIXED 4                          | CUSIP: 31418BT55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3079 | PA      | $2963.51        | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP CBK                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $521430.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3078 FN 07/55 FIXED 5                          | CUSIP: 3140BFM44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1566860 | PA      | $1546638.09     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6310 FN 12/45 FIXED 4.5                        | CUSIP: 3140EBAL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94321 | PA      | $92969.99       | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A1             | CUSIP: 59020USH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        52630 | PA      | $47930.21       | 0.00%             | 2035-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CITRUS RE LTD                                                                    | CITRUS RE LTD UNSECURED 144A 06/33 VAR                     | CUSIP: 177510AS3<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |      5450000 | PA      | $5450000.00     | 0.00%             | 2033-06-07      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR5                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR5 2A1           | CUSIP: 45669EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2797730 | PA      | $2274101.58     | 0.00%             | 2037-05-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2018-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP11 PT 144A        | CUSIP: 12655DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    199702422 | PA      | $182057914.11   | 0.08%             | 2048-12-25      | Variable      | 2.56%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                                  | ARMOR RE II LTD SR UNSECURED 144A 05/31 VAR                | CUSIP: 04227FAE5<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |     13000000 | PA      | $13686400.00    | 0.01%             | 2031-05-07      | Floating      | 13.74%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9665 G2 05/54 FIXED 4                       | CUSIP: 36179YW26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38161069 | PA      | $35935884.77    | 0.02%             | 2054-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                                   | EUROHOME UK MORTGAGES PLC EHMU 2007 1 M1 REGS              | CUSIP: 994BENII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      5200000 | PA      | $6830910.62     | 0.00%             | 2044-06-15      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q55151 FG 04/48 FIXED 4                  | CUSIP: 3132XXWM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3105883 | PA      | $2974990.31     | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED REGS 09/43 5.875           | CUSIP: X74359AC8<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    105600000 | PA      | $72276864.00    | 0.03%             | 2043-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VCAT 2025-NPL3 LLC                                                               | VCAT ASSET SECURITIZATION, LLC VCAT 2025 NPL3 A1 144A      | CUSIP: 92243QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41153057 | PA      | $41234959.39    | 0.02%             | 2055-02-25      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                            | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6               | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21172625 | PA      | $3642009.12     | 0.00%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3120 FN 09/47 FIXED 3.5                        | CUSIP: 31418CPE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2983829 | PA      | $2786769.50     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEXICAN UDIBONOS BONDS 08/34 4                             | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      3584407 | PA      | $186771.94      | 0.00%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-95827.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2012-1R                                            | NOMURA RESECURITIZATION TRUST NMRR 2012 1R B 144A          | CUSIP: 65539WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79480796 | PA      | $59521960.20    | 0.03%             | 2047-08-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ7262 FR 11/55 FIXED 5                  | CUSIP: 31427HB84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3841878 | PA      | $3791701.95     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR               | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     14572812 | PA      | $10033380.86    | 0.00%             | 2046-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KZT BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-5469.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA7                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA7 2A1          | CUSIP: 02146BAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1733357 | PA      | $1652528.85     | 0.00%             | 2046-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA4006 FN 01/56 FIXED VAR                        | CUSIP: 3140W4NY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15022433 | PA      | $14837796.94    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL3827 FR 03/55 FIXED 5                  | CUSIP: 31427RHD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       997447 | PA      | $984987.39      | 0.00%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2006-1                                                   | BNC MORTGAGE LOAN TRUST BNCMT 2006 1 A4                    | CUSIP: 055682AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28210399 | PA      | $18028498.43    | 0.01%             | 2036-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2522 FN 02/46 FIXED 3.5                        | CUSIP: 31418BYU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14870 | PA      | $13951.84       | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20261104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-77098.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CEDAR FUNDING VI CLO LTD 2016-6A                                                 | CEDAR FUNDING LTD CEDF 2016 6A AR3 144A                    | CUSIP: 15032DAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     71000000 | PA      | $71051814.38    | 0.03%             | 2034-04-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P5                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P5 A4 144A       | CUSIP: 14687RAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9100000 | PA      | $9288528.34     | 0.00%             | 2029-11-13      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF3249 FR 11/52 FIXED 6                  | CUSIP: 3133BQTE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       506964 | PA      | $522910.28      | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV4916 FN 04/37 FIXED 3                          | CUSIP: 3140MJPA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       183983 | PA      | $176057.52      | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5118 FN 01/53 FIXED 5.5                        | CUSIP: 3140MWVL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       793401 | PA      | $800826.98      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A3             | CUSIP: 61751QAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37249303 | PA      | $17745050.36    | 0.01%             | 2036-12-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-9                                                  | JP MORGAN MORTGAGE TRUST JPMMT 2024 9 A11 144A             | CUSIP: 46593DAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24519192 | PA      | $24581402.18    | 0.01%             | 2055-02-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL12                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP12 B2 144A        | CUSIP: 12655FAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    237521850 | PA      | $180222055.15   | 0.08%             | 2060-10-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2171 FN 10/55 FIXED 5                          | CUSIP: 3140BSMV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7414852 | PA      | $7319913.02     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV2                                             | VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A         | CUSIP: 92540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16882105 | PA      | $16909346.38    | 0.01%             | 2068-08-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX6765 FN 01/45 FIXED 4                          | CUSIP: 3138Y8QT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       207167 | PA      | $199445.74      | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM8628 FR 10/48 FIXED 3.5                | CUSIP: 3131Y3SR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73692 | PA      | $68489.90       | 0.00%             | 2048-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX MAIN44 5Y ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |            1 | NC      | $18636799.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH9343 G2 07/48 FIXED 4                       | CUSIP: 3617H7LY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       462233 | PA      | $436985.32      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 745415 FN 01/36 FIXED VAR                        | CUSIP: 31403DDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          462 | PA      | $477.74         | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA3632 FN 03/55 FIXED VAR                        | CUSIP: 3140W4BA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    153702261 | PA      | $151782299.77   | 0.07%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8298 FR 03/53 FIXED 6.5                | CUSIP: 3133BWGF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103693 | PA      | $107724.25      | 0.00%             | 2053-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4744 FN 01/48 FIXED 4                          | CUSIP: 3140H6HW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1792176 | PA      | $1717394.90     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9543 FN 05/37 FIXED 3.5                        | CUSIP: 3138WKS97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        75599 | PA      | $72997.88       | 0.00%             | 2037-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5097 FN 02/53 FIXED 5.5                        | CUSIP: 3140N9UX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38831 | PA      | $39129.45       | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A            | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32245 | PA      | $31653.81       | 0.00%             | 2042-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-3                                                | IMPAC SECURED ASSETS CORP. IMSA 2007 3 A1B                 | CUSIP: 45257VAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6728087 | PA      | $5970291.67     | 0.00%             | 2037-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA4125 FN 05/46 FIXED 3.5                        | CUSIP: 3140E8SP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        88182 | PA      | $82413.58       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV1458 FN 04/55 FIXED 5                          | CUSIP: 3140METQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       280757 | PA      | $277243.13      | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RCO X MORTGAGE LLC 2025-5                                                        | RCO MORTGAGE LLC RCO 2025 5 A1 144A                        | CUSIP: 75523YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     87347592 | PA      | $87180828.47    | 0.04%             | 2030-10-25      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4804 FN 04/45 FIXED 3.5                        | CUSIP: 3138WEKS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59374 | PA      | $55722.53       | 0.00%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 5 JUMBOS                                 | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    685875000 | PA      | $677964392.10   | 0.30%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8063 FN 08/47 FIXED 3.5                        | CUSIP: 3140GW5Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       290233 | PA      | $271305.85      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2024-3A                                    | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2024 3A A2A 144A      | CUSIP: 96043CAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6633936 | PA      | $6636194.40     | 0.00%             | 2027-09-15      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB10            | CUSIP: 05950BAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18730 | PA      | $15270.59       | 0.00%             | 2046-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| BRIGHTSPIRE CAPITAL, INC 26-FL3                                                  | BRIGHTSPIRE CAPITAL  INC BRSP 2026 FL3 A 144A              | CUSIP: 116686AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    150600000 | PA      | $150324636.94   | 0.07%             | 2043-08-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q61378 FG 02/49 FIXED 3.5                | CUSIP: 3132VMQ81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3207077 | PA      | $2980928.94     | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2006-2                                          | THORNBURG MORTGAGE SECURITIES TMST 2006 2 A2A              | CUSIP: 885220KV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3180889 | PA      | $3008034.67     | 0.00%             | 2036-04-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.60000 08/28/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3305302.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3580 FN 12/45 FIXED 4                          | CUSIP: 3140E76S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144372 | PA      | $138587.02      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                              | NATURE COAST RE LTD UNSECURED 144A 02/30 VAR               | CUSIP: 63901CAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     13800000 | PA      | $13761360.00    | 0.01%             | 2030-02-26      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2994 FR 10/55 FIXED 6                  | CUSIP: 31427QKG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18732973 | PA      | $19481877.36    | 0.01%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2025-1A                             | ARIVO ACCEPTANCE AUTO LOAN REC ARIVO 2025 1A A2 144A       | CUSIP: 039962AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4231680 | PA      | $4244760.75     | 0.00%             | 2029-05-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 06/28 8.125         | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    258000000 | PA      | $263989728.00   | 0.12%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW5124 FN 02/53 FIXED 5.5                        | CUSIP: 3140MWVS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3419245 | PA      | $3450898.46     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-11AR                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 11AR A1            | CUSIP: 61748HTG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       913989 | PA      | $481291.27      | 0.00%             | 2036-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH4                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH4 M3B          | CUSIP: 17313JAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8380000 | PA      | $8333029.26     | 0.00%             | 2037-07-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-SD3                                                             | GSAMP TRUST GSAMP 2006 SD3 A 144A                          | CUSIP: 36244RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       389818 | PA      | $368982.23      | 0.00%             | 2046-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2224 FN 07/27 FIXED VAR                        | CUSIP: 3138EJPJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          885 | PA      | $880.19         | 0.00%             | 2027-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4024                                                          | FREDDIE MAC FHR 4024 IO                                    | CUSIP: 3137ANKV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       183231 | PA      | $1662.38        | 0.00%             | 2027-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7557 FN 11/52 FIXED 5.5                        | CUSIP: 3140MMMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9708078 | PA      | $9791761.08     | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9966 FN 09/47 FIXED 4                          | CUSIP: 3140H0CC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       805952 | PA      | $772316.00      | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 397362 FN 04/27 FLOATING VAR                     | CUSIP: 31378FMK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6330 | PA      | $6275.94        | 0.00%             | 2027-04-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260721                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-234153.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BU4946 FN 09/54 FIXED 5.5                        | CUSIP: 3140M6P80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47636 | PA      | $47914.87       | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $28324066.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08622 FG 01/45 FIXED 3                  | CUSIP: 3128MJVQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11364 | PA      | $10335.76       | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08750 FG 03/47 FIXED 3                  | CUSIP: 3128MJZQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57657432 | PA      | $52031053.52    | 0.02%             | 2047-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM5                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM5 A1 144A      | CUSIP: 36273GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24919697 | PA      | $24804416.24    | 0.01%             | 2065-07-25      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF0282 FN 09/55 FIXED 5                          | CUSIP: 3140BQJ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1229232 | PA      | $1215449.00     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-447318.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-967845.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L                | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       535251 | PA      | $372901.05      | 0.00%             | 2036-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 2A4                 | CUSIP: 466247E90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       125248 | PA      | $85547.16       | 0.00%             | 2036-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1G2321 FH 12/37 FLOATING VAR             | CUSIP: 3128QSSJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1254 | PA      | $1302.99        | 0.00%             | 2037-12-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0161 FN 02/48 FIXED 3.5                        | CUSIP: 3140HDFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       503600 | PA      | $471822.10      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2004-9                                    | STRUCTURED ASSET INVESTMENT LO SAIL 2004 9 M3              | CUSIP: 86358EMV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2171074 | PA      | $2155247.88     | 0.00%             | 2034-10-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR1323 FN 02/51 FIXED 2.5                        | CUSIP: 3140KYPH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6910784 | PA      | $5862709.57     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GREENE KING FINANCE PLC                                                          | GREENE KING FINANCE PLC SECURED 12/34 VAR                  | CUSIP: B06FKZII2<br>LEI: 213800QIJMYMW6TSBG41 | Long             | DBT              | CORP              | GB        |       427000 | PA      | $529609.59      | 0.00%             | 2034-12-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-193373.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD7853 FN 06/30 FIXED 4.5                        | CUSIP: 31418VWP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       196974 | PA      | $197418.81      | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY6                                                  | COUNTRYWIDE HOME LOANS CWHL 2007 HY6 2A1                   | CUSIP: 17025MAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9054036 | PA      | $8241103.54     | 0.00%             | 2037-11-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE4                                           | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE4 M6           | CUSIP: 04541GRQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4131246 | PA      | $4102392.20     | 0.00%             | 2035-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                          | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 M1B 144A        | CUSIP: 288547AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35744000 | PA      | $33054121.02    | 0.01%             | 2037-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-32CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 32CB A14         | CUSIP: 02147XAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3854463 | PA      | $1584846.68     | 0.00%             | 2036-11-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                                    | EGYPT TREASURY BILL BILLS 10/26 0.00000                    | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |      7350000 | PA      | $118183.63      | 0.00%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/20/23-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-23028806.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK9045 FN 04/27 FIXED 3                          | CUSIP: 3138EEBP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41902 | PA      | $41629.07       | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                                    | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 15A A1R 144A         | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     41188269 | PA      | $41257462.99    | 0.02%             | 2032-10-23      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7770 FN 08/46 FIXED 4.5                        | CUSIP: 3138WHT44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       231558 | PA      | $228597.06      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1           | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8567701 | PA      | $6108135.82     | 0.00%             | 2046-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BE8137 G2 02/48 FIXED 4                       | CUSIP: 3617G3BE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       489088 | PA      | $460790.25      | 0.00%             | 2048-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4          | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1930120 | PA      | $1844668.93     | 0.00%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2005-2                                                | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 2 M6              | CUSIP: 83611MEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       502095 | PA      | $501832.95      | 0.00%             | 2035-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.95000 06/12/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2103015.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-34A                                               | STRUCTURED ASSET SECURITIES CO SASC 2003 34A 2A2           | CUSIP: 86359A4W0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       407696 | PA      | $398202.40      | 0.00%             | 2033-11-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1439345.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6216 FR 01/53 FIXED 6                  | CUSIP: 3133BT3Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       235617 | PA      | $241193.96      | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3590 FN 02/39 FIXED 4                          | CUSIP: 31418C7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       356074 | PA      | $348362.85      | 0.00%             | 2039-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A1              | CUSIP: 86360WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29956054 | PA      | $17466752.22    | 0.01%             | 2036-07-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2006-3                                             | MORGAN STANLEY HOME EQUITY LOA MSHEL 2006 3 A4             | CUSIP: 61749GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9540073 | PA      | $6584804.40     | 0.00%             | 2036-04-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A B 144A         | CUSIP: 210928AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30254741 | PA      | $31173958.80    | 0.01%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.725 03/18/26-01/02/31 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $31141.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W1                                                    | ARGENT SECURITIES INC. ARSI 2006 W1 A2C                    | CUSIP: 040104RF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13390403 | PA      | $12580824.93    | 0.01%             | 2036-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 11 2A2                    | CUSIP: 36242DFT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3890 | PA      | $3809.87        | 0.00%             | 2034-09-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-HE3                                              | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 HE3 A5           | CUSIP: 46629VAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3429301 | PA      | $3189729.76     | 0.00%             | 2036-11-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA3607 FR 09/50 FIXED 3                  | CUSIP: 3133KKAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14962 | PA      | $13400.50       | 0.00%             | 2050-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                                               | RCKT TRUST RCKTL 2025 1A A 144A                            | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4568331 | PA      | $4578346.21     | 0.00%             | 2034-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-ALT1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 ALT1 A3            | CUSIP: 92978GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7727541 | PA      | $2617686.88     | 0.00%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC4781 FN 01/55 FIXED 5                          | CUSIP: 3140ASJ33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1277691 | PA      | $1261697.47     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 743205 FN 10/33 FLOATING VAR                     | CUSIP: 31403AU60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          293 | PA      | $300.17         | 0.00%             | 2033-10-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN8869 FN 05/49 FIXED 3.5                        | CUSIP: 3140JR2B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2309782 | PA      | $2160704.20     | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-13                                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 13 6A1             | CUSIP: 61756HBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6349406 | PA      | $3287538.41     | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW0985 FN 05/44 FIXED 4                          | CUSIP: 3138XQCX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29860 | PA      | $28836.80       | 0.00%             | 2044-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4758 FN 10/46 FIXED 3.5                        | CUSIP: 3140F0JC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        89397 | PA      | $83585.83       | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                          | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 C 144A        | CUSIP: 69544PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5434873 | PA      | $5437537.88     | 0.00%             | 2032-04-15      | Fixed         | 5.82%                 | No            |                  3 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 1A A 144A        | CUSIP: ACI2TS750<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    112155256 | PA      | $129535973.31   | 0.06%             | 2034-10-15      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK2375 FN 04/50 FIXED 4                          | CUSIP: 3140HFT90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94377 | PA      | $90179.18       | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                                       | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A                  | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     72500000 | PA      | $72574450.98    | 0.03%             | 2034-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9578 FN 06/45 FIXED VAR                        | CUSIP: 3138ERUC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15458 | PA      | $14928.06       | 0.00%             | 2045-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 2A4              | CUSIP: 12669WAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38313327 | PA      | $36477715.99    | 0.02%             | 2037-11-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2025-1A                                                         | FIRST HELP FINANCIAL LLC FHF 2025 1A A2 144A               | CUSIP: 30340RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     29187342 | PA      | $29185734.22    | 0.01%             | 2031-02-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A2 144A         | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1964611 | PA      | $1969050.97     | 0.00%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3427 FN 09/31 FIXED VAR                        | CUSIP: 3140J7YZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3947 | PA      | $3836.39        | 0.00%             | 2031-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL1 X 144A          | CUSIP: 52472WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3273069 | PA      | $2263709.30     | 0.00%             | 2070-01-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-4                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 4 A3              | CUSIP: 05950FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13896 | PA      | $10317.37       | 0.00%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF9453 FN 01/56 FIXED 5                          | CUSIP: 3140U1QF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3143269 | PA      | $3105375.11     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-10                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2024 10 A11 144A            | CUSIP: 46658LAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38574248 | PA      | $38674402.03    | 0.02%             | 2055-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SDX0 PIMCO FXVAN CALL USD TRY 49.65000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -97700000 | NC      | $-334524.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A5            | CUSIP: 86358BAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1600835 | PA      | $1555092.84     | 0.00%             | 2037-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2021-R6                                                                | CIM TRUST CIM 2021 R6 B1 144A                              | CUSIP: 12567RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5661000 | PA      | $5583036.71     | 0.00%             | 2061-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC7                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC7 1A2           | CUSIP: 86358ECT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       511773 | PA      | $503290.19      | 0.00%             | 2033-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3            | CUSIP: 74923GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1758665 | PA      | $1573832.10     | 0.00%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUUNDING TRUST 2006-AR4                                          | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR4 A4A           | CUSIP: 39539FAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4468118 | PA      | $3702845.63     | 0.00%             | 2046-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-557906.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY6182 FN 03/45 FIXED 4                          | CUSIP: 3138YK2Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       359128 | PA      | $345627.71      | 0.00%             | 2045-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY1670 FN 02/45 FIXED 3.5                        | CUSIP: 3138YE2C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2399 | PA      | $2254.30        | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1069010000 | PA      | $1054429793.99  | 0.47%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM5                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM5 A2B           | CUSIP: 59023FAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19881792 | PA      | $2821196.45     | 0.00%             | 2037-10-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.90 05/18/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $565770378.17   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F070658<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    692000000 | PA      | $728077240.08   | 0.32%             | 2054-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8700 FN 01/47 FIXED 4.5                        | CUSIP: 3138WJU22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3714 | PA      | $3662.82        | 0.00%             | 2047-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                               | ALTICE FRANCE SA 2025 TERM LOAN B12                        | CUSIP: BA000QFP8<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |     35339875 | PA      | $35240570.09    | 0.02%             | 2028-10-30      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ8928 FR 11/54 FIXED 5.5                | CUSIP: 3133D04M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       132131 | PA      | $132966.87      | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2B           | CUSIP: 17310VAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2959807 | PA      | $2070021.94     | 0.00%             | 2036-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX9880 FR 04/55 FIXED 6.5                | CUSIP: 31426G6S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       737119 | PA      | $762727.32      | 0.00%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4730 FR 08/47 FIXED 3.5                | CUSIP: 3132A5HF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       217034 | PA      | $202744.68      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-ASAP3                     | ACE SECURITIES CORP. ACE 2006 ASP3 A1                      | CUSIP: 00442VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8550122 | PA      | $8341298.02     | 0.00%             | 2036-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J1 1A6           | CUSIP: 12668BKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       132558 | PA      | $87482.89       | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7599 FN 10/46 FIXED 4                          | CUSIP: 3140FFNR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        14469 | PA      | $13849.94       | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A D                              | CUSIP: ACI2P7XN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     14131000 | PA      | $18842827.14    | 0.01%             | 2062-11-16      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A E 144A                          | CUSIP: ACI2M19Z8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     37025000 | PA      | $49456821.94    | 0.02%             | 2035-06-21      | Floating      | 9.23%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR19 A8           | CUSIP: 929227ZU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84282 | PA      | $83266.78       | 0.00%             | 2033-02-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 05/28 6.8            | CUSIP: 345397C92<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     26077000 | PA      | $26868182.44    | 0.01%             | 2028-05-12      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q44066 FG 11/46 FIXED 3                  | CUSIP: 3132WHQU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7545336 | PA      | $6812936.18     | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 6A2                 | CUSIP: 466247ZC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9119 | PA      | $7061.16        | 0.00%             | 2035-11-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $2183916.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $986743.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3614 FN 03/49 FIXED 3.5                        | CUSIP: 31418DAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2382 | PA      | $2211.87        | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9455 FN 04/47 FIXED 4                          | CUSIP: 3138WKQH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       429248 | PA      | $411425.65      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A1           | CUSIP: 45660LVL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1140920 | PA      | $929632.45      | 0.00%             | 2035-09-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2003-1                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2003 1 A1              | CUSIP: 05946XBV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12038 | PA      | $11919.13       | 0.00%             | 2033-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS3393 FN 10/52 FIXED VAR                        | CUSIP: 3140XJXX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77550 | PA      | $73427.86       | 0.00%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.25622 04/03/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-36982999.56   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $37353883.05    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC5134 FN 10/54 FIXED 5                          | CUSIP: 3140ASV47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2028220 | PA      | $2009700.82     | 0.00%             | 2054-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL1798 FN 10/39 FIXED VAR                        | CUSIP: 3138EH7L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5743 | PA      | $6091.68        | 0.00%             | 2039-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.20000 10/18/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2439666.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A BV 144A       | CUSIP: 03332AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1911576.00     | 0.00%             | 2038-04-25      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D D 144A           | CUSIP: 78450PAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18543000 | PA      | $19878743.15    | 0.01%             | 2053-09-15      | Fixed         | 8.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA3021 FR 01/56 FIXED 5                  | CUSIP: 3142JRLB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1005401 | PA      | $992467.04      | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC4 TRUST                                                            | PRKCM TRUST PRKCM 2023 AFC4 A1 144A                        | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11962169 | PA      | $12068657.82    | 0.01%             | 2058-11-25      | Fixed         | 7.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1103 FN 10/47 FIXED 4                          | CUSIP: 3140H2GM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       361038 | PA      | $347654.53      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G07661 FG 08/43 FIXED 3                  | CUSIP: 3128M9Z21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        35581 | PA      | $32625.38       | 0.00%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-3708140.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT8117 FN 06/43 FIXED 4                          | CUSIP: 3138WWAT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18160 | PA      | $17470.25       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A3         | CUSIP: 92922F4P0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       411012 | PA      | $405012.93      | 0.00%             | 2045-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI8825 FR 07/54 FIXED 5                  | CUSIP: 3133WFYW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       606815 | PA      | $599406.71      | 0.00%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR 2007-5AX                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 5AX 2A2            | CUSIP: 61751GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3264789 | PA      | $617538.12      | 0.00%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-1762130.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                               | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A          | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     19700000 | PA      | $19706334.73    | 0.01%             | 2035-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 1 23A1                 | CUSIP: 07386HC58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       510723 | PA      | $483061.62      | 0.00%             | 2036-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 3 B              | CUSIP: 80285XAD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19162953 | PA      | $19199883.96    | 0.01%             | 2028-07-17      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 5A                                                  | ALESCO PREFERRED FUNDING LTD ALESC 5A COM1 144A            | CUSIP: 01448VAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3248199 | PA      | $2774806.24     | 0.00%             | 2034-12-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-5                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 5 1A1            | CUSIP: 07386YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       666347 | PA      | $591738.76      | 0.00%             | 2047-08-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005-9                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 9 2A1             | CUSIP: 2254585R5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2268232 | PA      | $798334.06      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2841 FN 12/36 FIXED 2.5                        | CUSIP: 31418CEP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13687 | PA      | $12762.35       | 0.00%             | 2036-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6396 FN 12/55 FIXED 5                          | CUSIP: 3140BXDA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4925509 | PA      | $4864970.45     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-HE3                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE3 A2C           | CUSIP: 17310VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6005210 | PA      | $4202687.37     | 0.00%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                                  | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                   | CUSIP: 73110JAC6<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |     16100000 | PA      | $16876020.00    | 0.01%             | 2028-01-07      | Floating      | 14.13%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 2A4            | CUSIP: 12669QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6269908 | PA      | $6182689.74     | 0.00%             | 2037-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)                  | IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/26 3.5        | CUSIP: 45262BAB9<br>LEI: 2138008L3B3MCG1DFS50 | Long             | DBT              | CORP              | GB        |       906000 | PA      | $903413.38      | 0.00%             | 2026-07-26      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2960 FN 04/47 FIXED 4                          | CUSIP: 31418CJE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       563485 | PA      | $540322.38      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A10                                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A10 A6            | CUSIP: 76113LAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3197979 | PA      | $906486.88      | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1318.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-44087.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY4083 FN 06/53 FIXED 5.5                        | CUSIP: 3140NLRD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       720532 | PA      | $729045.00      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL9612 FN 11/43 FIXED VAR                        | CUSIP: 3138ERVE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20090 | PA      | $18956.99       | 0.00%             | 2043-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BC3024 GN 02/48 FIXED 3.5                        | CUSIP: 3617B6LD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48308 | PA      | $45414.26       | 0.00%             | 2048-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.6* 09/24/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $19833779.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2006-5                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 5 4A1             | CUSIP: 86360NAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2215657 | PA      | $1267157.12     | 0.00%             | 2036-06-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-1002380.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08774 FG 08/47 FIXED 3.5                | CUSIP: 3128MJ2G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2879 | PA      | $2692.56        | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX5614 FN 01/53 FIXED 5.5                        | CUSIP: 3140NAGY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1658268 | PA      | $1673113.33     | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 2CB A7           | CUSIP: 12668BLG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1787362 | PA      | $780870.64      | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9446 FN 03/53 FIXED 6                          | CUSIP: 3140NEP82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4455456 | PA      | $4567713.84     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                                            | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1            | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9591150 | PA      | $9545006.39     | 0.00%             | 2035-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ4051 FN 10/41 FIXED 4                          | CUSIP: 3138AVQD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1633 | PA      | $1578.03        | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $2219778.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-RPL1                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 RPL1 SA 144A      | CUSIP: 61781WAR7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       817267 | PA      | $761584.06      | 0.00%             | 2065-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR7                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR7 2A1           | CUSIP: 86364KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20838933 | PA      | $16763225.05    | 0.01%             | 2047-05-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.07585 03/13/26-20Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $923531.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERNET BRANDS INC (MH SUB I LLC)                                               | MH SUB I LLC 2024 TERM LOAN B4                             | CUSIP: 45567YAP0<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |      1117481 | PA      | $750109.38      | 0.00%             | 2031-12-31      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM1382 FN 03/31 FIXED VAR                        | CUSIP: 3140J5RC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          322 | PA      | $321.03         | 0.00%             | 2031-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260423                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |            1 | NC      | $-214892.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2007-1                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2007 1 A2              | CUSIP: 9497EVAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       220052 | PA      | $219143.57      | 0.00%             | 2037-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.7547* 03/13/26-10Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1594076.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q56606 FG 06/48 FIXED 3.5                | CUSIP: 3132Y0KU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65231 | PA      | $60634.42       | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 1A1             | CUSIP: 05951VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       591322 | PA      | $585595.00      | 0.00%             | 2036-12-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY0201 FN 01/45 FIXED 4                          | CUSIP: 3138YDGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4845 | PA      | $4661.47        | 0.00%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-18N                                                         | LEHMAN XS TRUST LXS 2006 18N A4                            | CUSIP: 52522GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2285805 | PA      | $1898033.88     | 0.00%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.47000 09/04/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1441626.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A              | CUSIP: ACI0Y9KH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     23010000 | PA      | $30294355.39    | 0.01%             | 2049-12-21      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 11/40 12.75                     | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 500000000000 | PA      | $132524873.08   | 0.06%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7189 FN 05/46 FIXED 4                          | CUSIP: 3138WG7B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        16001 | PA      | $15252.96       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM2 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM2 A1 144A      | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13800715 | PA      | $13932486.83    | 0.01%             | 2069-06-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-F                                              | MLCC MORTGAGE INVESTORS INC MLCC 2003 F A2                 | CUSIP: 5899292N7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4205 | PA      | $4168.08        | 0.00%             | 2028-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0255 G2 03/55 FIXED 3.5                     | CUSIP: 3618N5H93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |            1 | PA      | $1.28           | 0.00%             | 2055-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/27 0.375                                | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     23576581 | PA      | $23624493.28    | 0.01%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3087 FN 08/47 FIXED 3.5                        | CUSIP: 31418CND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1544511 | PA      | $1435032.08     | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20261026                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $182326.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-132902.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2024-A                                       | PENFED AUTO RECEIVABLES OWNER PNFED 2024 A A3 144A         | CUSIP: 70687FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25035404 | PA      | $25110104.46    | 0.01%             | 2029-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-6                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 6 A2              | CUSIP: 059526AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9440662 | PA      | $9057534.41     | 0.00%             | 2037-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q54462 FG 02/48 FIXED 4                  | CUSIP: 3132XW5Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3481623 | PA      | $3335059.41     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8169 FN 08/47 FIXED 3.5                        | CUSIP: 3140GXCF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9602 | PA      | $8911.05        | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO120626                                 | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 140972814000 | PA      | $97936407.48    | 0.04%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725236 FN 03/34 FIXED VAR                        | CUSIP: 31402CV58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          496 | PA      | $492.54         | 0.00%             | 2034-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A2A          | CUSIP: 92922FZF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       521551 | PA      | $516417.43      | 0.00%             | 2044-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.46000 04/01/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-2669228.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $212842.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE8995 FN 10/55 FIXED 5                          | CUSIP: 3140BM7H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7700962 | PA      | $7601539.61     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4942 FN 03/53 FIXED 6                          | CUSIP: 31418EP46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1830255 | PA      | $1879777.67     | 0.00%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                            | MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 3B 144A          | CUSIP: 61759FAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10484522 | PA      | $5239269.93     | 0.00%             | 2047-08-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 H 7A1             | CUSIP: 05946XJ79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2188247 | PA      | $1945961.00     | 0.00%             | 2035-11-20      | Variable      | 4.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ7124 FR 11/55 FIXED 5                  | CUSIP: 31427G4J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7948293 | PA      | $7848705.63     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8571 FN 12/46 FIXED 3.5                        | CUSIP: 3138WJQZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26946 | PA      | $25189.20       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4420 FN 10/49 FIXED 3                          | CUSIP: 3140QB4E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     46561669 | PA      | $41747293.77    | 0.02%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 16 A1                     | CUSIP: 12544MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10621727 | PA      | $4261959.43     | 0.00%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0805 FN 07/45 FIXED 3.5                        | CUSIP: 3138YR3P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       265911 | PA      | $249836.84      | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ6169 FN 01/48 FIXED 4                          | CUSIP: 3140H72B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17033 | PA      | $16288.99       | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2004-OPT1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 OPT1 M5           | CUSIP: 17307GJM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       499111 | PA      | $443263.08      | 0.00%             | 2034-10-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1                  | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26051 | PA      | $24831.68       | 0.00%             | 2034-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | VERIZON COMMUNICATIONS INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $57752.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 4A1                    | CUSIP: 12669GUR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       773535 | PA      | $740954.97      | 0.00%             | 2035-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5841 FN 04/48 FIXED 3.5                        | CUSIP: 3140H7P35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       559884 | PA      | $518992.70      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.12 SP SAL                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $407030.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES2                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES2 A1A 144A          | CUSIP: 89182JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13844070 | PA      | $13910578.45    | 0.01%             | 2064-02-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY STRUCTURED TRUST 2007-1                                           | MORGAN STANLEY STRUCTURED TRUS MSST 2007 1 A4              | CUSIP: 61755FAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40033973 | PA      | $37268209.66    | 0.02%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2023-4                                                   | CARMAX AUTO OWNER TRUST CARMX 2023 4 A3                    | CUSIP: 14318XAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5231882 | PA      | $5284714.99     | 0.00%             | 2028-07-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                              | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A                | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6452080 | PA      | $6286278.91     | 0.00%             | 2037-09-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP MEI                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $5.38           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR8                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR8 A4A           | CUSIP: 456618AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       997364 | PA      | $905837.54      | 0.00%             | 2046-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ AUTO RECEIVABLES TRUST 2023-2                                      | MERCEDES BENZ AUTO RECEIVABLES MBART 2023 2 A3             | CUSIP: 58769FAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9767464 | PA      | $9869038.51     | 0.00%             | 2028-11-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q37294 FG 11/45 FIXED 3                  | CUSIP: 3132QUC84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        65473 | PA      | $59575.99       | 0.00%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A5          | CUSIP: 12667GLF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       872194 | PA      | $645330.44      | 0.00%             | 2035-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM4                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM4 A2C           | CUSIP: 81377XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6966027 | PA      | $1821955.31     | 0.00%             | 2036-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                                   | ARGENT SECURITIES INC. ARSI 2006 W3 A2C                    | CUSIP: 040104SR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6399400 | PA      | $1950793.22     | 0.00%             | 2036-04-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA7420 G2 06/51 FIXED 3.5                     | CUSIP: 36179WG51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27826 | PA      | $25967.96       | 0.00%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 11.715 03/24/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-3351777.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                                     | ACE SECURITIES CORP. ACE 2006 NC3 A1A                      | CUSIP: 00442EAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31393524 | PA      | $16618607.63    | 0.01%             | 2036-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 06/54 2.2                      | CUSIP: ACI2PXFN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   4413000000 | PA      | $20704576.42    | 0.01%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP3 X 144A        | CUSIP: 17329HAQ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    788476921 | PA      | $38296324.04    | 0.02%             | 2060-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ7706 FR 11/55 FIXED 5                  | CUSIP: 31427HR46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11989139 | PA      | $11834774.83    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE1                                             | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M2              | CUSIP: 65536HCT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2005285 | PA      | $1832764.21     | 0.00%             | 2036-02-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-3 TRUST                                          | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 3 A 144A          | CUSIP: 83390JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41055443 | PA      | $41066954.86    | 0.02%             | 2034-08-15      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 B 144A         | CUSIP: 69544MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10568651 | PA      | $10613840.64    | 0.00%             | 2032-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL REVOLVING LN 2005-E                                            | BAYVIEW FINANCIAL REVOLVING MO BAYRT 2005 E A2A 144A       | CUSIP: 073250CB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       531574 | PA      | $530864.54      | 0.00%             | 2040-12-28      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75          | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     37536230 | PA      | $54189197.33    | 0.02%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY7405 FN 08/53 FIXED 6.5                        | CUSIP: 3140NQGP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       406864 | PA      | $422621.59      | 0.00%             | 2053-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0133 FN 08/47 FIXED 4                          | CUSIP: 3140Q7EF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1991228 | PA      | $1908752.62     | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 6 B2                   | CUSIP: 07386HKH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3609166 | PA      | $3507888.23     | 0.00%             | 2034-07-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7802 FN 08/46 FIXED 3.5                        | CUSIP: 3138WHU42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58072 | PA      | $54426.61       | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CGMS-2021-9A                                                                     | CARLYLE GLOBAL MARKET STRATEGI CGMS 2021 9A AR 144A        | CUSIP: 14317KAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6500000 | PA      | $6500260.00     | 0.00%             | 2034-10-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| NLT 2023-1 TRUST                                                                 | NMLT TRUST NLT 2023 1 A1 144A                              | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12711292 | PA      | $11739470.67    | 0.01%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                             | WSTN TRUST WSTN 2023 MAUI A 144A                           | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     66300000 | PA      | $67017916.29    | 0.03%             | 2037-07-05      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3828 FN 11/34 FIXED 3                          | CUSIP: 31418DHE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       299250 | PA      | $288459.02      | 0.00%             | 2034-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NRPLM 2024-RPL2                                                                  | NRPLM TRUST SERIES NRPLM 2024 RPL2 CERT 144A               | CUSIP: 669978AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6525422 | PA      | $5132895.81     | 0.00%             | 2063-09-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750SD28 PIMCO FXVAN CALL USD TRY 49.51000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -195400000 | NC      | $-508235.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUNDING TR 2007-AR                                             | BEAR STEARNS MORTGAGE FUNDING BSMF 2007 AR5 2A1            | CUSIP: 07400NAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6236925 | PA      | $5940102.95     | 0.00%             | 2037-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2290                                                                 | FREDDIE MAC FHR 2290 ZD                                    | CUSIP: 3133TRE68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        88368 | PA      | $89921.86       | 0.00%             | 2031-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ9769 FR 12/54 FIXED 5                  | CUSIP: 3133D12A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       246536 | PA      | $243814.77      | 0.00%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.00000 12/21/22-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $12467677.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 12/20/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-14032754.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $7821.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LMNT CRE 2025-FL3 LLC                                                            | LFT CRE 2021 FL1, LLC LMNT 2025 FL3 A 144A                 | CUSIP: 50208TAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    136000000 | PA      | $136082241.92   | 0.06%             | 2043-07-21      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2024-1                                         | JP MORGAN SEASONED MORTGAGE TR JPSMT 2024 1 A3 144A        | CUSIP: 61777HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4147479 | PA      | $3985627.37     | 0.00%             | 2063-01-25      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2006-BC3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC3 M2             | CUSIP: 23242HAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9200000 | PA      | $8937809.20     | 0.00%             | 2037-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 19 1AA PTT PASS THRU CE 08/33 3.15            | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1213963 | PA      | $1133042.85     | 0.00%             | 2033-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60958 FG 09/46 FIXED 3                  | CUSIP: 31335BB39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       805571 | PA      | $730630.28      | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5018 FN 05/45 FIXED 4                          | CUSIP: 3138WESG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1161352 | PA      | $1118535.48     | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-4                                                              | IMPAC CMB TRUST IMM 2004 4 2A1                             | CUSIP: 45254NJB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1022496 | PA      | $1047021.07     | 0.00%             | 2034-09-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX6634 FN 01/53 FIXED 6                          | CUSIP: 3140NBLQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1071969 | PA      | $1094606.57     | 0.00%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A B 144A         | CUSIP: 210927AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30393903 | PA      | $31327342.23    | 0.01%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                           | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 4A1A          | CUSIP: 41161PZC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8099894 | PA      | $3006901.12     | 0.00%             | 2036-01-19      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-100605.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A          | CUSIP: 126680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4273573 | PA      | $3994025.57     | 0.00%             | 2047-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-3                             | BRIDGECREST LENDING AUTO SECUR BLAST 2024 3 A3             | CUSIP: 10805NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1143943 | PA      | $1144383.04     | 0.00%             | 2028-04-17      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3895 FN 12/55 FIXED 5                          | CUSIP: 3140BGKH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       442822 | PA      | $437118.39      | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2687077.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G60187 FG 08/45 FIXED 3                  | CUSIP: 31335AF45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        81317 | PA      | $73915.71       | 0.00%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.46400 08/02/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $2134002.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A Z 144A                         | CUSIP: ACI2P7X44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     33885000 | PA      | $36072611.19    | 0.02%             | 2062-11-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-26076.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2021-2A                                                       | WIND RIVER CLO LTD WINDR 2021 2A A1R 144A                  | CUSIP: 97315VAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     94550000 | PA      | $94613587.71    | 0.04%             | 2034-07-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 6 LTD 2026-6A                                                       | NAVESINK CLO, LIMITED NAVS 2026 6A A1 144A                 | CUSIP: 63944AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    142300000 | PA      | $142300000.00   | 0.06%             | 2037-04-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3721 FN 06/55 FIXED 5                          | CUSIP: 3140BGD34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1393527 | PA      | $1396348.93     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.0658* 03/13/26-20Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $452614.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260921                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $2715661.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 617470 FN 12/31 FIXED 6.5                        | CUSIP: 31388W6F8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          292 | PA      | $302.04         | 0.00%             | 2031-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2024-RCF4                                                       | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF4 A1 144A      | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       622452 | PA      | $612789.45      | 0.00%             | 2054-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR9                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR9 2A            | CUSIP: 17310RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2228402 | PA      | $1980511.66     | 0.00%             | 2036-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-108859.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TR 2005-4                                               | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 4 7M1             | CUSIP: 007036KR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1729074 | PA      | $1581024.41     | 0.00%             | 2035-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $23260.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-3CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 3CB 1A7          | CUSIP: 12667FX59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5409648 | PA      | $4771261.57     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-18A                                              | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 18A A1R 144A         | CUSIP: 04943EAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     97600000 | PA      | $97478006.83    | 0.04%             | 2035-01-18      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-31                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 31 4A3                    | CUSIP: 126694UU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1260754 | PA      | $1208872.81     | 0.00%             | 2036-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.15000 04/22/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2851357.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC0311 FN 03/46 FIXED 4.5                        | CUSIP: 3140EUKZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3869 | PA      | $3821.59        | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/0.75000 09/21/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $156778584.62   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 1A1           | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1037713 | PA      | $927782.66      | 0.00%             | 2037-06-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL 489310 GN 09/28 FIXED 6.1                        | CUSIP: 36210DR78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4180 | PA      | $4215.84        | 0.00%             | 2028-09-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-11CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 11CB 3A1         | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2517734 | PA      | $1109613.84     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY9780 FN 06/45 FIXED 3.5                        | CUSIP: 3138YP2N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8926 | PA      | $8376.26        | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8009 FN 10/31 FIXED 2.5                        | CUSIP: 3138WH3T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       224769 | PA      | $216937.01      | 0.00%             | 2031-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE0949 FN 02/41 FIXED VAR                        | CUSIP: 31419BBT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12634 | PA      | $12121.28       | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-AR1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 AR1 M2            | CUSIP: 59020UG33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2606975 | PA      | $2164990.97     | 0.00%             | 2036-06-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A Z 144A                       | CUSIP: ACI2NGCK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     63499000 | PA      | $18596006.75    | 0.01%             | 2058-06-28      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-RPL2                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 RPL2 PT 144A      | CUSIP: 617957AT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    202531057 | PA      | $182380290.04   | 0.08%             | 2065-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C4                               | JPMDB COMMERCIAL MORTGAGE SECU JPMDB 2016 C4 XA            | CUSIP: 46646RAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146959873 | PA      | $163257.72      | 0.00%             | 2049-12-15      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AGLN                                  | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AGLN A 144A       | CUSIP: 94990HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48500000 | PA      | $48457271.50    | 0.02%             | 2037-07-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZJ0481 FR 09/40 FIXED 4                  | CUSIP: 3131WQRA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       180067 | PA      | $174011.27      | 0.00%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A1          | CUSIP: 12668AUQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5290848 | PA      | $2558843.96     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-9                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 9 A1             | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       733351 | PA      | $710752.34      | 0.00%             | 2035-10-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH8945 FN 08/47 FIXED 3.5                        | CUSIP: 3140GX5F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       465843 | PA      | $435038.79      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1027 FN 03/48 FIXED 3.5                        | CUSIP: 3140HED90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       414516 | PA      | $388046.70      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 7 1A               | CUSIP: 232422AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16696388 | PA      | $15845959.11    | 0.01%             | 2046-04-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                                | CIM TRUST CIM 2024 R1 A2 144A                              | CUSIP: 17179VAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25748000 | PA      | $24739044.02    | 0.01%             | 2064-06-25      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 624885 FN 01/32 FIXED 6.5                        | CUSIP: 31389GF21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2442 | PA      | $2525.28        | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA9                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA9 A1            | CUSIP: 75115VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1647731 | PA      | $820205.71      | 0.00%             | 2036-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 01/28 VAR                                 | CUSIP: 25160PAH0<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      8850000 | PA      | $8713385.21     | 0.00%             | 2028-01-07      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260626                                 | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 286888976000 | PA      | $197858505.12   | 0.09%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORPORATION                                                              | CENTENE CORP SR UNSECURED 12/29 4.625                      | CUSIP: 15135BAT8<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |      6100000 | PA      | $5794618.14     | 0.00%             | 2029-12-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1190 FR 05/55 FIXED 5.5                | CUSIP: 31427NKC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4672490 | PA      | $4778183.89     | 0.00%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-4                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2024 4 A1 144A               | CUSIP: 034943AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26769937 | PA      | $26983122.07    | 0.01%             | 2069-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                              | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A1                | CUSIP: 61750FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40032605 | PA      | $17333165.34    | 0.01%             | 2036-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W3                                                    | ARGENT SECURITIES INC. ARSI 2005 W3 M2                     | CUSIP: 040104PD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25774000 | PA      | $23096524.71    | 0.01%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A B 144A                          | CUSIP: ACI2M1B10<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     96405195 | PA      | $127614465.14   | 0.06%             | 2035-06-21      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR7                                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR7 A1A          | CUSIP: 93935DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12471383 | PA      | $10597817.96    | 0.00%             | 2046-09-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2004-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2004 S2 6A1                 | CUSIP: 466247KA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1242512 | PA      | $790940.23      | 0.00%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC5981 FN 11/54 FIXED 5.5                        | CUSIP: 3140ATUF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       600377 | PA      | $603730.41      | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR4                                                          | BCAP LLC TRUST BCAP 2010 RR4 5A14 144A                     | CUSIP: 05532YAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6743973 | PA      | $4739168.43     | 0.00%             | 2037-05-26      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260410                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-981561.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF4911 FN 11/55 FIXED 5                          | CUSIP: 3140BVN55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2932174 | PA      | $2894059.06     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-3                                                | VERUS SECURITIZATION TRUST VERUS 2023 3 A1 144A            | CUSIP: 92539GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16170100 | PA      | $16129326.98    | 0.01%             | 2068-03-25      | Variable      | 5.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A2          | CUSIP: 23243AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6513385 | PA      | $6315104.31     | 0.00%             | 2046-09-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $6312.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-F3                                               | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 F3 2A1            | CUSIP: 45671BAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        89721 | PA      | $45411.85       | 0.00%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889312 FN 02/38 FIXED VAR                        | CUSIP: 31410KAM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44203 | PA      | $46253.79       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2304 G2 10/44 FIXED 4                       | CUSIP: 36179QRZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2885062 | PA      | $2772008.32     | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ2976 FR 09/54 FIXED 5.5                | CUSIP: 3142GTJW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1295439 | PA      | $1302813.84     | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF10                                            | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A5            | CUSIP: 32027NWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15397752 | PA      | $14627068.31    | 0.01%             | 2035-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QE0604 FR 04/52 FIXED 4                  | CUSIP: 3133B9U51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52436 | PA      | $49678.81       | 0.00%             | 2052-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0096 FN 06/29 FIXED 4.5                        | CUSIP: 31417YDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30866 | PA      | $30907.40       | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2006-19                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 19 M1              | CUSIP: 12667CAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17442809 | PA      | $21428851.78    | 0.01%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB8675 FN 07/54 FIXED 5                          | CUSIP: 3140AJT99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1748992 | PA      | $1730097.38     | 0.00%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-300371.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $20669165.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 1A4                 | CUSIP: 46628LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1226232 | PA      | $815410.95      | 0.00%             | 2036-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-262931.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA4042 FR 01/56 FIXED 5                  | CUSIP: 3142JSP41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9615117 | PA      | $9496937.58     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV2 B3 144A      | CUSIP: 36263MCF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4133116 | PA      | $3550503.75     | 0.00%             | 2052-03-25      | Variable      | 3.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB5                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB5 1A1                  | CUSIP: 12669GX97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4890909 | PA      | $4721898.18     | 0.00%             | 2035-09-20      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5959 FN 02/47 FIXED 4                          | CUSIP: 3140FRTR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12806 | PA      | $12265.96       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/2.7500 12/17/12-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |            1 | NC      | $213551.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | YI4360529 NIGERIA OMO BILL                                 | CUSIP: 990ACHUB3<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | US        | 384634800000 | PA      | $241016883.16   | 0.11%             | 2027-01-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 07/32 7.75               | CUSIP: 654922AC7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     22825000 | PA      | $23135751.88    | 0.01%             | 2032-07-17      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260409                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $1251403.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT3                                               | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT3 M2           | CUSIP: 40430HFP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16250000 | PA      | $14482918.13    | 0.01%             | 2036-02-25      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE7437 FN 08/55 FIXED 5                          | CUSIP: 3140BLHP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1211509 | PA      | $1201231.73     | 0.00%             | 2055-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WATR 2026-1                                                                      | WATR 2026 1 A 144A                                         | CUSIP: 990ADAAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89421000 | PA      | $89537181.13    | 0.04%             | 2051-04-19      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF9536 FN 01/56 FIXED 5                          | CUSIP: 3140U1S22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4284881 | PA      | $4232216.51     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY38 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1871822.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENT AUTO RECEIVABLES TRUST 2023-1A                                               | ENT AUTO RECEIVABLES TRUST ENT 2023 1A A3 144A             | CUSIP: 293601AE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5334040 | PA      | $5356350.87     | 0.00%             | 2029-01-16      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-382405.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                             | THAMES WATER SUPER SEN SR SECURED REGS 10/27 9.75          | CUSIP: ACI2VYD73<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     14899389 | PA      | $21509510.43    | 0.01%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260803                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $316992.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A D 144A         | CUSIP: 210927AE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     17731834 | PA      | $18368122.70    | 0.01%             | 2053-11-25      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A11         | CUSIP: 12667GKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2548980 | PA      | $1720148.31     | 0.00%             | 2035-06-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-4                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 D 2A2            | CUSIP: 05949ADG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59364 | PA      | $57209.36       | 0.00%             | 2034-05-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX0304 FR 11/54 FIXED 5                  | CUSIP: 31425UKS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73865 | PA      | $72934.61       | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0709 FN 09/47 FIXED 4                          | CUSIP: 3140Q7YF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4932114 | PA      | $4726295.05     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8816 FN 09/45 FIXED VAR                        | CUSIP: 3138ETYN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48661 | PA      | $48033.99       | 0.00%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AT7277 FN 09/43 FIXED 4                          | CUSIP: 3138WVCP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24260 | PA      | $23428.56       | 0.00%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                                   | ARGENT SECURITIES INC. ARSI 2006 W3 A2D                    | CUSIP: 040104SS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6363387 | PA      | $1938719.62     | 0.00%             | 2036-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW3782 FN 09/52 FIXED 4                          | CUSIP: 3140MVFY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       289847 | PA      | $274276.59      | 0.00%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN1106 FR 12/34 FIXED 3                  | CUSIP: 3133G7GP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8718 | PA      | $8397.38        | 0.00%             | 2034-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 22A1          | CUSIP: 07387AGC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        30892 | PA      | $29846.78       | 0.00%             | 2036-02-25      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 2A1           | CUSIP: 92925VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5334100 | PA      | $4992373.07     | 0.00%             | 2037-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                             | GSAMP TRUST GSAMP 2007 FM1 A2B                             | CUSIP: 3622MAAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       872995 | PA      | $431544.75      | 0.00%             | 2036-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-6295.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4776 FN 11/31 FIXED VAR                        | CUSIP: 3140J9JW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       129681 | PA      | $125641.17      | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.45000 11/01/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $4915822.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3726 FN 12/52 FIXED 5.5                        | CUSIP: 3140N8D88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4847864 | PA      | $4886487.98     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-12                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 12 2A1                    | CUSIP: 36242DKU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       353289 | PA      | $41882.71       | 0.00%             | 2034-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 12 M3              | CUSIP: 126670EM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3048881 | PA      | $3046596.88     | 0.00%             | 2036-02-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-316210.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3362 FN 03/33 FIXED 3                          | CUSIP: 3140HGWY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19224 | PA      | $18663.25       | 0.00%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD7147 FN 09/55 FIXED 5                          | CUSIP: 3140B75H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3049652 | PA      | $3010605.16     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD8731 FN 02/47 FIXED 4                          | CUSIP: 3140FGVZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       403171 | PA      | $386071.38      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8142 FN 10/46 FIXED 4                          | CUSIP: 3138WJBL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1190115 | PA      | $1143166.70     | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL3                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL3 SA 144A        | CUSIP: 12653JAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       164646 | PA      | $160438.35      | 0.00%             | 2058-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $3367865.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290503                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $1994294.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST 2004-4                                             | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 4 2A               | CUSIP: 61748HDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       202449 | PA      | $197906.96      | 0.00%             | 2034-09-25      | Variable      | 6.28%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/34 5.4               | CUSIP: 715638CZ3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     13380000 | PA      | $3653075.66     | 0.00%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA POOL BF0611 GN 03/48 FIXED 3.5                        | CUSIP: 3617G6VC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       318074 | PA      | $298837.58      | 0.00%             | 2048-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR7                                           | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR7 1A1           | CUSIP: 45670NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5503632 | PA      | $4533740.75     | 0.00%             | 2037-11-25      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.58000 08/29/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1417368.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3661 FN 05/39 FIXED 4                          | CUSIP: 31418DB76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9725 | PA      | $9509.98        | 0.00%             | 2039-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1036 FN 10/46 FIXED 3.5                        | CUSIP: 3140FLEJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       360611 | PA      | $337319.01      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJUSTABLE RATE MORTGAGE LOAN TRUST 2007-3                              | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 3 2A1            | CUSIP: 85554NAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1731698 | PA      | $1569253.50     | 0.00%             | 2037-06-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                                | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 2A1A                | CUSIP: 23333YAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19253073 | PA      | $16399271.14    | 0.01%             | 2037-03-19      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| MDPK-2021-39A                                                                    | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A             | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10200000 | PA      | $10213967.27    | 0.00%             | 2034-10-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2018-1 CLASS AA PASS THROUGH TRUST                               | BRITISH AIR 18 1 AA PTT PASS THRU CE 144A 03/33 3.8        | CUSIP: 11042TAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3188831 | PA      | $3116036.55     | 0.00%             | 2033-03-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.70 9/18/23-7Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $44537076.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5420 FN 07/54 FIXED 5.5                        | CUSIP: 31418FAW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       454710 | PA      | $457460.82      | 0.00%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-WMC1                                              | MASTR ASSET BACKED SECURITIES MABS 2005 WMC1 M5            | CUSIP: 57643LHA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2666144 | PA      | $2691663.74     | 0.00%             | 2035-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A7           | CUSIP: 12668BNA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       650786 | PA      | $275354.52      | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD AUTO SECURITIZATION TRUST II SERIES 2024-AA ASSET-BACKED NOTES              | FORD AUTO SECURITIZATION TRUST FASTR 2024 AA A2 144A       | CUSIP: 345214BJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     15979035 | PA      | $11598114.30    | 0.01%             | 2028-07-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1636 FN 11/47 FIXED 3.5                        | CUSIP: 3140H2ZA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       879537 | PA      | $819237.32      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 832684 FN 09/35 FIXED 6                          | CUSIP: 31407KCV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53590 | PA      | $55153.30       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-226226.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A2D           | CUSIP: 32029AAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10158229 | PA      | $9456452.25     | 0.00%             | 2037-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 07/39 6.75                       | CUSIP: ACI2W0SC9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    153300000 | PA      | $177209557.96   | 0.08%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CC1216 FN 10/55 FIXED 5.5                        | CUSIP: 3140Y7K64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     57877398 | PA      | $58996958.93    | 0.03%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP7517 FN 09/27 FIXED 3                          | CUSIP: 3138MBK70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12777 | PA      | $12658.10       | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOVASEP HOLDING                                                                  | BONDHOLDCO ALPHABET I SHARES                               | CUSIP: ACI01UNP7<br>LEI: 969500DPO357UZZQSS89 | Long             | EC               | CORP              | LU        |         8220 | NS      | $0.00           | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0924 FR 09/52 FIXED 5.5                | CUSIP: 3133BNAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1241753 | PA      | $1251698.63     | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BOBL FUTURE  JUN26 XEUR 20260608                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -10927 | NC      | $28619901.86    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2007-19                                          | COUNTRYWIDE HOME LOANS CWHL 2007 19 2A1                    | CUSIP: 12544PAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12576999 | PA      | $5968400.87     | 0.00%             | 2047-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AAA TRUST 2005-1A                                                                | AAA TRUST AAA 2005 1A 1A3B 144A                            | CUSIP: 31738PAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1076842 | PA      | $1024867.35     | 0.00%             | 2035-02-27      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 735691 FN 04/32 FLOATING VAR                     | CUSIP: 31402RKC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2716 | PA      | $2766.90        | 0.00%             | 2032-04-01      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| BECKETT MORTGAGES 2026-1 DAC 26-1A                                               | BECKETT MORTGAGES BECKS 2026 1A D 144A                     | CUSIP: ACI38PQ64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      7954000 | PA      | $9109694.79     | 0.00%             | 2071-07-20      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-6973071.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9652 FN 07/47 FIXED 3.5                        | CUSIP: 3140FVWN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1163971 | PA      | $1090871.13     | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXII LTD / PREFERRED TERM SECURITIES XXII INC          | PREFERRED TERM XXII SR SECURED 144A 09/36 VAR              | CUSIP: 74042MAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     27673937 | PA      | $26566979.73    | 0.01%             | 2036-09-22      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A A2 144A        | CUSIP: 21056EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     48568000 | PA      | $49944995.08    | 0.02%             | 2053-11-25      | Fixed         | 6.40%                 | No            |                  2 | On Loan: No      |
| PROGRESS RESIDENTIAL 2021-SFR9 TRUST                                             | PROGRESS RESIDENTIAL TRUST PROG 2021 SFR9 A 144A           | CUSIP: 74333QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6012354 | PA      | $5643535.60     | 0.00%             | 2040-11-17      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 3 DAC 3A                                                       | TORO EUROPEAN CLO TCLO 3A ARRE 144A                        | CUSIP: ACI37Y6D3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     17400000 | PA      | $20109531.26    | 0.01%             | 2034-07-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.8 SP UAG                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $63.53          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR1297 FN 02/51 FIXED 2.5                        | CUSIP: 3140KYNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5121646 | PA      | $4343843.06     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $3076.17        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A                             | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 3A AR 144A       | CUSIP: ACI2S2BG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     26442951 | PA      | $30596069.45    | 0.01%             | 2033-05-15      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2C               | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38267373 | PA      | $15477468.49    | 0.01%             | 2037-03-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $198808.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 14 1A              | CUSIP: 23243LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14551279 | PA      | $14024509.24    | 0.01%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2019-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2019 RPL1 A1 144A         | CUSIP: 52473MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81629038 | PA      | $79990016.73    | 0.04%             | 2058-04-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2005-RP3                                                             | RAAC SERIES RAAC 2005 RP3 M2 144A                          | CUSIP: 76112BP95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1035459 | PA      | $1077670.79     | 0.00%             | 2039-05-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE1851 FN 08/30 FIXED 4.5                        | CUSIP: 31419CBV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1554 | PA      | $1554.97        | 0.00%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB9957 FN 09/54 FIXED 5.5                        | CUSIP: 3140ALB36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       182069 | PA      | $183086.27      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-D                                                        | CENTEX HOME EQUITY CXHE 2004 D MF3                         | CUSIP: 152314LP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       767584 | PA      | $758930.01      | 0.00%             | 2034-09-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-J                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 J 1A1            | CUSIP: 05949CKM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        56089 | PA      | $53317.40       | 0.00%             | 2035-11-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2020-4 DAC 20-4A                                                    | OCP EURO CLO OCPE 2020 4A ARR 144A                         | CUSIP: ACI2YYN53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     22600000 | PA      | $26111058.18    | 0.01%             | 2039-10-20      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2006-6                                                   | HOME EQUITY ASSET TRUST HEAT 2006 6 2A3                    | CUSIP: 437097AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       152205 | PA      | $150655.88      | 0.00%             | 2036-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11                    | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA11 2A1         | CUSIP: 32051GH65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2337605 | PA      | $1114246.02     | 0.00%             | 2036-01-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7840 FN 02/47 FIXED 4                          | CUSIP: 3140FTWA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20932 | PA      | $20063.08       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-6                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 6 2A1                     | CUSIP: 12669GTE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10406 | PA      | $9132.36        | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 11/40 12.75                     | CUSIP: 958WVYII6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 508432300000 | PA      | $134759852.06   | 0.06%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA4382 G2 04/47 FIXED 3.5                     | CUSIP: 36179S2P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       180838 | PA      | $170131.83      | 0.00%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | INF SWAP GB NI 4.055 09/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-16218783.89   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005-5                                                  | FBR SECURITIZATION TRUST FBRSI 2005 5 M2                   | CUSIP: 30246QCQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       173849 | PA      | $172983.75      | 0.00%             | 2035-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                             | GSAMP TRUST GSAMP 2006 FM3 A2A                             | CUSIP: 36245TAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       863801 | PA      | $399266.21      | 0.00%             | 2036-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 2A1           | CUSIP: 74923HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       152653 | PA      | $26669.91       | 0.00%             | 2037-03-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR                   | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     11280000 | PA      | $11229548.17    | 0.00%             | 2028-03-13      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260408                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-1371400.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1                  | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37565 | PA      | $37546.21       | 0.00%             | 2035-02-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ1801 FN 10/47 FIXED 3.5                        | CUSIP: 3140H3AB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       522986 | PA      | $486724.69      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2024-A                                              | WORLD OMNI SELECT AUTO TRUST WOSAT 2024 A A3               | CUSIP: 98164LAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18511305 | PA      | $18571866.15    | 0.01%             | 2030-02-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1          | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4329495 | PA      | $3993321.73     | 0.00%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC6                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC6 M5               | CUSIP: 61744CSZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3750000 | PA      | $3390359.63     | 0.00%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-5                                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 5 1A11            | CUSIP: 05950NAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       587768 | PA      | $499802.37      | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM8 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM8 A1 144A             | CUSIP: 67119CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14888587 | PA      | $15024183.26    | 0.01%             | 2064-05-25      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2005-1                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2005 1 M5               | CUSIP: 29445FCS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15939 | PA      | $16010.05       | 0.00%             | 2035-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS2                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS2 M5            | CUSIP: 76112BKF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4884896 | PA      | $4896373.39     | 0.00%             | 2035-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED 144A 06/47 5.25            | CUSIP: X5424XBP2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    104400000 | PA      | $1.04           | 0.00%             | 2047-06-23      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| KIRKBY RMBS PLC 1A                                                               | KIRKBY RMBS KIRK 1A A 144A                                 | CUSIP: ACI12K1K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     75246964 | PA      | $99374077.95    | 0.04%             | 2045-02-22      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2018-1 CLASS AA PASS THROUGH TRUST                               | UNITED AIR 2018 1 AA PTT PASS THRU CE 09/31 3.5            | CUSIP: 909318AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2731970 | PA      | $2658065.10     | 0.00%             | 2031-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 2A1          | CUSIP: 32056JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       175768 | PA      | $126346.94      | 0.00%             | 2037-11-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A RC 144A                        | CUSIP: ACI2SP013<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        49708 | PA      | $3777341.07     | 0.00%             | 2066-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0458 FR 09/52 FIXED 6                  | CUSIP: 3133BMQK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2750331 | PA      | $2830729.97     | 0.00%             | 2052-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H09                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H09 FB             | CUSIP: 38375UYW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3548798 | PA      | $3595900.17     | 0.00%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AU6682 FN 09/28 FIXED 3                          | CUSIP: 3138X6M85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       327238 | PA      | $323269.77      | 0.00%             | 2028-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 C 144A         | CUSIP: 69544AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5976392 | PA      | $5996920.61     | 0.00%             | 2032-07-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3664 FN 03/49 FIXED VAR                        | CUSIP: 3140X7CA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11734 | PA      | $11159.54       | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-10                                                   | COUNTRYWIDE HOME LOANS CWHL 2006 10 1A12                   | CUSIP: 1266942J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1325185 | PA      | $490980.74      | 0.00%             | 2036-05-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ8523 FR 11/54 FIXED 5.5                | CUSIP: 3133D0PG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        47806 | PA      | $48125.68       | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 806506 FN 10/44 FLOATING VAR                     | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          955 | PA      | $966.42         | 0.00%             | 2044-10-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RPL1 A1 144A      | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11528904 | PA      | $11364841.08    | 0.01%             | 2064-12-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2005-C                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2005 C M3             | CUSIP: 456606HW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13050000 | PA      | $12498295.59    | 0.01%             | 2035-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM6127 FR 04/48 FIXED 4                  | CUSIP: 3131Y0YY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       459636 | PA      | $440458.58      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A2           | CUSIP: 86360UAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         6075 | PA      | $3070.32        | 0.00%             | 2036-07-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-17019142.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260506                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $67.76          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8244 FN 02/47 FIXED 4                          | CUSIP: 3140FUES3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       826289 | PA      | $794371.53      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1+24/8.78* 12/15/25-8Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $1136953.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4053 FN 10/47 FIXED 4                          | CUSIP: 3140GSQF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4105235 | PA      | $3935200.58     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA STRUCTURED SECURITIES TRUST 2024-S4                           | FINANCE OF AMERICA STRUCTURED FASST 2024 S4 A1 144A        | CUSIP: 31741AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    134790988 | PA      | $130918792.90   | 0.06%             | 2074-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS4X                                                    | RMAC SECURITIES PLC RMACS 2006 NS4X A3A REGS               | CUSIP: 991ZHMII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     29330511 | PA      | $38093758.05    | 0.02%             | 2044-06-12      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN5323 FN 03/49 FIXED 3.5                        | CUSIP: 3140JM4H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       269941 | PA      | $250480.56      | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0864 FN 01/55 FIXED 7                          | CUSIP: 3140B06A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       953915 | PA      | $1010395.07     | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q61562 FG 02/49 FIXED 3                  | CUSIP: 3132VMWY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11151 | PA      | $9934.03        | 0.00%             | 2049-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 6A1            | CUSIP: 007036TP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       329834 | PA      | $316322.40      | 0.00%             | 2036-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ2413 FR 06/55 FIXED 5                  | CUSIP: 31426YVF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11760638 | PA      | $11613427.05    | 0.01%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF222 RR                               | CUSIP: ACI2QBJY4<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     10673444 | PA      | $13062756.69    | 0.01%             | 2028-04-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 256946 FN 10/27 FIXED 6.5                        | CUSIP: 31371NL37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4942 | PA      | $5110.23        | 0.00%             | 2027-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175ET223 PIMCO FLOOR USD 0.02224 USD SOFR COM             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -605500000 | NC      | $-2300.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8556 FN 03/48 FIXED 4                          | CUSIP: 3140HAQJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4422 | PA      | $4270.13        | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2225 G2 09/44 FIXED 4.5                     | CUSIP: 36179QPJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5944 | PA      | $5878.15        | 0.00%             | 2044-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 06/33 5.375                      | CUSIP: ACI30VFW4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    134300000 | PA      | $151295586.73   | 0.07%             | 2033-06-07      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2005-NC1                                              | HSI ASSET SECURITIZATION CORPO HASC 2005 NC1 M4            | CUSIP: 40430HAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1617492 | PA      | $1531495.98     | 0.00%             | 2035-07-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KWD BOUGHT USD 20290702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $926344.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG6258 G2 06/48 FIXED 4                       | CUSIP: 3617GQ5T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1973012 | PA      | $1860317.56     | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                                  | DANSKE BANK A/S 144A 03/28 VAR                             | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |     18500000 | PA      | $18678132.62    | 0.01%             | 2028-03-01      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR13                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR13 A3           | CUSIP: 45661XAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3929209 | PA      | $2551442.66     | 0.00%             | 2036-07-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-6                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 6 A1             | CUSIP: 02150AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1576978 | PA      | $787803.53      | 0.00%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2005-FFH3                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH3 M4            | CUSIP: 32027NVF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30600000 | PA      | $29842564.32    | 0.01%             | 2035-09-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC6891 FN 11/54 FIXED 5                          | CUSIP: 3140AUUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       482859 | PA      | $476666.55      | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB1                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB1 A2C           | CUSIP: 251510MJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2371589 | PA      | $2170273.20     | 0.00%             | 2036-02-25      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2007-RZ1                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2007 RZ1 M1S           | CUSIP: 74923PAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13613000 | PA      | $13181454.29    | 0.01%             | 2037-02-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P3 A2            | CUSIP: 14688AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     92254362 | PA      | $92194267.28    | 0.04%             | 2029-02-12      | Fixed         | 4.07%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR2                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR2 M1             | CUSIP: 65535VKK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6564608 | PA      | $5945063.58     | 0.00%             | 2035-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8699 FN 01/47 FIXED 4                          | CUSIP: 3138WJUZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1612784 | PA      | $1546157.45     | 0.00%             | 2047-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4826                                                          | FREDDIE MAC FHR 4826 NI                                    | CUSIP: 3137FH5A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       412119 | PA      | $64168.42       | 0.00%             | 2048-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ1400 FR 08/54 FIXED 5.5                | CUSIP: 3133CRRV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       494668 | PA      | $497859.67      | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 3A2             | CUSIP: 86359BGC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       140143 | PA      | $138326.89      | 0.00%             | 2034-02-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2594 FN 08/47 FIXED 3.5                        | CUSIP: 3140GQ3C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       280164 | PA      | $261719.55      | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2006-AR4                                                | FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR4 1A2          | CUSIP: 32053AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       288378 | PA      | $127633.56      | 0.00%             | 2037-01-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-2                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 2 1A1             | CUSIP: 05951GAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2051180 | PA      | $1445042.13     | 0.00%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $896661.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A C 144A                       | CUSIP: ACI2NGCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     33617000 | PA      | $38738672.91    | 0.02%             | 2058-06-28      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-7                                               | HOME EQUITY ASSET TRUST HEAT 2005 7 M2                     | CUSIP: 437084PA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2796599 | PA      | $2708770.06     | 0.00%             | 2036-01-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE1                                          | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE1 1A            | CUSIP: 933631AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26714454 | PA      | $23553920.56    | 0.01%             | 2037-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| RNHB BV                                                                          | RNHB B.V. GALIBIER DPF221 RR                               | CUSIP: ACI2QBKL0<br>LEI: 724500YGUK3ZCLGPE353 | Long             | DBT              | CORP              | NL        |     20195355 | PA      | $23595678.54    | 0.01%             | 2027-10-28      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-18                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 6A1            | CUSIP: 863579XK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       557707 | PA      | $501300.62      | 0.00%             | 2035-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FA0551 FN 01/55 FIXED VAR                        | CUSIP: 3140W0TH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4386364 | PA      | $4330223.24     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING 2022-I LTD                                                          | CIFC FUNDING LTD CIFC 2022 1A A 144A                       | CUSIP: 12570LAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13000000 | PA      | $13006219.20    | 0.01%             | 2035-04-17      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-5                                          | THORNBURG MORTGAGE SECURITIES TMST 2003 5 2A               | CUSIP: 885220EC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       609038 | PA      | $554935.91      | 0.00%             | 2043-10-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-D                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 D 1A1             | CUSIP: 05952GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6701304 | PA      | $5574477.94     | 0.00%             | 2047-06-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0002 FR 03/55 FIXED 5                  | CUSIP: 3142J6AC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8867269 | PA      | $8753548.75     | 0.00%             | 2055-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX4645 FR 01/55 FIXED 5                  | CUSIP: 31426AET1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20051521 | PA      | $19815803.66    | 0.01%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO9007 FN 02/50 FIXED 4                          | CUSIP: 3140K5AH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11016 | PA      | $10564.56       | 0.00%             | 2050-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH AFRICA EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $65364.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INV LOAN TRUST 2003-BC4                                         | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC4 M2            | CUSIP: 86358EBM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2235360 | PA      | $2335248.45     | 0.00%             | 2033-06-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9388 FN 03/47 FIXED 4                          | CUSIP: 3140FHNE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18727 | PA      | $17937.71       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.60500 06/28/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-7877687.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    559880000 | PA      | $539828093.76   | 0.24%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR10 1A3          | CUSIP: 92922FW46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       146563 | PA      | $139678.82      | 0.00%             | 2035-09-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.39500 10/17/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5435567.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM3236 FR 05/47 FIXED 4                  | CUSIP: 3131XWSZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       121151 | PA      | $116133.19      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-2A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 2A A1 144A        | CUSIP: 210927AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3517344 | PA      | $3520983.15     | 0.00%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-1                                                  | BEAR STEARNS ALT A TRUST BALTA 2007 1 21A1                 | CUSIP: 07386XAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1483770 | PA      | $714684.15      | 0.00%             | 2047-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-11                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 11 3AV3            | CUSIP: 12666TAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9395675 | PA      | $9082540.15     | 0.00%             | 2046-09-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BD3842 G2 07/48 FIXED 4                       | CUSIP: 3617BKHT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       329811 | PA      | $311320.08      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL2                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL2 A1 144A     | CUSIP: 16159RAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     72108652 | PA      | $64835946.30    | 0.03%             | 2063-03-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CH1                                            | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH1 M6           | CUSIP: 46629TAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3200000 | PA      | $3062159.68     | 0.00%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/0.711* 04/27/22-20Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $17425638.99    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4A                   | CUSIP: 12669FY23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        36285 | PA      | $35492.04       | 0.00%             | 2034-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3103 FN 08/27 FIXED 3                          | CUSIP: 31418CNV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43875 | PA      | $43521.52       | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM4155 FN 08/32 FIXED VAR                        | CUSIP: 3140J8TM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5094 | PA      | $5029.19        | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875                 | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  14073100000 | PA      | $817377125.21   | 0.36%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-4                                          | AEGIS ASSET BACKED SECURITIES AABST 2005 4 M2              | CUSIP: 00764MGH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3955932 | PA      | $3853800.31     | 0.00%             | 2035-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS8790 FN 07/54 FIXED VAR                        | CUSIP: 3140XQXU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       809758 | PA      | $839662.16      | 0.00%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO BANK OF AMERICA REVERSE REPO                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -245937500 | PA      | $-245937500.00  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4959 FN 08/47 FIXED 3.5                        | CUSIP: 3140GTQM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62173 | PA      | $58104.94       | 0.00%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NOK BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |            1 | NC      | $41793.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A B                   | CUSIP: ACI2PHLZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     28169665 | PA      | $37364996.75    | 0.02%             | 2048-06-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                            | VALLEY FUNDING PLC VFUND 1A A 144A                         | CUSIP: ACI2SNZ85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    231586344 | PA      | $306003781.87   | 0.14%             | 2066-05-16      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCIAL UNDERWRITTEN ENHANCED LEASE TRUST 2025-CA                   | STELLANTIS FINANCIAL UNDERWRIT SFUEL 2025 CA A2 144A       | CUSIP: 85855EAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     66600000 | PA      | $66569683.68    | 0.03%             | 2028-06-20      | Fixed         | 4.06%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-13                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 13 3AV3            | CUSIP: 23242EAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6828885 | PA      | $6789957.91     | 0.00%             | 2037-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.90000 04/04/22-6Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-20819723.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 2 2A2            | CUSIP: 68402CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7193582 | PA      | $4307053.41     | 0.00%             | 2036-07-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-A                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 1A1            | CUSIP: 05949AH52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       268886 | PA      | $234101.64      | 0.00%             | 2035-02-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 BR1 A1 144A       | CUSIP: 81378KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31531361 | PA      | $29242843.33    | 0.01%             | 2037-02-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/28 0.5                                  | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      6178210 | PA      | $6131983.61     | 0.00%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2010-1RA                                           | NOMURA RESECURITIZATION TRUST NMRR 2010 1RA A2 144A        | CUSIP: 65539BAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14300773 | PA      | $5093915.41     | 0.00%             | 2037-07-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $652360.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A B 144A         | CUSIP: 21055PAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30429212 | PA      | $31353389.49    | 0.01%             | 2053-11-25      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $7481.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC4052 FN 10/54 FIXED 5.5                        | CUSIP: 3140ARQE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       909960 | PA      | $915042.80      | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 4A1           | CUSIP: 12668AQH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3248622 | PA      | $2902732.75     | 0.00%             | 2035-11-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-13908.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD5569 FN 03/55 FIXED 6.5                        | CUSIP: 3140B6FK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2048273 | PA      | $2134165.93     | 0.00%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE9112 FN 09/55 FIXED 5                          | CUSIP: 3140BNDS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1652677 | PA      | $1631304.40     | 0.00%             | 2055-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-6                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2023 6 A1 144A               | CUSIP: 03464UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10401796 | PA      | $10444732.15    | 0.00%             | 2067-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB0048 FR 08/34 FIXED 3                  | CUSIP: 3132CWBR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6753 | PA      | $6512.83        | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-H                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 H 8A1             | CUSIP: 05946XJ95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1156225 | PA      | $1007128.74     | 0.00%             | 2035-11-20      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $29822124.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                                   | OFSI FUND LTD OFSBS 2021 10A AR 144A                       | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     62000000 | PA      | $62080170.34    | 0.03%             | 2034-04-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA B 144A                       | CUSIP: ACI2QV533<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     45040000 | PA      | $59463471.08    | 0.03%             | 2055-05-28      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2025-3                             | BRIDGECREST LENDING AUTO SECUR BLAST 2025 3 A2             | CUSIP: 107920AB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6688273 | PA      | $6694000.75     | 0.00%             | 2028-02-15      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4710 FR 03/47 FIXED 4.5                | CUSIP: 3132A5GT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2806 | PA      | $2766.58        | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BH4787 G2 07/48 FIXED 4                       | CUSIP: 3617H2J89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       751473 | PA      | $709483.41      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF2 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF2 A1 144A      | CUSIP: 74448VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47724078 | PA      | $46625937.52    | 0.02%             | 2064-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                                     | ACE SECURITIES CORP. ACE 2006 HE4 A2A                      | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       148635 | PA      | $57264.68       | 0.00%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9                              | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 1A2          | CUSIP: 07389MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       676949 | PA      | $662524.18      | 0.00%             | 2036-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 RF1 A 144A        | CUSIP: 86359DBW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1819092 | PA      | $1632079.02     | 0.00%             | 2035-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-S2                                                | STRUCTURED ASSET SECURITIES CO SASC 2005 NC2 M7            | CUSIP: 86359DCT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4070013 | PA      | $3769494.62     | 0.00%             | 2035-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-291254.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY3                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY3 1A1          | CUSIP: 02148DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2222023 | PA      | $1785596.14     | 0.00%             | 2047-03-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX HY40 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $79382.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $314636.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZJ0722 FR 11/40 FIXED 4                  | CUSIP: 3131WQYT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52144 | PA      | $50401.37       | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1          | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4669462 | PA      | $4099080.85     | 0.00%             | 2037-01-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA5164 FN 02/50 FIXED 3.5                        | CUSIP: 3140QCW28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26163 | PA      | $24119.29       | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1/9.10833 03/19/25-5Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $9484502.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC2                                                            | GSAMP TRUST GSAMP 2005 WMC2 M1                             | CUSIP: 362341VA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7589278 | PA      | $7587571.54     | 0.00%             | 2035-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                     | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR C 144A          | CUSIP: 12564NAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15102000 | PA      | $14624399.25    | 0.01%             | 2038-11-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 2A3             | CUSIP: 12667AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1839108 | PA      | $1777259.79     | 0.00%             | 2036-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB3 A2            | CUSIP: 25151EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4503273 | PA      | $3924934.91     | 0.00%             | 2036-07-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM4                                        | JP MORGAN MORTGAGE TRUST JPMMT 2025 NQM4 A1 144A           | CUSIP: 46660HAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5935950 | PA      | $5915592.72     | 0.00%             | 2066-03-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260428                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-768564.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2984 FR 10/55 FIXED 5.5                | CUSIP: 31427QJ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16186071 | PA      | $16522137.75    | 0.01%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BECKETT MORTGAGES 2026-1 DAC 26-1A                                               | BECKETT MORTGAGES BECKS 2026 1A C 144A                     | CUSIP: ACI38PQD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     14913000 | PA      | $17202713.05    | 0.01%             | 2071-07-20      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 03/19/25-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $68695013.76    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0711 FN 01/55 FIXED 7                          | CUSIP: 3140B0YH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       722340 | PA      | $760436.89      | 0.00%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| POST CLO 2021-1 LTD                                                              | POST CLO LTD POST 2021 1A AR 144A                          | CUSIP: 73742FAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     46800000 | PA      | $46847539.91    | 0.02%             | 2034-10-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260416                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-367776.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD8552 FN 04/55 FIXED 5                          | CUSIP: 3140B9QE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1018528 | PA      | $1012018.64     | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-8CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 8CB A7           | CUSIP: 02150FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3366239 | PA      | $1312606.63     | 0.00%             | 2037-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA9393 FN 07/39 FIXED 4.5                        | CUSIP: 31416TNK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1375 | PA      | $1361.49        | 0.00%             | 2039-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $3167555.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A D 144A                       | CUSIP: ACI2NG9B7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     28014000 | PA      | $32214299.67    | 0.01%             | 2058-06-28      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVII LTD/PREFERRED TERM SECURITEIS XXVII INC          | PRETSL XXVII LTD SR SECURED 144A 12/37 VAR                 | CUSIP: 74042TAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      2117582 | PA      | $1900530.28     | 0.00%             | 2037-12-22      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8817 FN 11/45 FIXED 4                          | CUSIP: 3140E1YP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       420719 | PA      | $403870.13      | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 2A2A           | CUSIP: 17313QAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1162672 | PA      | $1018903.67     | 0.00%             | 2037-09-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 642345 FN 05/32 FIXED 6.5                        | CUSIP: 31390CTA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9674 | PA      | $10006.42       | 0.00%             | 2032-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-2X                                                 | GREAT HALL MORTGAGES PLC GHM 2007 2X BA REGS               | CUSIP: B1Z97XII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     17355232 | PA      | $22729649.17    | 0.01%             | 2039-06-18      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1           | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        23236 | PA      | $22446.47       | 0.00%             | 2045-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2006-4                                                | IMPAC SECURED ASSETS CORP. IMSA 2006 4 A2C                 | CUSIP: 45257BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14222449 | PA      | $12590628.21    | 0.01%             | 2037-01-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6191 FN 11/45 FIXED 3.5                        | CUSIP: 3138WF2Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5788 | PA      | $5437.02        | 0.00%             | 2045-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7466 FN 01/56 FIXED 5                          | CUSIP: 3140BYJL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14329314 | PA      | $14143049.49    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO1                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO1 3A1           | CUSIP: 761118RM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3876424 | PA      | $1349104.43     | 0.00%             | 2046-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-19812813.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP4                                                             | RAAC SERIES RAAC 2007 RP4 A 144A                           | CUSIP: 74919LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       910808 | PA      | $852166.80      | 0.00%             | 2046-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW7618 FN 08/52 FIXED 4                          | CUSIP: 3140N0PC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       159281 | PA      | $150876.76      | 0.00%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2007-QS8                                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS8 A9            | CUSIP: 74922UAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2650257 | PA      | $2086486.13     | 0.00%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI8010 FN 08/26 FIXED 3.5                        | CUSIP: 3138AM3U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6422 | PA      | $6399.31        | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL2963 FN 11/27 FIXED VAR                        | CUSIP: 3138EKJH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27565 | PA      | $27390.01       | 0.00%             | 2027-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 847167 FH 07/33 FLOATING VAR             | CUSIP: 3128HD6C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          565 | PA      | $574.51         | 0.00%             | 2033-07-01      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR5                                                | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR5 2A1A                | CUSIP: 23332UFF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1195692 | PA      | $628087.60      | 0.00%             | 2045-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8222 FR 02/53 FIXED 6.5                | CUSIP: 3133BWD34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       170940 | PA      | $177585.22      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTER ALTERNATIVE LOANS TR 2003-7                                               | MASTR ALTERNATIVE LOANS TRUST MALT 2003 7 7A18             | CUSIP: 576434JB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1385853 | PA      | $1347428.64     | 0.00%             | 2033-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-RPL1                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL1 PT 144A        | CUSIP: 22945AAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10399551 | PA      | $8055629.46     | 0.00%             | 2057-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5471 FN 09/54 FIXED 6                          | CUSIP: 31418FCH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24931943 | PA      | $25437982.54    | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A1            | CUSIP: 86358BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2386933 | PA      | $2353776.93     | 0.00%             | 2037-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 3A1                   | CUSIP: 3623414F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3131 | PA      | $3845.20        | 0.00%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH7815 FR 01/54 FIXED 6.5                | CUSIP: 3133CLVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       297731 | PA      | $311012.28      | 0.00%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4142                                                          | FREDDIE MAC FHR 4142 QI                                    | CUSIP: 3137AX6D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       158430 | PA      | $4955.10        | 0.00%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA3257 FR 10/49 FIXED 3                  | CUSIP: 31339STN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2242247 | PA      | $2007423.31     | 0.00%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 B3 144A        | CUSIP: 12660QAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31043149 | PA      | $22077241.87    | 0.01%             | 2061-02-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2002-C                                               | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M1              | CUSIP: 03072SDF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1004848 | PA      | $1071036.76     | 0.00%             | 2032-11-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260602                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $484197.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -328700000 | NC      | $-1717063.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 D R 144A           | CUSIP: 78450PAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         2899 | PA      | $1001820.85     | 0.00%             | 2053-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-3                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 3 7A1             | CUSIP: 007036JA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       472707 | PA      | $473867.45      | 0.00%             | 2035-07-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR1                                                | SECURITIZED ASSET BACKED RECEI SABR 2006 FR1 M1            | CUSIP: 81375WJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23080690 | PA      | $20175311.46    | 0.01%             | 2035-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| RIPON INVESTMENTS FINANCING LIMITED                                              | RIPON INVESTMENTS FINANCING RIPON PPN PROXY                | CUSIP: 945ZEJII7<br>LEI: 635400QTU39PPCOAU759 | Long             | DBT              | CORP              | GB        |      4644149 | PA      | $6064664.84     | 0.00%             | 2049-12-02      | Variable      | 0.00%                 | Yes           |                  3 | On Loan: No      |
| BPCE SA                                                                          | BPCE SA 144A 01/30 VAR                                     | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |     34200000 | PA      | $35065113.97    | 0.02%             | 2030-01-18      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA1                                                          | BCAP LLC TRUST BCAP 2007 AA1 2A1                           | CUSIP: 05530PAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2138313 | PA      | $2006638.00     | 0.00%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8099 G2 06/52 FIXED 3.5                     | CUSIP: 36179W7L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     67685825 | PA      | $62638159.58    | 0.03%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3210 FN 12/47 FIXED 4                          | CUSIP: 3140H4R89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42154 | PA      | $40397.26       | 0.00%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC2666 FN 02/46 FIXED 3.5                        | CUSIP: 3140EW6C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       195377 | PA      | $183111.46      | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BMW VEHICLE LEASE TRUST 2024-2                                                   | BMW VEHICLE LEASE TRUST BMWLT 2024 2 A3                    | CUSIP: 05613MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60900000 | PA      | $60948634.74    | 0.03%             | 2027-10-25      | Fixed         | 4.18%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-1                                                   | FREMONT HOME LOAN TRUST FHLT 2005 1 M6                     | CUSIP: 35729PJG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22416000 | PA      | $19289660.65    | 0.01%             | 2035-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                       | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL            | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      2409652 | PA      | $2018083.86     | 0.00%             | 2027-06-30      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-B                                                   | FREMONT HOME LOAN TRUST FHLT 2005 B M7                     | CUSIP: 35729PKB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5108604 | PA      | $690464.57      | 0.00%             | 2035-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6520 FN 01/46 FIXED 3.5                        | CUSIP: 3138WGG65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        62065 | PA      | $58232.30       | 0.00%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-2                                                   | FREMONT HOME LOAN TRUST FHLT 2005 2 M4                     | CUSIP: 35729PLP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1125456 | PA      | $1063759.63     | 0.00%             | 2035-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF0951 FN 10/55 FIXED 5                          | CUSIP: 3140BRBV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       634688 | PA      | $629994.38      | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 23A1                 | CUSIP: 07386HVU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       805992 | PA      | $328938.76      | 0.00%             | 2035-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $180120.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8516 FN 03/53 FIXED 5.5                        | CUSIP: 3140NDPA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       661654 | PA      | $666621.43      | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB3             | CUSIP: 05950BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        58001 | PA      | $50806.68       | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R4                                                                | CIM TRUST CIM 2023 R4 A1 144A                              | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16219115 | PA      | $16128306.26    | 0.01%             | 2062-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7582 FN 03/53 FIXED 5.5                        | CUSIP: 3140NCM89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5797200 | PA      | $5838467.97     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2024-3A                                                 | OCTANE RECEIVABLES TRUST OCTL 2024 3A A2 144A              | CUSIP: 67571GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8062905 | PA      | $8089505.42     | 0.00%             | 2030-05-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $440248.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN0891 FN 11/48 FIXED 4.5                        | CUSIP: 3140JG7D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13946 | PA      | $13714.06       | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2010-4                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2010 4 3A6 144A        | CUSIP: 17315QAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1952930 | PA      | $735044.71      | 0.00%             | 2037-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA 04/27 4.25                              | CUSIP: 05964HAB1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     28400000 | PA      | $28373743.63    | 0.01%             | 2027-04-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2004-17                           | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 17 A3             | CUSIP: 863579DU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000872 | PA      | $969755.69      | 0.00%             | 2034-11-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| BARROW FUNDING PLC 1A                                                            | BARROW FUNDING PLC BARRO 1A C                              | CUSIP: ACI2P7XQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     21161000 | PA      | $28170061.87    | 0.01%             | 2062-11-16      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                                | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1A 144A            | CUSIP: 64032BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179213419 | PA      | $178557301.17   | 0.08%             | 2055-05-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE3                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE3 2A           | CUSIP: 073852AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4259796 | PA      | $4132115.02     | 0.00%             | 2037-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4785 FN 10/52 FIXED 5                          | CUSIP: 31418EJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24924 | PA      | $24726.94       | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                          | COUNTRY GARDEN HOLDINGS CO COMMON STOCK HKD.1              | CUSIP: B1VKYN902<br>LEI: 549300MGHLPT1EFHGF84 | Long             | EC               | CORP              | KY        |     14110232 | NS      | $577560.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AS.6 SP SAL                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $155.56         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260805                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-2658594.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $980015.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0683 FN 04/48 FIXED 3.5                        | CUSIP: 3140H1XM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7137460 | PA      | $6663171.40     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2004-RS12                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS12 MI2          | CUSIP: 76112BFW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       215016 | PA      | $199577.90      | 0.00%             | 2034-12-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 2A1         | CUSIP: 94984MAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       683707 | PA      | $633226.29      | 0.00%             | 2036-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD4999 FR 08/53 FIXED 5                  | CUSIP: 3132DSRU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2141592 | PA      | $2121671.18     | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8240 FN 11/31 FIXED 2.5                        | CUSIP: 3138WJEN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30512 | PA      | $29420.43       | 0.00%             | 2031-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                                   | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A4 144A        | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9990284 | PA      | $10054713.66    | 0.00%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                           | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A3 144A         | CUSIP: 39571MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8400000 | PA      | $8548732.08     | 0.00%             | 2059-06-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AR5                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR5 1A2           | CUSIP: 25150NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12687291 | PA      | $3384800.60     | 0.00%             | 2036-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-8                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 8 1A1A            | CUSIP: 17307GE20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11632 | PA      | $9285.07        | 0.00%             | 2035-10-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD4903 FN 03/55 FIXED 5.5                        | CUSIP: 3140B5NV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       103909 | PA      | $104489.72      | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 751501 FN 12/33 FLOATING VAR                     | CUSIP: 31403K3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4758 | PA      | $4875.04        | 0.00%             | 2033-12-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE6876 FN 10/55 FIXED 5                          | CUSIP: 3140BKUA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2190200 | PA      | $2162071.99     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LURA FUNDING DESIGNATED ACTIVITY COMPANY 2026-1A                                 | LURA FUNDING DAC LURA 2026 1A E 144A                       | CUSIP: ACI394TQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      8598000 | PA      | $9749178.19     | 0.00%             | 2079-08-27      | Floating      | 4.13%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE 2007-15                                                               | FANNIE MAE FNR 2007 15 AI                                  | CUSIP: 31396PWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1189340 | PA      | $109325.18      | 0.00%             | 2037-03-25      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A6                     | CUSIP: 12544RAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3888 | PA      | $1511.64        | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A1               | CUSIP: 22942JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12990988 | PA      | $4242438.36     | 0.00%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC1                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 NC1 M2                | CUSIP: 61744CYC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15498444 | PA      | $14704430.49    | 0.01%             | 2035-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ1439 FR 08/54 FIXED 5.5                | CUSIP: 3133CRS46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       933143 | PA      | $938455.76      | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                                            | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A1A 144A       | CUSIP: 36829JAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1920916 | PA      | $1807002.99     | 0.00%             | 2036-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q42781 FG 09/46 FIXED 3                  | CUSIP: 3132WGCT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1223910 | PA      | $1104151.39     | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                            | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 1A21           | CUSIP: 007036TB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       455240 | PA      | $434492.36      | 0.00%             | 2036-01-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-4R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 4R 2A2 144A         | CUSIP: 12645KBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7001355 | PA      | $6335388.24     | 0.00%             | 2037-08-27      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2008-RR1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2008 RR1 A1A1 144A     | CUSIP: 173145AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       106419 | PA      | $95302.88       | 0.00%             | 2037-01-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5018 FR 11/39 FIXED 3.5                | CUSIP: 3133KYSF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6269628 | PA      | $5998902.06     | 0.00%             | 2039-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 12A5          | CUSIP: 07384M5Y4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       242982 | PA      | $237092.22      | 0.00%             | 2035-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL7                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL7 X 144A         | CUSIP: 12597AAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    616349946 | PA      | $61.63          | 0.00%             | 2059-01-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2                     | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2423488 | PA      | $2344127.96     | 0.00%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1           | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        74712 | PA      | $75857.13       | 0.00%             | 2036-03-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H16                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H16 FL             | CUSIP: 38376RWM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1950771 | PA      | $1958153.18     | 0.00%             | 2066-07-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2025-FL4 LLC                                    | STARWOOD COMMERCIAL MORTGAGE T STWD 2025 FL4 A 144A        | CUSIP: 863922AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    176500000 | PA      | $176511701.95   | 0.08%             | 2042-11-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-2165179.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.08000 02/23/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-9941864.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q44485 FG 11/46 FIXED 3                  | CUSIP: 3132WH6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       543094 | PA      | $490096.12      | 0.00%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11                             | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE11 M3          | CUSIP: 073879PA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12252145 | PA      | $12395502.33    | 0.01%             | 2034-12-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43277 FG 09/46 FIXED 3                  | CUSIP: 3132WGUB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        46049 | PA      | $41579.27       | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-WMC2                                            | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 WMC2 M5           | CUSIP: 59020UWM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1051536 | PA      | $1046495.91     | 0.00%             | 2036-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB4                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB4 2A1                  | CUSIP: 12669GM24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2775713 | PA      | $2639014.30     | 0.00%             | 2035-08-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 7 1A1                     | CUSIP: 12669GNL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       164870 | PA      | $156973.75      | 0.00%             | 2035-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                               | FANNIE MAE FNR 2004 11 A                                   | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1008 | PA      | $1006.83        | 0.00%             | 2034-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2022-INV2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 INV2 PT 144A      | CUSIP: 17330GCY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352593969 | PA      | $300734377.40   | 0.13%             | 2052-03-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5909 FN 12/55 FIXED 5                          | CUSIP: 31418FR74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    906640652 | PA      | $894799571.98   | 0.40%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1557681.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3027 FN 06/47 FIXED 4                          | CUSIP: 31418CLH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       653274 | PA      | $621166.80      | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5061 FR 07/40 FIXED 3.5                | CUSIP: 3133KYTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       247728 | PA      | $236494.15      | 0.00%             | 2040-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP4 SA 144A       | CUSIP: 17329NAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       247583 | PA      | $235911.50      | 0.00%             | 2065-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST SERIES MLCC 2006-3                        | MLCC MORTGAGE INVESTORS INC MLCC 2006 3 2A1                | CUSIP: 59023PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6654604 | PA      | $5601610.00     | 0.00%             | 2036-10-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2010-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2010 3 2A2 144A        | CUSIP: 17316DAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10765579 | PA      | $4287040.93     | 0.00%             | 2037-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF6591 FN 12/55 FIXED 5                          | CUSIP: 3140BXKD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4120075 | PA      | $4074589.21     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DLLMT 2024-1 LLC                                                                 | DLLMT LLC DLLMT 2024 1A A2 144A                            | CUSIP: 23347AAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3701867 | PA      | $3704291.78     | 0.00%             | 2027-02-22      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XIV-B LTD                                                     | NORTHWOODS CAPITAL LTD WOODS 2018 14BA AR 144A             | CUSIP: 66860CAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1084290 | PA      | $1085508.84     | 0.00%             | 2031-11-13      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897213 FN 08/36 FIXED 6                          | CUSIP: 31410TYJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1271 | PA      | $1305.99        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BW2284 FN 08/52 FIXED 4.5                        | CUSIP: 3140MTRE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1763074 | PA      | $1707665.16     | 0.00%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2023-D OWNER TRUST                                       | TOYOTA AUTO RECEIVABLES OWNER TAOT 2023 D A3               | CUSIP: 89239FAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3678846 | PA      | $3713315.61     | 0.00%             | 2028-08-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2362 FN 03/47 FIXED 3.5                        | CUSIP: 3140FMTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25309 | PA      | $23679.37       | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2003-2                                             | RENAISSANCE HOME EQUITY LOAN T RAMC 2003 2 A               | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       480794 | PA      | $445434.10      | 0.00%             | 2033-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS8                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A3            | CUSIP: 75115AAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5296686 | PA      | $4465273.31     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2022-R2                                                                | CIM TRUST CIM 2022 R2 M2 144A                              | CUSIP: 12567NAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19311000 | PA      | $15235386.41    | 0.01%             | 2061-12-25      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A B3 144A         | CUSIP: 64830TBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14873890 | PA      | $14444177.29    | 0.01%             | 2059-10-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE5047 FN 10/55 FIXED 5                          | CUSIP: 3140BHTD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       997932 | PA      | $985124.38      | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8002 FR 08/34 FIXED 3                  | CUSIP: 3132D53K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36196 | PA      | $34912.21       | 0.00%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-A                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 A M1              | CUSIP: 63860HAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1636220 | PA      | $1631729.80     | 0.00%             | 2037-03-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.67 03/09/26-01/02/31 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $1576.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY 2026-FL4 ISSUER LLC                                      | ACRES PLC ACRES 2026 FL4 A 144A                            | CUSIP: 00501XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     76800000 | PA      | $76750521.60    | 0.03%             | 2044-08-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260722                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-1606521.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS5386 FN 07/45 FIXED 4                          | CUSIP: 3138WE6Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        53144 | PA      | $51167.94       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3           | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7091128 | PA      | $6849841.43     | 0.00%             | 2037-02-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA9057 FR 05/53 FIXED 5                  | CUSIP: 3133KRB29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1050757 | PA      | $1041157.37     | 0.00%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-HY9                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY9 A2           | CUSIP: 02152BAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40477499 | PA      | $36283172.15    | 0.02%             | 2047-08-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-23708159.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR5                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR5 4A21          | CUSIP: 45669EAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35245483 | PA      | $28380921.38    | 0.01%             | 2037-05-25      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY0023 FN 04/53 FIXED 6.5                        | CUSIP: 3140NGAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19322 | PA      | $20151.85       | 0.00%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL2                                   | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL2 A1 144A      | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8616561 | PA      | $8369338.77     | 0.00%             | 2064-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2023-BA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2023 BA A1B 144A          | CUSIP: 63942TAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41965720 | PA      | $42218244.07    | 0.02%             | 2072-03-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5593 G2 11/48 FIXED 3                       | CUSIP: 36179UGA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       235570 | PA      | $213644.86      | 0.00%             | 2048-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6356 FN 12/45 FIXED 4                          | CUSIP: 3138WGB29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       500406 | PA      | $474793.73      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 257179 FN 04/28 FIXED 4.5                        | CUSIP: 31371NUC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2297 | PA      | $2293.25        | 0.00%             | 2028-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| INVSC-5A                                                                         | INVESCO EURO CLO INVSC 5A AR 144A                          | CUSIP: ACI2VXQH9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     78394228 | PA      | $90707844.49    | 0.04%             | 2034-01-15      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2025-3                              | AMERICAN CREDIT ACCEPTANCE REC ACAR 2025 3 A 144A          | CUSIP: 02528EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6402862 | PA      | $6411166.38     | 0.00%             | 2029-01-12      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUNDING TR 2007-AR4                                            | BEAR STEARNS MORTGAGE FUNDING BSMF 2007 AR4 2A1            | CUSIP: 07401YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32521341 | PA      | $31008962.00    | 0.01%             | 2037-06-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ5821 FN 07/45 FIXED 3.5                        | CUSIP: 3138YXPF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       404222 | PA      | $379781.53      | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A2           | CUSIP: 00075VAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5736443 | PA      | $3435915.70     | 0.00%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AE2771 FN 08/26 FIXED 3.5                        | CUSIP: 31419DCH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          832 | PA      | $828.62         | 0.00%             | 2026-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES3                                              | TOWD POINT MORTGAGE TRUST TPMT 2024 CES3 A1 144A           | CUSIP: 89183EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43938782 | PA      | $44325909.16    | 0.02%             | 2064-05-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M3          | CUSIP: 46626LFQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16317000 | PA      | $14205255.49    | 0.01%             | 2035-05-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM3 2025-NQM3               | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM3 A1 144A      | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8108558 | PA      | $8136704.69     | 0.00%             | 2070-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHESTER A CESTR 1 AA E 144A                                | CUSIP: ACI1BFGF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     35868000 | PA      | $47642416.42    | 0.02%             | 2046-03-17      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD3237 FR 05/53 FIXED 5.5                | CUSIP: 3132DQS23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11209000 | PA      | $11306489.20    | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS CLO 45 LTD 2021-45A                               | NEUBERGER BERMAN CLO LTD NEUB 2021 45A AR 144A             | CUSIP: 64134MAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     73800000 | PA      | $73847522.77    | 0.03%             | 2036-10-14      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 26-1A                                          | GLS AUTO SELECT RECEIVABLES TR GSAR 2026 1A A2 144A        | CUSIP: 37989DAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12700000 | PA      | $12667018.10    | 0.01%             | 2032-02-17      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2A             | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       287348 | PA      | $287511.24      | 0.00%             | 2027-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL1 C 144A          | CUSIP: 52472WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           52 | PA      | $0.01           | 0.00%             | 2070-01-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                                  | NEW WINDSTREAM PREFERRED STOCK                             | CUSIP: 990AAJEB9<br>LEI: 549300V3NU625PJUVA84 | Long             | EP               | CORP              | US        |        39145 | NS      | $41656947.49    | 0.02%             |  |  |  | No            |                  3 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-3                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2005 3 M7              | CUSIP: 9497ENAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       136534 | PA      | $136631.16      | 0.00%             | 2035-11-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW3640 FN 06/29 FIXED 3                          | CUSIP: 3138XTBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8265 | PA      | $8147.00        | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-1                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1A           | CUSIP: 41161PLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       916970 | PA      | $893565.81      | 0.00%             | 2035-03-19      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2468 FR 09/55 FIXED 5.5                | CUSIP: 31427PW67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6367236 | PA      | $6513068.80     | 0.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                         | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 1A1          | CUSIP: 66988UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60492841 | PA      | $22287655.61    | 0.01%             | 2046-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-11146159.33   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $22844.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-10                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 1A2             | CUSIP: 23246BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2678683 | PA      | $2571576.80     | 0.00%             | 2047-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.67900 03/10/26-10Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1317331.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1           | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2860 | PA      | $2827.88        | 0.00%             | 2032-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1416683.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                                  | HOUT BAY HOUT 2006 1A B 144A                               | CUSIP: 442451AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4046106 | PA      | $404.61         | 0.00%             | 2041-07-05      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA3169 FR 12/55 FIXED 5                  | CUSIP: 3142JRQX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3607802 | PA      | $3562682.39     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC6589 FN 11/54 FIXED 5.5                        | CUSIP: 3140AUKB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43179 | PA      | $43422.70       | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3867 FN 11/41 FIXED 3.5                        | CUSIP: 31417AJM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       310281 | PA      | $294041.99      | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M3              | CUSIP: 126670LR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13757926 | PA      | $13728272.09    | 0.01%             | 2036-04-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7469 FN 12/55 FIXED 5                          | CUSIP: 3140BYJP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29669114 | PA      | $29283450.39    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7443 FN 10/45 FIXED VAR                        | CUSIP: 3138EQHV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17508 | PA      | $16908.64       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF4662 FR 12/52 FIXED 6                  | CUSIP: 3133BSFB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       374827 | PA      | $384425.18      | 0.00%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON AUTO TRUST 2024-1A                                                    | HUNTINGTON AUTO TRUST HUNT 2024 1A A3 144A                 | CUSIP: 446144AE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41079953 | PA      | $41380879.78    | 0.02%             | 2029-01-16      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TRUST 2008-1                                       | THORNBURG MORTGAGE SECURITIES TMST 2008 1 2A1              | CUSIP: 88522UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7610969 | PA      | $4769529.47     | 0.00%             | 2038-04-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2025-HB1                                          | FINANCE OF AMERICA HECM BUYOUT FAHB 2025 HB1 A 144A        | CUSIP: 31735EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92303012 | PA      | $91438769.68    | 0.04%             | 2035-11-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2022-1 LTD                                                    | ROCKFORD TOWER CLO LTD ROCKT 2022 1A A1R 144A              | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     70700000 | PA      | $70735350.00    | 0.03%             | 2035-07-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                              | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A B 144A        | CUSIP: 03331MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     23500000 | PA      | $23346887.40    | 0.01%             | 2040-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL5 LLC                                                               | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RPL5 A1 144A      | CUSIP: 69383PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    144496582 | PA      | $141505488.39   | 0.06%             | 2065-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CFCRE COMMERCIAL MORTGAGE TRUST 2016-C6                                          | CFCRE COMMERCIAL MORTGAGE TRUS CFCRE 2016 C6 XA            | CUSIP: 12532ABD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114511687 | PA      | $215465.19      | 0.00%             | 2049-11-10      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1191 FN 11/47 FIXED 3.5                        | CUSIP: 3140Q8KD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       897653 | PA      | $835776.31      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF5465 FR 12/52 FIXED 5                  | CUSIP: 3133BTCA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73156 | PA      | $72425.13       | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2004-HE8                                              | MORGAN STANLEY CAPITAL INC MSAC 2004 HE8 A7                | CUSIP: 61744CGZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       323170 | PA      | $346496.52      | 0.00%             | 2034-09-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC1552 FN 01/46 FIXED 4                          | CUSIP: 3140EVWN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19984 | PA      | $19187.82       | 0.00%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA7617 FR 07/52 FIXED 5                  | CUSIP: 3133KPPA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       960397 | PA      | $954141.57      | 0.00%             | 2052-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 545874 FN 08/32 FIXED VAR                        | CUSIP: 31385JMX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18347 | PA      | $18979.53       | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-246716.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-10                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 10 2A2           | CUSIP: 54251YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6477552 | PA      | $1928980.07     | 0.00%             | 2036-11-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-3CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 3CB 1A13         | CUSIP: 12667FY33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2545717 | PA      | $2245299.57     | 0.00%             | 2035-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0022 G2 11/54 FIXED 3.5                     | CUSIP: 3618N5AY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     84668854 | PA      | $77738456.63    | 0.03%             | 2054-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 A1 144A        | CUSIP: 12662NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248315257 | PA      | $221089202.19   | 0.10%             | 2061-05-25      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE1823 FN 10/46 FIXED 4                          | CUSIP: 3140FMAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        86166 | PA      | $82570.75       | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3243 FN 02/50 FIXED VAR                        | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6241721 | PA      | $5789651.01     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                                  | ARGENT SECURITIES INC. ARSI 2006 W5 A2D                    | CUSIP: 04012XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5307463 | PA      | $1412757.54     | 0.00%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDL 2006-BC4                                         | SPECIALTY UNDERWRITING + RESID SURF 2006 BC4 A2D           | CUSIP: 84751YAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14225716 | PA      | $4794878.66     | 0.00%             | 2037-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2024-INV1                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2024 INV1 SA 144A         | CUSIP: 52475VAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       365632 | PA      | $360195.78      | 0.00%             | 2053-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BO1869 FN 12/48 FIXED 3.5                        | CUSIP: 3140JWCF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42169 | PA      | $39959.82       | 0.00%             | 2048-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST A 144A       | CUSIP: 05555XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    128128316 | PA      | $125055092.82   | 0.06%             | 2050-04-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | 317UC50A6 PIMCO SWAPTION 2.54 CALL EUR 2026041             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -94100000 | NC      | $-14433.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZK9107 FR 12/32 FIXED 3                  | CUSIP: 3131XDDL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       150767 | PA      | $146294.07      | 0.00%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2325 FR 03/53 FIXED 5.5                | CUSIP: 3132DPSN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25774734 | PA      | $26028510.59    | 0.01%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO DAC 11A                                                               | ARBOUR CLO ARBR 11A AR                                     | CUSIP: ACI2P5HV6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     20750000 | PA      | $23998615.79    | 0.01%             | 2038-05-15      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                              | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C               | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13044882 | PA      | $4477323.00     | 0.00%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2003-7                                                    | SLM STUDENT LOAN TR 03 7 ASSET BACKED 144A 12/33 VAR       | CUSIP: 291900II1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       398672 | PA      | $434930.28      | 0.00%             | 2033-12-15      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA4919 FR 03/51 FIXED 3                  | CUSIP: 3133KLPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        20313 | PA      | $18019.13       | 0.00%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N2 E 144A        | CUSIP: 14686KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3072262 | PA      | $3021143.25     | 0.00%             | 2028-03-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA3910 FR 04/32 FIXED 3                  | CUSIP: 31329MKX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59791 | PA      | $58122.65       | 0.00%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-6                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 6 A2C                  | CUSIP: 66988RAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1062877 | PA      | $348996.78      | 0.00%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2006-1                                            | AMERICAN HOME MORTGAGE INVESTM AHM 2006 1 12A1             | CUSIP: 02660TJB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6029415 | PA      | $5482339.34     | 0.00%             | 2046-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-B                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 B SA 144A         | CUSIP: 17327MAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       288939 | PA      | $281025.81      | 0.00%             | 2082-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M4             | CUSIP: 64352VKD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2852769 | PA      | $2879668.77     | 0.00%             | 2035-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR6                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR6 A3A           | CUSIP: 39538BAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7259136 | PA      | $7126734.54     | 0.00%             | 2046-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-193373.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                                 | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                   | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2130893 | PA      | $2022942.45     | 0.00%             | 2036-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| CSAB MTGE BACKED PASS-THRU CERTS 2006-1                                          | CSAB MORTGAGE BACKED TRUST CSAB 2006 1 A6A                 | CUSIP: 22943HAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       191199 | PA      | $46644.60       | 0.00%             | 2036-06-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2004-WMC1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2004 WMC1 M3           | CUSIP: 83611MBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94298 | PA      | $81457.65       | 0.00%             | 2035-01-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH6574 FN 08/47 FIXED 4                          | CUSIP: 3140GVJU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45204 | PA      | $43387.82       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5021 G2 02/48 FIXED 4.5                     | CUSIP: 36179TSJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48052 | PA      | $47425.19       | 0.00%             | 2048-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-A                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1            | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1334068 | PA      | $1217837.84     | 0.00%             | 2036-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MTGE LOAN TRUST 2006-ALT1                                               | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2006 ALT1 A2            | CUSIP: 92978GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7661195 | PA      | $2595345.46     | 0.00%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 3A1          | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       522954 | PA      | $430879.70      | 0.00%             | 2035-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GSAA TRUST 2006-15                                                               | GSAA HOME EQUITY TRUST GSAA 2006 15 AF2                    | CUSIP: 3622E8AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8814977 | PA      | $2210853.53     | 0.00%             | 2036-09-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-359801.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BP5228 FN 04/50 FIXED 4                          | CUSIP: 3140KCY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       730300 | PA      | $693707.26      | 0.00%             | 2050-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI5692 FR 05/54 FIXED 5.5                | CUSIP: 3133WCKD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110278 | PA      | $111414.20      | 0.00%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2003-H                                               | MLCC MORTGAGE INVESTORS INC MLCC 2003 H A3B                | CUSIP: 5899296V5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       886574 | PA      | $887444.94      | 0.00%             | 2029-01-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20270126                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $262198.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7192 FN 03/47 FIXED 4                          | CUSIP: 3140FS7E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3759634 | PA      | $3610609.41     | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q62356 FG 03/49 FIXED 3.5                | CUSIP: 3132VNTN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3261400 | PA      | $3030753.30     | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 3 2CA1                    | CUSIP: 81744MAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2242250 | PA      | $1648001.20     | 0.00%             | 2037-07-20      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/0.5000 03/15/22-20Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |            1 | NC      | $79508151.83    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-FF1                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 FF1 B3 144A       | CUSIP: 59023WAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       604275 | PA      | $842862.82      | 0.00%             | 2036-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F030447<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    471775000 | PA      | $450639824.40   | 0.20%             | 2041-04-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR7                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR7 2A2A          | CUSIP: 172987AW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1075452 | PA      | $939954.56      | 0.00%             | 2036-11-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $1708286.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL12                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RP12 SA 144A        | CUSIP: 12655FAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       238659 | PA      | $234605.72      | 0.00%             | 2060-10-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0481 G2 07/55 FIXED 3.5                     | CUSIP: 3618N5RB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    256550688 | PA      | $235551251.84   | 0.10%             | 2055-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WWF1                                              | PARK PLACE SECURITIES INC PPSI 2004 WWF1 M5                | CUSIP: 70069FDN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9612691 | PA      | $9647830.94     | 0.00%             | 2034-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR9 A1            | CUSIP: 92922FWE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       210947 | PA      | $202309.32      | 0.00%             | 2034-08-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-A                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 A M3              | CUSIP: 63860HAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8000000 | PA      | $7403071.20     | 0.00%             | 2037-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA6152 FR 01/39 FIXED 4                  | CUSIP: 31329PZR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5395808 | PA      | $5284267.96     | 0.00%             | 2039-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.84000 01/08/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $314239.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0305 FN 10/46 FIXED 3.5                        | CUSIP: 3140FKKT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       218325 | PA      | $204966.30      | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-41                                                        | FANNIE MAE FNR 2018 41 PI                                  | CUSIP: 3136B13D4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       233259 | PA      | $12074.26       | 0.00%             | 2047-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2018-RPL3                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL3 PT 144A        | CUSIP: 12653JAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135522137 | PA      | $109842954.92   | 0.05%             | 2058-01-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF0185 FR 09/52 FIXED 5.5                | CUSIP: 3133BMF26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       201632 | PA      | $203580.70      | 0.00%             | 2052-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7803 FN 09/46 FIXED 4                          | CUSIP: 3140FFU58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49478 | PA      | $47428.57       | 0.00%             | 2046-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7032 FN 12/47 FIXED 3.5                        | CUSIP: 3140GVY66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11154192 | PA      | $10389899.36    | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CMLTI 2026-RP1                                                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2026 RP1 PT 144A       | CUSIP: 17332WAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    797500105 | PA      | $782265715.69   | 0.35%             | 2065-02-25      | Fixed         | 5.03%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS3                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS3 M2            | CUSIP: 76113ABM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23953500 | PA      | $22354778.74    | 0.01%             | 2036-04-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M3            | CUSIP: 17307GWT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       211350 | PA      | $211328.95      | 0.00%             | 2035-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| NBA (HARDWOOD FUNDING LLC)                                                       | HARDWOOD FUNDING LLC CORP0HRE5                             | CUSIP: 955NUFII1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     12000000 | PA      | $12035042.40    | 0.01%             | 2030-06-07      | Fixed         | 4.98%                 | Yes           |                  3 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 1A1            | CUSIP: 68401TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24243154 | PA      | $16213687.82    | 0.01%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC4812 FN 11/54 FIXED 5.5                        | CUSIP: 3140ASK23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       985114 | PA      | $990616.97      | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL5                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL5 X 144A         | CUSIP: 12655JAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    716577999 | PA      | $71.66          | 0.00%             | 2076-11-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                               | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A49            | CUSIP: 94985JCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       286599 | PA      | $268188.58      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP1 PT 144A       | CUSIP: 17291JAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407626694 | PA      | $331093518.50   | 0.15%             | 2068-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX2491 FN 10/44 FIXED 4                          | CUSIP: 3138Y3XV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1036227 | PA      | $999040.86      | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9563 FN 03/45 FIXED 4.5                        | CUSIP: 3138YBTV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       361569 | PA      | $356679.10      | 0.00%             | 2045-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-1                                       | VOLKSWAGEN AUTO LOAN ENHANCED VALET 2023 1 A3              | CUSIP: 92867WAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3929522 | PA      | $3945282.13     | 0.00%             | 2028-06-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-2A                                                      | AFFIRM MASTER TRUST AFRMT 2025 2A A 144A                   | CUSIP: 00833BAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     82500000 | PA      | $82779229.50    | 0.04%             | 2033-07-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP2 SA 144A       | CUSIP: 17332KAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        93921 | PA      | $93112.95       | 0.00%             | 2065-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4353 FR 10/47 FIXED 4                  | CUSIP: 3131XXZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12720 | PA      | $12189.59       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1545 FR 12/55 FIXED 5                  | CUSIP: 3142JPWF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8002976 | PA      | $7902765.35     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3634 FN 04/39 FIXED 3.5                        | CUSIP: 31418DBC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       540890 | PA      | $519118.71      | 0.00%             | 2039-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                         | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/30 4.75          | CUSIP: 80414L2X2<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    167100000 | PA      | $165695547.89   | 0.07%             | 2030-06-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7273 FN 02/53 FIXED 5.5                        | CUSIP: 3140NCCK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       880206 | PA      | $888192.26      | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-3                                                | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 3 A 144A              | CUSIP: 33843YAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2934006 | PA      | $2936411.40     | 0.00%             | 2028-11-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5294 FN 03/54 FIXED 5                          | CUSIP: 31418E3C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       661366 | PA      | $653698.98      | 0.00%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AA.06-2 SP JPM                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-101827.00     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-EMX2                                           | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX2 M1           | CUSIP: 75406AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2941937 | PA      | $2922637.91     | 0.00%             | 2036-02-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                            | ENVALIOR FINANCE GMBH EUR TERM LOAN B1                     | CUSIP: D255LZAB1<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |    118900000 | PA      | $123602325.11   | 0.05%             | 2030-03-29      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2B               | CUSIP: 617526AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1392374 | PA      | $820545.43      | 0.00%             | 2036-11-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $10871.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-INV1                                                        | NEW YORK MORTGAGE TRUST NYMT 2024 INV1 A1 144A             | CUSIP: 62956XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17631685 | PA      | $17683980.82    | 0.01%             | 2069-06-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                                                     | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 1A4                 | CUSIP: 466247WL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       112004 | PA      | $108379.60      | 0.00%             | 2035-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 B 144A         | CUSIP: 69544AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4749904 | PA      | $4779283.59     | 0.00%             | 2032-07-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 10 A22                    | CUSIP: 12545CAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1983123 | PA      | $839745.01      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4869 FN 01/53 FIXED 5.5                        | CUSIP: 31418EMT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       899752 | PA      | $908173.43      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5878 FN 11/55 FIXED 5                          | CUSIP: 31418FQ83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1590899634 | PA      | $1570611893.48  | 0.70%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B C 144A           | CUSIP: 78449HAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19950000 | PA      | $20401592.19    | 0.01%             | 2056-10-16      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 918697 FN 06/37 FIXED 6                          | CUSIP: 31411YUW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        58023 | PA      | $60905.19       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                          | COUNTRY GARDEN HLDGS SR UNSECURED 12/31 0.00000            | CUSIP: ACI37QDK6<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     29761270 | PA      | $3330286.11     | 0.00%             | 2031-12-31      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG          | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     57550000 | PA      | $20142500.00    | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H22 FJ                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H22 FA             | CUSIP: 38376RC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2302332 | PA      | $2309945.21     | 0.00%             | 2066-10-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2025-1                                         | JP MORGAN SEASONED MORTGAGE TR JPSMT 2025 1 A4 144A        | CUSIP: 46659PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41845404 | PA      | $39116401.89    | 0.02%             | 2063-01-25      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MTGE INVESTMENT CORP 2005-1                                           | FIELDSTONE MORTGAGE INVESTMENT FMIC 2005 1 M6              | CUSIP: 31659TDF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2058532 | PA      | $1808749.98     | 0.00%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52216 FG 11/47 FIXED 3.5                | CUSIP: 3132XUPA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98928 | PA      | $92305.35       | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                     | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    401218892 | PA      | $368377934.31   | 0.16%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP5889 FN 09/42 FIXED 4                          | CUSIP: 3138M9RK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       420199 | PA      | $403598.55      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX9149 FN 01/45 FIXED 3.5                        | CUSIP: 3138YBEX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34210 | PA      | $32141.81       | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MAYFLOWER RE LTD                                                                 | MAYFLOWER RE LTD UNSECURED 144A 07/30 VAR                  | CUSIP: 57839MAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       700000 | PA      | $709100.00      | 0.00%             | 2030-07-08      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AA.06-2 SP ULO                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-3034444.36    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2006-2                                               | HOME EQUITY ASSET TRUST HEAT 2006 2 M1 144A                | CUSIP: 437084TB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13592222 | PA      | $13733472.49    | 0.01%             | 2036-05-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                                  | REPUBLIC OF VENEZUELA SR UNSECURED REGS 03/38 7            | CUSIP: P97475AJ9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      9027500 | PA      | $3723843.75     | 0.00%             | 2038-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 829332 FN 09/35 FLOATING VAR                     | CUSIP: 31407FLM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1675 | PA      | $1721.47        | 0.00%             | 2035-09-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S4                                           | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S4 A4            | CUSIP: 466302AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1443816 | PA      | $1507557.01     | 0.00%             | 2036-12-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4592 FN 02/48 FIXED 4                          | CUSIP: 3140H6C64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1064890 | PA      | $1020458.29     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $96336.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF5932 FN 12/55 FIXED 5                          | CUSIP: 3140BWSW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5205474 | PA      | $5140172.08     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2024-3A LTD                                           | PALMER SQUARE LOAN FUNDING LTD PSTAT 2024 3A A1R 144A      | CUSIP: 69690EAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    101448445 | PA      | $101429682.11   | 0.05%             | 2032-08-08      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260507                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $2541368.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY6466 FR 06/55 FIXED 5                  | CUSIP: 31426RFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       305098 | PA      | $301419.78      | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE1                                                     | ACE SECURITIES CORP. ACE 2007 HE1 A2D                      | CUSIP: 00443LAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       980266 | PA      | $597042.54      | 0.00%             | 2037-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-AR8                                             | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR8 A1           | CUSIP: 94985YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11124 | PA      | $10298.71       | 0.00%             | 2037-11-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS4329 FN 01/30 FIXED 3                          | CUSIP: 3138WDY39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28571 | PA      | $28069.92       | 0.00%             | 2030-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-125691.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.23000 10/23/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1638773.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD3 A1 144A        | CUSIP: 23244AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55946 | PA      | $55868.17       | 0.00%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-12T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 12T1 A16         | CUSIP: 02150LAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2858355 | PA      | $1201280.83     | 0.00%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                                   | DATABRICKS INC 2025 DELAYED DRAW TERM LOAN                 | CUSIP: 23803RAF8<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |     48024017 | PA      | $47783897.38    | 0.02%             | 2032-01-05      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| LCM 39A LTD                                                                      | LCM LTD PARTNERSHIP LCM 39A A1R2 144A                      | CUSIP: 50204NBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     38400000 | PA      | $38405770.75    | 0.02%             | 2034-10-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 902382 FN 11/36 FIXED 6.5                        | CUSIP: 31411ARB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          722 | PA      | $757.46         | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q15843 FG 02/43 FIXED 3                  | CUSIP: 3132J65D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6270 | PA      | $5755.15        | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-118568.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1011 FN 09/53 FIXED 6.5                        | CUSIP: 3140A1DR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14303585 | PA      | $14820477.50    | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0049 FR 09/55 FIXED 5.5                | CUSIP: 3142J6BT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11813873 | PA      | $11879867.71    | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8795 FN 03/53 FIXED 5                          | CUSIP: 3140NDXZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1435558 | PA      | $1422223.33     | 0.00%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1314 FN 01/48 FIXED 4                          | CUSIP: 3140Q8N84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10002143 | PA      | $9596781.24     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260406                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-209720.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC9068 FN 12/46 FIXED 3.5                        | CUSIP: 3140F5CE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        49506 | PA      | $46288.60       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-D                                                        | CENTEX HOME EQUITY CXHE 2004 D MV1                         | CUSIP: 152314LQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2378756 | PA      | $2354152.50     | 0.00%             | 2034-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.09000 01/22/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2597964.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TERWIN MTGE TRUST 2007-QHL1                                                      | TERWIN MORTGAGE TRUST TMTS 2007 QHL1 A1 144A               | CUSIP: 88157YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       529188 | PA      | $531851.12      | 0.00%             | 2038-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIII LTD / PREFERRED TERM SECURITIES XXIII INC        | PREFERRED TERM XXIII SR SECURED 144A 12/36 VAR             | CUSIP: 74043AAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      2901065 | PA      | $2770517.22     | 0.00%             | 2036-12-22      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 894625 FN 11/36 FIXED 6.5                        | CUSIP: 31410Q4J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1771 | PA      | $1844.17        | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL9 PT 144A        | CUSIP: 12654PAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4136672 | PA      | $3530222.09     | 0.00%             | 2057-09-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM8                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM8 A1 144A      | CUSIP: 61779QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27883207 | PA      | $27846281.43    | 0.01%             | 2070-09-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $82969.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2003-AR7 TRUST                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR7 A7            | CUSIP: 9292276K7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       101350 | PA      | $99597.79       | 0.00%             | 2033-08-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ4365 FR 06/55 FIXED 5.5                | CUSIP: 3142GUZ71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    149534321 | PA      | $152298108.13   | 0.07%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-C                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 C M1              | CUSIP: 05946XUE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3325831 | PA      | $3310032.19     | 0.00%             | 2035-05-20      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q53034 FG 12/47 FIXED 3.5                | CUSIP: 3132XVLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       135513 | PA      | $126553.47      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-113014.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972164 FH 01/35 FLOATING VAR             | CUSIP: 31336CMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        15752 | PA      | $16196.88       | 0.00%             | 2035-01-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2007-3                                                   | BNC MORTGAGE LOAN TRUST BNCMT 2007 3 A1                    | CUSIP: 05568QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5108022 | PA      | $4762759.15     | 0.00%             | 2037-07-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING 2005-2 TRUST                                             | BANC OF AMERICA FUNDING CORPOR BAFC 2005 2 1A16            | CUSIP: 05946XTF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        58576 | PA      | $58952.08       | 0.00%             | 2035-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD7117 FR 10/54 FIXED 6                  | CUSIP: 3132DU4A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10450277 | PA      | $10872037.66    | 0.00%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA0682 FR 06/49 FIXED 3.5                | CUSIP: 31334WXK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173165 | PA      | $160843.49      | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2002-AL1                                               | STRUCTURED ASSET SECURITIES CO SASC 2002 AL1 A3            | CUSIP: 86358RXZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        40873 | PA      | $6449.03        | 0.00%             | 2032-02-25      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG          | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     15734000 | PA      | $5506900.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB2173 FN 01/41 FIXED 4                          | CUSIP: 31416XMX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       223678 | PA      | $216154.77      | 0.00%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATIONS CORP.                                            | CONSECO FINANCE SECURITIZATION CNF 2000 6 A5               | CUSIP: 20846QFQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2601227 | PA      | $2640028.20     | 0.00%             | 2031-09-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK4844 FN 05/27 FIXED 3                          | CUSIP: 3138E9L24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2454 | PA      | $2435.29        | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | NISSAN MOTOR CO LTD SNR JP SP NGF                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | JP        |            1 | NC      | $-366892.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                                         | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                   | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     38400000 | PA      | $38452545.79    | 0.02%             | 2034-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C                                   | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 C M1             | CUSIP: 73316MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1519474 | PA      | $1460921.50     | 0.00%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260713                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1591180.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE0085 FN 12/46 FIXED 4                          | CUSIP: 3140FKCX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85045 | PA      | $81682.18       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H6 MORTGAGE TRUST                                                     | CROSS MORTGAGE TRUST CROSS 2024 H6 A1 144A                 | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7120378 | PA      | $7126374.37     | 0.00%             | 2069-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXIX LTD                                                            | SYMPHONY CLO LTD SYMP 2021 29A AR 144A                     | CUSIP: 87168GAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     41000000 | PA      | $40948752.87    | 0.02%             | 2035-10-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1           | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          125 | PA      | $127.67         | 0.00%             | 2033-02-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2005                                         | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 8 A6             | CUSIP: 05949CGT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        49905 | PA      | $43531.50       | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2004 2 1A1                     | CUSIP: 12669FKR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       133873 | PA      | $128508.80      | 0.00%             | 2034-02-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080567 G2 01/32 FLOATING VAR                  | CUSIP: 36225CTZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12904 | PA      | $12854.55       | 0.00%             | 2032-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.50000 09/16/26-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-27316027.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0632 FN 03/48 FIXED 4                          | CUSIP: 3140H1V23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       156210 | PA      | $149575.82      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M3            | CUSIP: 59020UUY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       497718 | PA      | $493406.34      | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A2             | CUSIP: 74958YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       394619 | PA      | $301638.52      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $3164382.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-8AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 8AR 3A             | CUSIP: 61748HEE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        20061 | PA      | $20134.58       | 0.00%             | 2034-10-25      | Variable      | 5.63%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                                      | ICG US CLO LTD ICG 2021 3A AR 144A                         | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     75900000 | PA      | $75992588.89    | 0.03%             | 2034-10-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| CONTEGO CLO III BV 3A                                                            | CONTEGO CLO DAC CONTE 3A ARR 144A                          | CUSIP: ACI2ZDDH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | NL        |     85000000 | PA      | $98190187.06    | 0.04%             | 2038-04-15      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.6062* 03/01/24-7Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $96365.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.03683 08/07/23-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-3840401.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260526                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $88356.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $137467.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECS CORP 2005-KS12                                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS12 M3           | CUSIP: 753910AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1275497 | PA      | $1270108.01     | 0.00%             | 2036-01-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A3            | CUSIP: 146919AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     37406121 | PA      | $37409061.40    | 0.02%             | 2029-10-10      | Fixed         | 4.26%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING IX LTD 9A                                               | ALESCO PREFERRED FUNDING LTD ALESC 9A A2A 144A             | CUSIP: 01449TAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     27500000 | PA      | $26193750.00    | 0.01%             | 2036-06-23      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3880 FN 11/39 FIXED 4                          | CUSIP: 31418DJ29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        98970 | PA      | $96717.26       | 0.00%             | 2039-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 2A2A          | CUSIP: 41161PKA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       120220 | PA      | $95848.53       | 0.00%             | 2035-01-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-RPL2                         | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 RPL2 SA 144A      | CUSIP: 617957AR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       818272 | PA      | $751033.49      | 0.00%             | 2065-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 889245 FN 02/38 FIXED VAR                        | CUSIP: 31410G5E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       144428 | PA      | $151167.88      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES1                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES1 A1A 144A        | CUSIP: 749427AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34327000 | PA      | $34520137.82    | 0.02%             | 2045-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.19985 03/31/26-28Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-763546.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.59000 07/23/24-2Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $17407751.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $2986210.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-OPT1                                             | HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 1A           | CUSIP: 40431JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25548977 | PA      | $22518998.22    | 0.01%             | 2036-12-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW8495 FN 11/44 FIXED 4.5                        | CUSIP: 3138XYNM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125465 | PA      | $123847.32      | 0.00%             | 2044-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-223252.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 13A1          | CUSIP: 07387AFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3910 | PA      | $3491.19        | 0.00%             | 2036-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS3                                              | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS3 AI4           | CUSIP: 74924YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24941722 | PA      | $24315884.24    | 0.01%             | 2037-04-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GROSVENOR SQUARE RMBS 2023-1A PLC                                                | GROSVENOR SQUARE RMBS PLC GVSQR 2023 1A D 144A             | CUSIP: ACI2DJB37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     24632749 | PA      | $32630183.52    | 0.01%             | 2053-03-14      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51086 FG 10/47 FIXED 3.5                | CUSIP: 3132XTF45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       416706 | PA      | $387948.88      | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2020 RP2                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2020 RP2 SA 144A       | CUSIP: 17329AAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       411586 | PA      | $394399.18      | 0.00%             | 2060-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260401                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-2300201.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1          | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3633383 | PA      | $2452442.54     | 0.00%             | 2037-06-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-24                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 2A1A          | CUSIP: 12667GNV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       822963 | PA      | $778536.46      | 0.00%             | 2035-07-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ3877 FN 01/48 FIXED 3.5                        | CUSIP: 3140H5JX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34783097 | PA      | $32342112.71    | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2005-HE5                                             | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE5 M4           | CUSIP: 04541GSL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2707157 | PA      | $2679675.36     | 0.00%             | 2035-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5907 FN 02/48 FIXED 3.5                        | CUSIP: 3140H7R58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       228804 | PA      | $212392.65      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H07 FK             | CUSIP: 38376RRL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5612706 | PA      | $5648140.49     | 0.00%             | 2066-03-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY0431 FR 04/55 FIXED 5                  | CUSIP: 31426JPR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2316005 | PA      | $2286568.95     | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2018-RPL3                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2018 RPL3 B1 144A         | CUSIP: 52474AAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132995966 | PA      | $129847698.79   | 0.06%             | 2058-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/0.5* 12/18/20-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $26160095.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 031848 FN 08/26 FLOATING VAR                     | CUSIP: 31361HL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           20 | PA      | $19.61          | 0.00%             | 2026-08-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H19                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H19 FA             | CUSIP: 38376RZN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1125841 | PA      | $1129054.75     | 0.00%             | 2066-09-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260721                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-311194.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                     | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625           | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     54600000 | PA      | $38220000.00    | 0.02%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RQ0033 FR 06/55 FIXED 5                  | CUSIP: 3142J6BB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5814638 | PA      | $5740958.01     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 03/20/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |            1 | NC      | $-29605890.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-HE1                                               | MASTR ASSET BACKED SECURITIES MABS 2007 HE1 A3             | CUSIP: 576457AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       579046 | PA      | $566262.22      | 0.00%             | 2037-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6111 FN 11/45 FIXED 4                          | CUSIP: 3138WFYH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8109 | PA      | $7794.37        | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2002-C                                               | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M2              | CUSIP: 03072SDG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         3277 | PA      | $2334.53        | 0.00%             | 2032-11-25      | Floating      | 7.32%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-2 2018-2A                               | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 2A B4C 144A        | CUSIP: 64828CDL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5269556 | PA      | $5116803.84     | 0.00%             | 2058-02-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2256                                                                 | FREDDIE MAC FHR 2256 MC                                    | CUSIP: 3133TPS67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2399 | PA      | $2483.23        | 0.00%             | 2030-09-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB7426 FN 11/53 FIXED 6.5                        | CUSIP: 3140QTHC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        48732 | PA      | $50633.58       | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |            1 | NC      | $516370.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES 24-AA                                                           | DURHAM MORTGAGES DRHM 2024 AA YCRT 144A                    | CUSIP: ACI12VLV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         9500 | PA      | $4161212.92     | 0.00%             | 2054-05-28      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $6567.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-4087722.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SR UNSECURED 11/28 VAR            | CUSIP: 80281LAG0<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     31580000 | PA      | $31184484.19    | 0.01%             | 2028-11-03      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL V83790 FG 12/47 FIXED 3.5                | CUSIP: 3132L9F75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4872257 | PA      | $4538016.73     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG6105 G2 05/48 FIXED 4                       | CUSIP: 3617GQYA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       541063 | PA      | $511495.04      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2007-C                                            | NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 C M1              | CUSIP: 63860KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2527000 | PA      | $2271515.50     | 0.00%             | 2037-06-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-1304.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2005-2                                    | STRUCTURED ASSET INVESTMENT LO SAIL 2005 2 M3              | CUSIP: 86358ERC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5861270 | PA      | $5714671.38     | 0.00%             | 2035-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 3A             | CUSIP: 65535VSD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       512730 | PA      | $340484.39      | 0.00%             | 2036-02-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| ROUNDSTONE SECURITIES NO 2 DESIGNATED ACTIVITY CO 2A                             | ROUNDSTONE SECURITIES RNST 2A R                            | CUSIP: ACI2NGCQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     23143000 | PA      | $24508848.25    | 0.01%             | 2058-06-28      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BN0846 FN 10/48 FIXED 4                          | CUSIP: 3140JG5G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        18328 | PA      | $17559.73       | 0.00%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-BU1                                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A         | CUSIP: 41161PG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       982017 | PA      | $927322.16      | 0.00%             | 2046-02-19      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-5                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 5 M2             | CUSIP: 68389FJZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1819185 | PA      | $1791396.28     | 0.00%             | 2035-12-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-23                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 1A              | CUSIP: 12666CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23998763 | PA      | $23074146.30    | 0.01%             | 2037-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-488134.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2D               | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9703846 | PA      | $4630094.23     | 0.00%             | 2036-11-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-723719.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2020-1 DAC  20-1A                                               | BARINGS EURO CLO BABSE 2020 1A B1RR 144A                   | CUSIP: ACI316343<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     16600000 | PA      | $19196482.72    | 0.01%             | 2038-10-21      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM1 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 NQM1 A1 144A      | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29153366 | PA      | $29329656.49    | 0.01%             | 2069-11-25      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-145                                                       | FANNIE MAE FNR 2012 145 CI                                 | CUSIP: 3136AAX26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       387016 | PA      | $5624.57        | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AUST 10Y BOND FUT JUN26 XSFE 20260615                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        34142 | NC      | $-13561288.56   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA R 144A         | CUSIP: 21050UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     15474863 | PA      | $8325090.28     | 0.00%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1           | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7881693 | PA      | $2449371.69     | 0.00%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1434 FR 12/55 FIXED 5                  | CUSIP: 3142JPSY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19978518 | PA      | $19723747.76    | 0.01%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                                         | BCAP LLC TRUST BCAP 2010 RR11 8A2 144A                     | CUSIP: 05533JBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4165389 | PA      | $3765362.10     | 0.00%             | 2037-05-27      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR5                                                          | BCAP LLC TRUST BCAP 2012 RR5 2A1 144A                      | CUSIP: 05539DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18978219 | PA      | $14787911.38    | 0.01%             | 2047-11-27      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY2075 FR 05/55 FIXED 5                  | CUSIP: 31426LJV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2008312 | PA      | $1985708.30     | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY7166 FR 07/55 FIXED 5                  | CUSIP: 31426R6C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3293901 | PA      | $3254139.83     | 0.00%             | 2055-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                                | OSCAR US FUNDING TRUST OSCAR 2024 2A A2 144A               | CUSIP: 68784BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9517608 | PA      | $9522335.40     | 0.00%             | 2027-12-10      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ5380 FN 11/41 FIXED 4                          | CUSIP: 3138AW6S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78520 | PA      | $75878.11       | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANK-2018-BN10                                                                   | BANK BANK 2018 BN10 XB                                     | CUSIP: 065404BG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    215517000 | PA      | $1320106.28     | 0.00%             | 2061-02-15      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2005-FF8                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF8 M3             | CUSIP: 362341QT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9774160 | PA      | $9219011.26     | 0.00%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.5* 7/20/23-6Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-5823640.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A4           | CUSIP: 44328AAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1647818 | PA      | $568419.22      | 0.00%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ4818 FN 11/42 FIXED 4                          | CUSIP: 3138MLK86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54914 | PA      | $53098.25       | 0.00%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A2                 | CUSIP: 46630GAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4824 | PA      | $4862.32        | 0.00%             | 2035-07-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEX BONOS DESARR FIX RT BONDS 05/33 7.5                    | CUSIP: ACI2BPJ03<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    451600000 | PA      | $23136594.54    | 0.01%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                          | ACHV ABS TRUST ACHV 2025 1PL A 144A                        | CUSIP: 00112MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2741416 | PA      | $2746651.20     | 0.00%             | 2032-04-26      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4709 FN 08/46 FIXED 3.5                        | CUSIP: 3140FCGT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45920 | PA      | $43013.77       | 0.00%             | 2046-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS4756 FR 02/48 FIXED 4                  | CUSIP: 3132A5H99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       421226 | PA      | $403648.96      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 08/29 11                        | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 995819500000 | PA      | $251076682.23   | 0.11%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                        | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A R 144A          | CUSIP: 21050QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     22967008 | PA      | $11817363.32    | 0.01%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS7                                            | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS7 M1            | CUSIP: 75406XAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       732873 | PA      | $729667.62      | 0.00%             | 2036-09-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.68500 01/24/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-548601.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9844 FN 10/47 FIXED 3.5                        | CUSIP: 3140GY5E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1168502 | PA      | $1086498.62     | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5157 FN 02/47 FIXED 4                          | CUSIP: 3140FQWT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       592405 | PA      | $566072.49      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-SD3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 SD3 A1 144A        | CUSIP: 126673FJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       174943 | PA      | $172553.49      | 0.00%             | 2034-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX0884 FN 02/53 FIXED 5.5                        | CUSIP: 3140N46W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1481768 | PA      | $1502582.53     | 0.00%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR33                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR33 1A21         | CUSIP: 45668JAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2827819 | PA      | $2438591.14     | 0.00%             | 2037-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2004-1                                               | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2004 1 M1             | CUSIP: 68389FES9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8474826 | PA      | $8093796.88     | 0.00%             | 2034-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY6053 FN 08/53 FIXED 6                          | CUSIP: 3140NNWP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1296803 | PA      | $1325622.57     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-3                                                     | LEHMAN MORTGAGE TRUST LMT 2005 3 2A7                       | CUSIP: 52520MEF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        78680 | PA      | $70533.74       | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ENCINA SPV                                                                       | ENCINA PRIVATE CREDIT PFD PFD0 PFD0ENCN8                   | CUSIP: 934KZP905<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        24670 | NS      | $0.25           | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A1A          | CUSIP: 41161PKD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       675395 | PA      | $646311.03      | 0.00%             | 2035-01-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-147544.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-J7                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J7 M1            | CUSIP: 12667FTE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2588874 | PA      | $2579375.21     | 0.00%             | 2034-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90750 03/04/25-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-858258.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2006-2                                            | ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 M1              | CUSIP: 00437NAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1486000 | PA      | $1436872.54     | 0.00%             | 2036-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2545 FN 04/47 FIXED 4                          | CUSIP: 3140FMZK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2257 | PA      | $2170.20        | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF5711 FN 12/55 FIXED 5                          | CUSIP: 3140BWKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       312704 | PA      | $309255.44      | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                                 | FREDDIE MAC FHR 4839 WO                                    | CUSIP: 3137FJK81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     41282643 | PA      | $26471962.28    | 0.01%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 11A1           | CUSIP: 07384MZ88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       145418 | PA      | $139500.40      | 0.00%             | 2034-11-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST 2023-1A                                         | FIRST INVESTORS AUTO OWNER TRU FIAOT 2023 1A A 144A        | CUSIP: 320986AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4624459 | PA      | $4650529.37     | 0.00%             | 2028-10-16      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX4397 FN 12/52 FIXED 5                          | CUSIP: 3140N83F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       831338 | PA      | $831411.92      | 0.00%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL5 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL5 B1 144A        | CUSIP: 12660QAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14910250 | PA      | $12133800.42    | 0.01%             | 2061-02-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AS.6 SP DUB                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $77.78          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL2503 FR 06/55 FIXED 6.5                | CUSIP: 31427PX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27521787 | PA      | $29009069.51    | 0.01%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK4187 FN 03/48 FIXED 3.5                        | CUSIP: 3140HHUM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       279337 | PA      | $260313.85      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                                | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 1A1           | CUSIP: 44328AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4196559 | PA      | $1109137.85     | 0.00%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1                  | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5848105 | PA      | $5415308.78     | 0.00%             | 2046-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 2A1            | CUSIP: 05949CPG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       781638 | PA      | $708218.65      | 0.00%             | 2036-01-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6953985376 | PA      | $6977050702.39  | 3.10%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ0546 FN 11/42 FIXED 3.5                        | CUSIP: 3138MFTC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4319 | PA      | $4079.60        | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7691 FN 12/55 FIXED 5                          | CUSIP: 3140BYRM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6103695 | PA      | $6028674.71     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA5399 G2 08/48 FIXED 4.5                     | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3865024 | PA      | $3806371.69     | 0.00%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5585 FN 01/55 FIXED 5                          | CUSIP: 31418FF36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    159417138 | PA      | $157376712.19   | 0.07%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY5                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY5 3A1           | CUSIP: 92990GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       465295 | PA      | $412996.99      | 0.00%             | 2037-05-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.78750 05/03/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-9648952.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1A 144A         | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10230191 | PA      | $10315975.47    | 0.00%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 26A1                 | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4539219 | PA      | $2347530.16     | 0.00%             | 2035-11-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                                                    | LUX 2023 LION LUX 2023 LION A 144A                         | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36100000 | PA      | $36323718.92    | 0.02%             | 2040-08-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| KIZUNA RE III PTE LTD                                                            | KIZUNA RE III PTE LTD UNSECURED 144A 04/29 VAR             | CUSIP: 49835JAB2<br>LEI: 984500004749BBB42B88 | Long             | DBT              | CORP              | SG        |      6121000 | PA      | $6227811.45     | 0.00%             | 2029-04-09      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5167 FN 10/53 FIXED 6.5                        | CUSIP: 31418EW55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2564608 | PA      | $2658802.44     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1522 FN 01/29 FIXED 3                          | CUSIP: 3138WAVQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1161644 | PA      | $1145750.95     | 0.00%             | 2029-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO X 2020-10A                                                      | OCEAN TRAILS CLO OCTR 2020 10A BR2 144A                    | CUSIP: 67516CAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7750000 | PA      | $7757753.41     | 0.00%             | 2034-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55000 08/21/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $3286398.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4422 FN 07/45 FIXED 4                          | CUSIP: 3138YV4G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24551 | PA      | $23582.43       | 0.00%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R5                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R5 M6             | CUSIP: 03072SE76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9000000 | PA      | $8349746.40     | 0.00%             | 2035-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                             | VASA TRUST VASA 2021 VASA A 144A                           | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17800000 | PA      | $17491976.34    | 0.01%             | 2039-07-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H24 F              | CUSIP: 38376RJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3952289 | PA      | $3967798.93     | 0.00%             | 2066-11-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F032666<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1063865000 | PA      | $973190743.46   | 0.43%             | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                                           | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 1A1A          | CUSIP: 25151XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7434524 | PA      | $7004533.64     | 0.00%             | 2047-08-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-2982222.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO7974 FN 06/27 FIXED 3                          | CUSIP: 3138LY2G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3844 | PA      | $3814.86        | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1878 FR 04/55 FIXED 6.5                | CUSIP: 31427PCQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18623565 | PA      | $19490138.64    | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HKD SOLD USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $-833.63        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9031 FN 10/47 FIXED 4                          | CUSIP: 3140GYA90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85306 | PA      | $82125.84       | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2005-A4                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A4 1A             | CUSIP: 59020UXH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       280804 | PA      | $120891.84      | 0.00%             | 2035-07-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 25-NPL14                                    | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL14 A1 144A     | CUSIP: 69393CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    125019327 | PA      | $124267411.06   | 0.06%             | 2055-12-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C               | CUSIP: 61750SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32933481 | PA      | $14369813.16    | 0.01%             | 2036-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 2 1A1             | CUSIP: 17307GQY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       398067 | PA      | $383498.02      | 0.00%             | 2035-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 610645 FN 10/31 FIXED 6.5                        | CUSIP: 31388PL25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          387 | PA      | $399.84         | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-6                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 6 2A2             | CUSIP: 05950RBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       943787 | PA      | $784119.31      | 0.00%             | 2036-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                                | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D           | CUSIP: 81377AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3433117 | PA      | $1300863.14     | 0.00%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| NRZT 2019-5A                                                                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 5A B1 144A         | CUSIP: 64830MBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40692843 | PA      | $39054028.54    | 0.02%             | 2059-08-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                             | GSAMP TRUST GSAMP 2007 FM1 A2A                             | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       594122 | PA      | $293700.75      | 0.00%             | 2036-12-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| TRIAXX PRIME CDO 2007-1A                                                         | TRIAXX PRIME CDO TRIAX 2007 1A A1T 144A                    | CUSIP: 896006AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5842938 | PA      | $49565.65       | 0.00%             | 2039-10-02      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q43948 FG 10/46 FIXED 3                  | CUSIP: 3132WHL60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7060970 | PA      | $6370101.02     | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF7557 FR 02/53 FIXED 4                  | CUSIP: 3133BVME2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       524099 | PA      | $499103.22      | 0.00%             | 2053-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260424                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-2608173.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP1 X 144A        | CUSIP: 173114AQ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    219140594 | PA      | $16864862.89    | 0.01%             | 2070-03-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                             | EAST LANE RE VII LTD SR UNSECURED 144A 03/32 VAR           | CUSIP: 27332EAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     22100000 | PA      | $22137570.00    | 0.01%             | 2032-03-31      | Floating      | 12.10%                | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A3            | CUSIP: 590238AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22331032 | PA      | $8460975.66     | 0.00%             | 2047-04-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF5             | CUSIP: 75971EAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       683346 | PA      | $226620.97      | 0.00%             | 2036-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 C A1B 144A         | CUSIP: 78449CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4934781 | PA      | $5016655.03     | 0.00%             | 2050-05-16      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                      | NEWGATE FUNDING PLC NGATE 2007 3X BB REGS                  | CUSIP: B2NDQHII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1590165 | PA      | $1764473.08     | 0.00%             | 2050-12-15      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                                | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                 | CUSIP: 096003AD0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1500000 | PA      | $1483725.00     | 0.00%             | 2029-01-08      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-703512.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 897819 FN 09/36 FIXED 6                          | CUSIP: 31410UPC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7747 | PA      | $8108.01        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN TRUST 2012-RR2                                         | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2012 RR2 1A2 144A     | CUSIP: 94988GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13115961 | PA      | $12282230.16    | 0.01%             | 2047-09-27      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 09/17/25-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $123238997.84   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.24000 09/16/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2433194.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EFMT 2024-CES1                                                                   | ELLINGTON FINANCIAL MORTGAGE T EFMT 2024 CES1 A1 144A      | CUSIP: 281907AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13435362 | PA      | $13483133.20    | 0.01%             | 2060-01-26      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS MXN TIIE1+24/8.1*12/22/25-12Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |            1 | NC      | $4419890.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB3901 FN 11/26 FIXED 3                          | CUSIP: 31417AKP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6343 | PA      | $6311.51        | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-RP6                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 RP6 SA 144A       | CUSIP: 17329YAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       677476 | PA      | $660120.77      | 0.00%             | 2061-05-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ASCENT EDUCATION FUNDING TRUST 2024-A                                            | ASCENT EDUCATION FUNDING TRUST ASCNT 2024 A A 144A         | CUSIP: 04362VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9404708 | PA      | $9602420.89     | 0.00%             | 2050-10-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 3A1           | CUSIP: 16163LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13049 | PA      | $12793.06       | 0.00%             | 2035-06-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 535599 FN 10/40 FLOATING VAR                     | CUSIP: 31384V7L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6737 | PA      | $6757.42        | 0.00%             | 2040-10-01      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DE3827 FN 11/55 FIXED 5                          | CUSIP: 3140BGHD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7170367 | PA      | $7077159.35     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 09/45 2.7                      | CUSIP: ACI315PQ2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  29963250000 | PA      | $173822910.49   | 0.08%             | 2045-09-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3951                                                          | FREDDIE MAC FHR 3951 US                                    | CUSIP: 3137AHVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       364559 | PA      | $340252.15      | 0.00%             | 2040-02-15      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | FORD MOTOR COMPANY SNR S* ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $78303.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FAIR OAKS LOAN FUNDING V DAC 5A                                                  | FAIR OAKS LOAN FUNDING FOAKS 5A AR 144A                    | CUSIP: ACI384R29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     27900000 | PA      | $32230100.87    | 0.01%             | 2036-10-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7056 FN 03/47 FIXED 3.5                        | CUSIP: 3140FEZW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7724 | PA      | $7217.46        | 0.00%             | 2047-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08697 FG 03/46 FIXED 3                  | CUSIP: 3128MJX39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        71781 | PA      | $65051.13       | 0.00%             | 2046-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A2          | CUSIP: 12667GLC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2047624 | PA      | $1636092.68     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S6                                                              | GSAMP TRUST GSAMP 2006 S6 A1B                              | CUSIP: 36245CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1493981 | PA      | $6414.41        | 0.00%             | 2036-10-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| GSMSC RESECURITIZATION TRUST 2015-6R                                             | GS MORTGAGE SECURITIES CORP. GSMSC 2015 6R C 144A          | CUSIP: 36248VAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16850131 | PA      | $15848860.56    | 0.01%             | 2037-02-26      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA2521 G2 01/45 FIXED 3.5                     | CUSIP: 36179QYS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        78051 | PA      | $73536.17       | 0.00%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AS.9 SP GST                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $704.43         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 2A1A           | CUSIP: 17313QAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       808738 | PA      | $88023.71       | 0.00%             | 2037-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD8352 FN 05/55 FIXED 5                          | CUSIP: 3140B9H69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6121409 | PA      | $6044782.49     | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC3385 FN 10/54 FIXED 5.5                        | CUSIP: 3140AQXP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       339243 | PA      | $341152.26      | 0.00%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SR UNSECURED 01/28 VAR            | CUSIP: 80281LAR6<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |     12330000 | PA      | $12128365.17    | 0.01%             | 2028-01-11      | Floating      | 2.47%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE BV 2024-1                                                 | DUTCH MORTGAGE FINANCE DMFI 2024 1A R                      | CUSIP: ACI2Q4L01<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |      1830000 | PA      | $62626039.16    | 0.03%             | 2067-08-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-3A                                                      | AFFIRM MASTER TRUST AFRMT 2025 3A A 144A                   | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45110000 | PA      | $44955989.95    | 0.02%             | 2034-10-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 3 22A1                 | CUSIP: 07386HL33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8424868 | PA      | $6057911.10     | 0.00%             | 2036-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-3                                                 | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 3 1A1            | CUSIP: 05954CAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        65541 | PA      | $54170.74       | 0.00%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ6963 FR 11/55 FIXED 5                  | CUSIP: 31427GWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10314729 | PA      | $10186448.27    | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-1                                              | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 1 2A4              | CUSIP: 65538NAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        37941 | PA      | $40068.26       | 0.00%             | 2037-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2005-NC3                                               | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC3 M4            | CUSIP: 144531DB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2164752 | PA      | $2184248.56     | 0.00%             | 2035-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5699 FN 05/55 FIXED 5                          | CUSIP: 31418FKM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100163981 | PA      | $98894760.83    | 0.04%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0407 FN 09/47 FIXED 3.5                        | CUSIP: 3140Q7NZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       125901 | PA      | $117377.44      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-1527.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF7759 FN 01/56 FIXED 5                          | CUSIP: 3140BYTR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23709744 | PA      | $23404951.17    | 0.01%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-12                                                  | GSR MORTGAGE LOAN TRUST GSR 2004 12 2A2                    | CUSIP: 36242DKV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       387519 | PA      | $45940.82       | 0.00%             | 2034-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-14                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 14 2A3             | CUSIP: 23243LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3074313 | PA      | $3027361.23     | 0.00%             | 2037-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0UIA5 PIMCO FPPSWAPTION 2.18 CALL USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    174900000 | NC      | $3027501.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5                   | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   5129300000 | PA      | $283327421.08   | 0.13%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-N1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 N1 A2 144A       | CUSIP: 14688XAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2837746 | PA      | $2840590.00     | 0.00%             | 2028-05-10      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 B R 144A           | CUSIP: 78450CAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5840080 | PA      | $7442198.40     | 0.00%             | 2052-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H07 GA             | CUSIP: 38375BQ70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74971 | PA      | $74952.07       | 0.00%             | 2063-03-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE3702 FN 06/47 FIXED 4                          | CUSIP: 3140FPDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11446367 | PA      | $10973500.17    | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                           | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 FAME A 144A       | CUSIP: 63873VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000000 | PA      | $9198274.00     | 0.00%             | 2036-08-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM3779 FN 05/46 FIXED VAR                        | CUSIP: 3140J8FV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        13916 | PA      | $13060.19       | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A           | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21241894 | PA      | $18950195.29    | 0.01%             | 2046-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3739 FN 12/52 FIXED 5.5                        | CUSIP: 3140N8EM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4741702 | PA      | $4786081.28     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP11                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP11 1B3 144A       | CUSIP: 12597GAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60998821 | PA      | $32433121.92    | 0.01%             | 2059-04-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AQ4555 FN 12/42 FIXED 4                          | CUSIP: 3138MLBZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        36066 | PA      | $34830.10       | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2007-3XS                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 3XS 1A2A           | CUSIP: 61752RAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        73636 | PA      | $68997.29       | 0.00%             | 2047-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                       | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A REGS 12/43 1    | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     65500000 | PA      | $20422282.25    | 0.01%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-WL1                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL1 M1           | CUSIP: 542514QW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34491412 | PA      | $33702155.70    | 0.01%             | 2046-01-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65000 03/05/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-861251.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3695 FN 07/34 FIXED 3                          | CUSIP: 31418DC91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        74391 | PA      | $71776.20       | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY 01/29 VAR                                 | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      6776000 | PA      | $7022636.78     | 0.00%             | 2029-01-18      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE9314 FN 03/47 FIXED 4                          | CUSIP: 3140FVK47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       197192 | PA      | $189085.97      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-1132621.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTGE 2004-14                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 14 3A1            | CUSIP: 863579CD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        15467 | PA      | $15026.37       | 0.00%             | 2034-10-25      | Variable      | 5.24%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2014-10R                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 10R 2A2 144A        | CUSIP: 12649BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1271428 | PA      | $1144870.24     | 0.00%             | 2036-05-27      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV2082 FN 11/28 FIXED 3.5                        | CUSIP: 3138XDJ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          742 | PA      | $734.03         | 0.00%             | 2028-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q53695 FG 01/48 FIXED 3.5                | CUSIP: 3132XWC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       841669 | PA      | $785678.10      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA1074 FN 05/32 FIXED 4                          | CUSIP: 31418AFQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33764 | PA      | $33488.95       | 0.00%             | 2032-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | REPUBLIC OF COLOMBIA SR UNSECURED 02/36 5.625              | CUSIP: ACI309M21<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     62100000 | PA      | $65779068.48    | 0.03%             | 2036-02-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 A 2A4             | CUSIP: 05952DAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1856105 | PA      | $1758285.05     | 0.00%             | 2047-02-20      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD4025 FN 09/47 FIXED 3.5                        | CUSIP: 3140FBPK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       553433 | PA      | $513889.33      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL5957 FN 05/27 FIXED VAR                        | CUSIP: 3138ENTP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           57 | PA      | $56.59          | 0.00%             | 2027-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VEROS AUTO RECEIVABLES TRUST 2024-1                                              | VEROS AUTO RECEIVABLES TRUST VEROS 2024 1 A 144A           | CUSIP: 92512WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       519415 | PA      | $519987.71      | 0.00%             | 2027-11-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-15                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 15 4A                     | CUSIP: 12669FL50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       794058 | PA      | $796136.81      | 0.00%             | 2034-10-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-328746.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R8                                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R8 M3             | CUSIP: 03072SUB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11378433 | PA      | $10806074.63    | 0.00%             | 2034-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 906131 FN 01/37 FIXED 6                          | CUSIP: 31411EVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          942 | PA      | $983.42         | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRT& RES FIN 2006-BC3                                             | SPECIALTY UNDERWRITING + RESID SURF 2006 BC3 A2C           | CUSIP: 84751WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1543097 | PA      | $943136.81      | 0.00%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0612 FN 11/43 FIXED 4.5                        | CUSIP: 3138XBVE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11331 | PA      | $11185.64       | 0.00%             | 2043-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA3667 FN 06/49 FIXED 4                          | CUSIP: 3140QBCD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5175133 | PA      | $4965448.35     | 0.00%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                                      | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1           | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |       352007 | PA      | $466409.66      | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1            | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       643579 | PA      | $604827.14      | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 A1 144A        | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19531386 | PA      | $17667647.97    | 0.01%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2025-HYB1                                             | JP MORGAN MORTGAGE TRUST JPMMT 2025 HYB1 PT 144A           | CUSIP: 46594FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    148108524 | PA      | $151540672.68   | 0.07%             | 2056-01-25      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 972135 FH 09/33 FLOATING VAR             | CUSIP: 31336CLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        17452 | PA      | $17872.89       | 0.00%             | 2033-09-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX8350 FN 04/53 FIXED 4.5                        | CUSIP: 3140NDH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1781839 | PA      | $1730710.99     | 0.00%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5646 FN 03/55 FIXED 5.5                        | CUSIP: 31418FHY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30545224 | PA      | $30715855.02    | 0.01%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-10                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 10 2A1A          | CUSIP: 41161PTN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       324761 | PA      | $205242.31      | 0.00%             | 2035-11-19      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005-HE4                            | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE4 M3           | CUSIP: 073879TV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2704280 | PA      | $2731584.48     | 0.00%             | 2035-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF1432 FR 10/52 FIXED 5                  | CUSIP: 3133BNSV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       150403 | PA      | $149093.64      | 0.00%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $59233.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $5134562.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5421 FN 07/54 FIXED 6                          | CUSIP: 31418FAX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30579814 | PA      | $31188781.65    | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORPORATION 2007-EQ1                                 | STRUCTURED ASSET SECURITIES CO SASC 2007 EQ1 A5            | CUSIP: 86363HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5087201 | PA      | $1868866.07     | 0.00%             | 2037-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB7                                                 | COUNTRYWIDE HOME LOANS CWHL 2004 HYB7 1A1                  | CUSIP: 12669GBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       698734 | PA      | $675334.72      | 0.00%             | 2034-11-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4634 FN 03/48 FIXED 4                          | CUSIP: 3140H6EG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5388467 | PA      | $5163634.53     | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0347 FN 06/47 FIXED 4.5                        | CUSIP: 3140Q7L54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       130048 | PA      | $126357.32      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.10 SP DUB                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $83055.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE WAREHOUSE FINANCE 24-1A                                           | DUTCH MORTGAGE WAREHOUSE FINAN DMWF 2024 1A VFN 144A       | CUSIP: ACI2Q96P2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     61488000 | PA      | $71070918.35    | 0.03%             | 2027-07-31      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2484 FN 12/45 FIXED 4                          | CUSIP: 31418BXN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       113126 | PA      | $108873.84      | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3144 FN 01/56 FIXED 5                          | CUSIP: 3140BTP66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1478718 | PA      | $1459564.65     | 0.00%             | 2056-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A1 144A           | CUSIP: 617525AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38167956 | PA      | $23859625.01    | 0.01%             | 2036-12-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7688 FN 03/47 FIXED 4                          | CUSIP: 3140FTRJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       427389 | PA      | $409510.03      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9324 FN 09/47 FIXED 4                          | CUSIP: 3140GYLE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3205759 | PA      | $3064053.20     | 0.00%             | 2047-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/37 6.9               | CUSIP: P87324BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    139094000 | PA      | $39746453.25    | 0.02%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3035 G2 08/45 FIXED 4                       | CUSIP: 36179RLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5422673 | PA      | $5184817.12     | 0.00%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-F                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 F 1A1             | CUSIP: 05946XYP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2227234 | PA      | $1767663.86     | 0.00%             | 2035-09-20      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-2                                                  | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 2 1A5            | CUSIP: 320520AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       131099 | PA      | $38002.37       | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260622                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $97822.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 1A1          | CUSIP: 12668AHZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2409874 | PA      | $1122724.16     | 0.00%             | 2035-11-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS8528 FN 12/46 FIXED 3.5                        | CUSIP: 3138WJPN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18782185 | PA      | $17547599.68    | 0.01%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BR2676 FN 02/51 FIXED 2.5                        | CUSIP: 3140L06N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5373625 | PA      | $4570346.69     | 0.00%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BG8934 G2 07/48 FIXED 4                       | CUSIP: 3617GT4T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       845088 | PA      | $798910.13      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S3                                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S3 1A6            | CUSIP: 74958BAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1677368 | PA      | $1154146.67     | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4680                                                          | FREDDIE MAC FHR 4680 FP                                    | CUSIP: 3137BY6F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13414435 | PA      | $13183256.28    | 0.01%             | 2046-12-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-D                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 D B 144A           | CUSIP: 78454XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     30189880 | PA      | $31010428.46    | 0.01%             | 2058-10-15      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7                              | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 3A1          | CUSIP: 07387VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6577601 | PA      | $6457866.57     | 0.00%             | 2037-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-16                                          | COUNTRYWIDE HOME LOANS CWHL 2006 16 2A1                    | CUSIP: 170257AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7523838 | PA      | $1854167.01     | 0.00%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-G                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 G 2A1            | CUSIP: 05949CED4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       853615 | PA      | $827564.52      | 0.00%             | 2035-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                                     | BAYOU RE LTD UNSECURED 144A 04/31 VAR                      | CUSIP: 07304LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      6700000 | PA      | $7204510.00     | 0.00%             | 2031-04-30      | Floating      | 22.02%                | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90000 04/15/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $336349.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY0045 FN 12/44 FIXED 4                          | CUSIP: 3138YDBP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       149442 | PA      | $144225.54      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BY3521 FN 06/53 FIXED 5.5                        | CUSIP: 3140NK4F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       107795 | PA      | $108591.67      | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD0265 FR 02/50 FIXED 3                  | CUSIP: 3132DMJJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27260609 | PA      | $24429115.01    | 0.01%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSECO FIN SEC CORP 1999-6                                                      | CONSECO FINANCE SECURITIZATION CNF 1999 6 A1 144A          | CUSIP: 20846QAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49143664 | PA      | $11319093.11    | 0.01%             | 2030-06-01      | Fixed         | 7.36%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2007-3XS                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 3XS 1A3A           | CUSIP: 61752RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5406762 | PA      | $2468439.43     | 0.00%             | 2047-01-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| DURHAM MORTGAGES B PLC 24-BA                                                     | DURHAM MORTGAGES DRHM 2024 BA C 144A                       | CUSIP: ACI2QV525<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     46041000 | PA      | $60661880.92    | 0.03%             | 2055-05-28      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIII LTD / PREFERRED TERM SECURITIES XXIII INC        | PREFERRED TERM XXIII SR SECURED 144A 12/36 VAR             | CUSIP: 74043AAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     24311287 | PA      | $22852609.85    | 0.01%             | 2036-12-22      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                                   | TITULOS DE TESORERIA BONDS 02/33 13.25                     | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 839054200000 | PA      | $224960579.88   | 0.10%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A2                                      | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A2 1A8            | CUSIP: 12566UAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1144877 | PA      | $91240.83       | 0.00%             | 2037-02-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6406 FN 12/45 FIXED 4                          | CUSIP: 3138WGDL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        28725 | PA      | $27603.78       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20260415                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |            1 | NC      | $3202.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3284                                                                 | FREDDIE MAC FHR 3284 NI                                    | CUSIP: 31397FM74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2135584 | PA      | $201176.33      | 0.00%             | 2037-03-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 B 144A         | CUSIP: 12662NAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42195605 | PA      | $19989830.30    | 0.01%             | 2061-05-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 6 1A2 144A        | CUSIP: 17324AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5462402 | PA      | $4922696.29     | 0.00%             | 2047-05-20      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS5654 FN 08/53 FIXED VAR                        | CUSIP: 3140XMH82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       830716 | PA      | $823814.24      | 0.00%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4784 FN 01/47 FIXED 3.5                        | CUSIP: 3140FQJ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       575086 | PA      | $538834.82      | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-16                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 16 A1            | CUSIP: 12667GMC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       165334 | PA      | $153922.66      | 0.00%             | 2035-06-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ8500 FR 11/55 FIXED 5.5                | CUSIP: 31427JNS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       123630 | PA      | $124298.90      | 0.00%             | 2055-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                                     | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR             | CUSIP: 903724CA8<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      4645719 | PA      | $2490105.38     | 0.00%             | 2034-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1634 FN 06/49 FIXED VAR                        | CUSIP: 3140X4Y83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3880 | PA      | $3604.60        | 0.00%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ2097 FN 10/45 FIXED 4                          | CUSIP: 3138YTKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        44464 | PA      | $42718.75       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TRUST-2005-11                                         | STRUCTURED ASSET INVESTMENT LO SAIL 2005 11 A3             | CUSIP: 86358EZP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       162251 | PA      | $161102.17      | 0.00%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-262931.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55500 08/28/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2148957.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-12CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 12CB A5          | CUSIP: 12668BXA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5309404 | PA      | $2537768.68     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 1A              | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12574900 | PA      | $11790902.34    | 0.01%             | 2037-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-AMC1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AMC1 A2B          | CUSIP: 17309PAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4099726 | PA      | $3779347.04     | 0.00%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-40T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 40T1 2A5         | CUSIP: 02148KAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       326105 | PA      | $66619.74       | 0.00%             | 2036-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR27                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR27 2A1          | CUSIP: 45661LAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        43440 | PA      | $39744.47       | 0.00%             | 2036-10-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1A 144A         | CUSIP: 83207DAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1462067 | PA      | $1492360.81     | 0.00%             | 2052-11-15      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ4971 FN 02/48 FIXED 3.5                        | CUSIP: 3140H6QZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        27036 | PA      | $25172.10       | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZN3796 FR 03/39 FIXED 3.5                | CUSIP: 3131YAGD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       298055 | PA      | $280987.46      | 0.00%             | 2039-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-655412.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 07/32 5.875                      | CUSIP: ACI2W0QH0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    300000000 | PA      | $351751806.59   | 0.16%             | 2032-07-11      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52319 FG 11/47 FIXED 3.5                | CUSIP: 3132XUSH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     39219782 | PA      | $36610461.20    | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q50343 FG 08/47 FIXED 4                  | CUSIP: 3132XSLZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        45569 | PA      | $43703.89       | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRIMARAN CAVU LTD 2021-2A                                                        | TRIMARAN CAVU LTD CAVU 2021 2A AR 144A                     | CUSIP: 89624UAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     90600000 | PA      | $90581388.95    | 0.04%             | 2034-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2024-LB1                              | BANC OF AMERICA MERRILL LYNCH BAMLL 2024 LB1 FE 144A       | CUSIP: 05494AAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30080000 | PA      | $15278417.09    | 0.01%             | 2056-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH1                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH1 A1C          | CUSIP: 02150KAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9785367 | PA      | $8776975.11     | 0.00%             | 2047-04-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM4352 FR 10/47 FIXED 3.5                | CUSIP: 3131XXZR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        72297 | PA      | $67477.38       | 0.00%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1189 FN 02/48 FIXED 3.5                        | CUSIP: 3140Q8KB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       649678 | PA      | $604873.72      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-3                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M4                   | CUSIP: 66987XHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2590694.40     | 0.00%             | 2036-01-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL5                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL5 SA 144A      | CUSIP: 362951AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51110 | PA      | $50792.53       | 0.00%             | 2064-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX7248 FR 01/55 FIXED 5                  | CUSIP: 31426DBS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1007123 | PA      | $996493.25      | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-6                                                | VERUS SECURITIZATION TRUST VERUS 2024 6 A1 144A            | CUSIP: 92540JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23245558 | PA      | $23390426.27    | 0.01%             | 2069-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0992 FN 12/47 FIXED 3.5                        | CUSIP: 3140H2C63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       115026 | PA      | $108034.50      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS9579 FN 05/47 FIXED 3.5                        | CUSIP: 3138WKUD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       385639 | PA      | $360810.49      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2008-R3                                         | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R3 3A3 144A      | CUSIP: 466308AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7835000 | PA      | $581657.47      | 0.00%             | 2037-05-26      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2005-1                                                           | FIRST NLC TRUST FNLC 2005 1 M8                             | CUSIP: 32113JAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91474 | PA      | $0.91           | 0.00%             | 2035-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| COLT 2024-INV2 MORTGAGE LOAN TRUST                                               | COLT FUNDING LLC COLT 2024 INV2 A1 144A                    | CUSIP: 12622SAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4981952 | PA      | $5031859.36     | 0.00%             | 2069-05-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A2          | CUSIP: 021468AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59481 | PA      | $23343.47       | 0.00%             | 2036-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS7886 FN 09/46 FIXED 3                          | CUSIP: 3138WHXQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6504 | PA      | $5873.10        | 0.00%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR4                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR4 4A1A          | CUSIP: 39538WBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1403891 | PA      | $1315640.21     | 0.00%             | 2045-10-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD2310 FN 06/46 FIXED 4                          | CUSIP: 3140F9R80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24673 | PA      | $23709.89       | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/32 3.25            | CUSIP: 361841AR0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4800000 | PA      | $4283555.95     | 0.00%             | 2032-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2003-WF1                                               | ASSET BACKED FUNDING CERTIFICA ABFC 2003 WF1 A2            | CUSIP: 04542BCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16782 | PA      | $16832.63       | 0.00%             | 2032-12-25      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                            | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB11            | CUSIP: 05950BAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1248667 | PA      | $1018039.27     | 0.00%             | 2046-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                             | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 M4             | CUSIP: 86358EPF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        96206 | PA      | $109298.26      | 0.00%             | 2034-11-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2005-OPT1                                           | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 OPT1 M6          | CUSIP: 46626LAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11812073 | PA      | $10115120.16    | 0.00%             | 2035-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 M1                | CUSIP: 617451DS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15700000 | PA      | $13397745.72    | 0.01%             | 2036-01-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FS5115 FN 06/53 FIXED VAR                        | CUSIP: 3140XLVH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1587227 | PA      | $1599860.65     | 0.00%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL NGOMOB 0 01/07/27 345D                    | CUSIP: 958WWLII3<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 836368100000 | PA      | $528887002.64   | 0.24%             | 2027-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3768 FN 09/34 FIXED 3                          | CUSIP: 31418DFJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       726285 | PA      | $700300.35      | 0.00%             | 2034-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-4                                                 | AEGIS ASSET BACKED SECURITIES AABST 2004 4 M2              | CUSIP: 00764MCU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2528225 | PA      | $2798226.19     | 0.00%             | 2034-10-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-833285.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIII 2019-2A                                                    | SOUND POINT CLO LTD SNDPT 2019 2A AR 144A                  | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     13000000 | PA      | $13017414.02    | 0.01%             | 2034-07-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-R12                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M4            | CUSIP: 03072SXG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2183676 | PA      | $2100339.43     | 0.00%             | 2035-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XIV LTD 2019-1A                                                | MOUNTAIN VIEW CLO MVEW 2019 1A A1R 144A                    | CUSIP: 62432MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     78100000 | PA      | $78195613.93    | 0.03%             | 2034-10-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL0605 FN 08/26 FIXED VAR                        | CUSIP: 3138EGU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          157 | PA      | $156.44         | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8462 FR 03/53 FIXED 5.5                | CUSIP: 3133BWMK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        56649 | PA      | $57114.72       | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA0464 FN 10/53 FIXED 6.5                        | CUSIP: 3140A0QS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38047 | PA      | $39391.50       | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX3260 FN 12/52 FIXED 5.5                        | CUSIP: 3140N7TS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1593463 | PA      | $1607906.34     | 0.00%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                                   | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                    | CUSIP: 36779CAV8<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |      1500000 | PA      | $1500000.00     | 0.00%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB1377 FN 04/54 FIXED 6.5                        | CUSIP: 3140AAQ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       491491 | PA      | $509345.98      | 0.00%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A3A          | CUSIP: 17311WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       423184 | PA      | $386344.95      | 0.00%             | 2037-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 45 2A1           | CUSIP: 12667G6K4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12034742 | PA      | $8642708.91     | 0.00%             | 2035-10-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080641 G2 10/32 FLOATING VAR                  | CUSIP: 36225CWB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2238 | PA      | $2279.69        | 0.00%             | 2032-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-107                                                              | FANNIE MAE FNR 2009 107 SM                                 | CUSIP: 31398GXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       930301 | PA      | $68703.95       | 0.00%             | 2040-01-25      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-HR8                                          | MORGAN STANLEY CAPITAL I TRUST MSC 2020 HR8 XB             | CUSIP: 61692BBV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     54413000 | PA      | $1862459.05     | 0.00%             | 2053-07-15      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK8313 FN 09/48 FIXED 3.5                        | CUSIP: 3140HNGX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       289432 | PA      | $271868.32      | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS1882 FN 03/44 FIXED 4                          | CUSIP: 3138WBCU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1198948 | PA      | $1157849.28     | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-3A                                               | LAD AUTO RECEIVABLES TRUST LADAR 2024 3A A3 144A           | CUSIP: 505709AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12496644 | PA      | $12524753.55    | 0.01%             | 2029-03-15      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA3                                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA3 1A            | CUSIP: 76111XVZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1368800 | PA      | $533947.52      | 0.00%             | 2035-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY5014 FR 05/55 FIXED 5                  | CUSIP: 31426PSC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1002947 | PA      | $991627.85      | 0.00%             | 2055-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ9100 FR 11/55 FIXED 5                  | CUSIP: 31427KDE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4785350 | PA      | $4729997.80     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICAN T BILLS BILLS 01/27 0.00000                  | CUSIP: ACI3892M1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   2010300000 | PA      | $112575611.97   | 0.05%             | 2027-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ0256 FN 10/47 FIXED 4                          | CUSIP: 3140H1JA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3390 | PA      | $3255.99        | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK COMMERCIAL MORTGAGE TRUST 2020-C9                                  | DEUTSCHE BANK COMMERCIAL MORTG DBJPM 2020 C9 XA            | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48880362 | PA      | $1956284.96     | 0.00%             | 2053-09-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 938338 FN 07/37 FIXED 6                          | CUSIP: 31412X4X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        10911 | PA      | $11420.67       | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2011-2                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2011 2 3A2 144A        | CUSIP: 17318DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       198826 | PA      | $199655.92      | 0.00%             | 2037-09-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 06/20/24-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2272946.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTG BKD SEC 2007-15                                                  | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 15 A1            | CUSIP: 949797AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       449075 | PA      | $438319.00      | 0.00%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL0326 FR 02/55 FIXED 5                  | CUSIP: 31427MLG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       536014 | PA      | $531944.99      | 0.00%             | 2055-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2007-QS8                                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS8 A7            | CUSIP: 74922UAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10073632 | PA      | $8184268.53     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2333 FN 02/50 FIXED VAR                        | CUSIP: 3140X5SX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6999547 | PA      | $6532877.82     | 0.00%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                              | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A A 144A        | CUSIP: 03331MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    118100000 | PA      | $117117667.82   | 0.05%             | 2040-10-22      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL BF0266 G2 05/48 FIXED 4                       | CUSIP: 3617G6JK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       168935 | PA      | $159181.94      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL6 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL6 A1 144A      | CUSIP: 740936AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27409655 | PA      | $27472384.83    | 0.01%             | 2055-06-25      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-5523683.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 33 PLC                                           | RESIDENTIAL MORTGAGE SECURITIE RMS 33A D 144A              | CUSIP: ACI2PHM28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     12197762 | PA      | $16259414.53    | 0.01%             | 2048-06-20      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-AR1                                                        | MORTGAGEIT TRUST MHL 2005 AR1 1A1                          | CUSIP: 61915RBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10296234 | PA      | $8432007.09     | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH7476 FN 08/47 FIXED 4                          | CUSIP: 3140GWJW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       383646 | PA      | $367375.38      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A5            | CUSIP: 93935BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1859109 | PA      | $378512.65      | 0.00%             | 2036-07-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2020-B18                                               | BENCHMARK MORTGAGE TRUST BMARK 2020 B18 XA                 | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     79201336 | PA      | $4064937.31     | 0.00%             | 2053-07-15      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV2423 FN 12/44 FIXED 4.5                        | CUSIP: 3138XDVR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43762 | PA      | $43237.86       | 0.00%             | 2044-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA13                                             | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA13 2A1          | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5558014 | PA      | $4911967.86     | 0.00%             | 2035-12-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A3           | CUSIP: 86360UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2446069 | PA      | $2025945.46     | 0.00%             | 2046-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA ALT LN TRUST 2004-6                                              | BANC AMER ALTERNATIVE LN 2003 10 CL0                       | CUSIP: 05948K9A9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          100 | PA      | $0.00           | 0.00%             | 2034-07-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | RFRF USD SF+26.161/1.4* 04/07/21-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $31051379.91    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.56 03/12/26-01/02/31 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-213015.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-NQM1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2023 NQM1 SA 144A      | CUSIP: 36267LAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |            9 | PA      | $8.54           | 0.00%             | 2063-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS6141 FN 11/30 FIXED 2.5                        | CUSIP: 3138WFZF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3060 | PA      | $2965.15        | 0.00%             | 2030-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2018-RPL9 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 RPL9 SA 144A        | CUSIP: 12654PAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14460 | PA      | $13956.79       | 0.00%             | 2057-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD7165 FN 04/47 FIXED 4                          | CUSIP: 3140FE6B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       264009 | PA      | $253156.84      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3798 FN 10/34 FIXED 3                          | CUSIP: 31418DGG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       110401 | PA      | $106417.91      | 0.00%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-D                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 D 1A1            | CUSIP: 05949A4G2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       648680 | PA      | $556665.45      | 0.00%             | 2035-05-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA1048 FN 10/53 FIXED 6.5                        | CUSIP: 3140A1EW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       200362 | PA      | $207365.16      | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 11A1          | CUSIP: 07387AFV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       866946 | PA      | $783239.99      | 0.00%             | 2036-02-25      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-70CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 70CB A1          | CUSIP: 12668A2K0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17651841 | PA      | $9820896.74     | 0.00%             | 2035-12-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-A                                           | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 A A2A             | CUSIP: 14319UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19130650 | PA      | $19170984.96    | 0.01%             | 2028-05-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 1A2             | CUSIP: 05946XHW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        91621 | PA      | $77689.80       | 0.00%             | 2034-12-20      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2015-HAUL                             | BANC OF AMERICA MERRILL LYNCH BAMLL 2015 HAUL XA 144A      | CUSIP: 05526WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       862963 | PA      | $6452.80        | 0.00%             | 2043-07-07      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX3                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX3 A3           | CUSIP: 76113ACA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1451004 | PA      | $1449073.98     | 0.00%             | 2036-04-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6244 FN 09/42 FIXED 4                          | CUSIP: 31417C5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       325821 | PA      | $314791.93      | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.95000 10/27/22-7Y* LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $10873148.34    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TR 2005-5                                                         | PRIME MORTGAGE TRUST PRIME 2005 5 1A1                      | CUSIP: 74160MLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50110 | PA      | $48272.70       | 0.00%             | 2034-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | DRILLCO HLDG LUX S A COMMON STOCK                          | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |        35559 | NS      | $817857.00      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-7XS                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 7XS M1            | CUSIP: 86359B7L9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4302473 | PA      | $4397085.62     | 0.00%             | 2035-04-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2023-CES2                                                    | WOODWARD CAPITAL MANAGEMENT RCKT 2023 CES2 A1A 144A        | CUSIP: 748956AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5514383 | PA      | $5539510.11     | 0.00%             | 2043-09-25      | Variable      | 6.81%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIZATION TRUST 2003-1                                       | MASTR SEASONED SECURITIZATION MSSTR 2003 1 3A1             | CUSIP: 55265WAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        83320 | PA      | $80015.40       | 0.00%             | 2033-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 4.75000 06/19/24-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |            1 | NC      | $23282120.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB5360 FN 06/27 FIXED 3                          | CUSIP: 31417B5W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8845 | PA      | $8773.54        | 0.00%             | 2027-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ3445 FR 11/54 FIXED 5.5                | CUSIP: 3142GTZK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       361974 | PA      | $363996.02      | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA2111 FR 01/29 FIXED 5                  | CUSIP: 31329KKY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4844 | PA      | $4828.45        | 0.00%             | 2029-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2016-667M                          | COMM MORTGAGE TRUST COMM 2016 667M A 144A                  | CUSIP: 12636GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13000000 | PA      | $12605078.20    | 0.01%             | 2036-10-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8790 FR 03/53 FIXED 5.5                | CUSIP: 3133BWXT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7441367 | PA      | $7514050.25     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2023-B                                             | COLLEGE AVE STUDENT LOANS CASL 2023 B D 144A               | CUSIP: 19425MAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3357843 | PA      | $3532252.41     | 0.00%             | 2054-06-25      | Fixed         | 8.21%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL3                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL3 SA 144A      | CUSIP: 36269VAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       461605 | PA      | $456429.50      | 0.00%             | 2064-03-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ0604 FN 05/45 FIXED 4                          | CUSIP: 3138YRU63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        69428 | PA      | $66782.30       | 0.00%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                                  | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A                 | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24611 | PA      | $24390.22       | 0.00%             | 2040-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2004-12                                                    | BEAR STEARNS ALT A TRUST BALTA 2004 12 2A1                 | CUSIP: 07386HPD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        41422 | PA      | $40071.18       | 0.00%             | 2035-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ1565 FN 10/41 FIXED 4                          | CUSIP: 3138ASW32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       263171 | PA      | $253954.64      | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-6                                                         | FANNIE MAE FNR 2019 6 KS                                   | CUSIP: 3136B3P87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4617559 | PA      | $556473.60      | 0.00%             | 2049-03-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260803                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $7893.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-9                                                 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 9 1CB            | CUSIP: 93934FEL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       886730 | PA      | $880977.23      | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK0970 FN 02/48 FIXED 3.5                        | CUSIP: 3140HECG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       203151 | PA      | $189819.60      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-1                                           | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 1 5A4               | CUSIP: 126378BC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1496042 | PA      | $780995.72      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C R 144A           | CUSIP: 83208D107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        46859 | PA      | $623172.25      | 0.00%             | 2055-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-NS1                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 NS1 A4            | CUSIP: 83612QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13881897 | PA      | $13617512.07    | 0.01%             | 2037-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR7                                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR7 6M1           | CUSIP: 22541SRY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2476458 | PA      | $2381602.94     | 0.00%             | 2034-11-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-3A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 3A A1 144A        | CUSIP: 210928AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2781422 | PA      | $2784299.25     | 0.00%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-E                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 E 2A3            | CUSIP: 43709XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2980946 | PA      | $2105203.08     | 0.00%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3445 FN 09/48 FIXED VAR                        | CUSIP: 3140X6ZK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       142132 | PA      | $136199.01      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICAN T BILLS BILLS 05/26 0.00000                  | CUSIP: ACI2XB1Q2<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    844400000 | PA      | $49531415.39    | 0.02%             | 2026-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ4834 FR 09/54 FIXED 5.5                | CUSIP: 3133CVLP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       491088 | PA      | $493831.33      | 0.00%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UPSTART PERSONAL CONSUMER TRUST 2025-1P                                          | UPSTART PERSONAL CONSUMER TRUS UPCT 2025 1P CERT 144A      | CUSIP: 91685AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     85263408 | PA      | $85614017.97    | 0.04%             | 2031-11-20      | Fixed         | 12.11%                | No            |                  3 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR 2007-5AX                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 5AX 2A3            | CUSIP: 61751GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2702091 | PA      | $511367.13      | 0.00%             | 2037-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $-97401.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-1                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 1 5A1            | CUSIP: 073880AM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1619736 | PA      | $1469190.85     | 0.00%             | 2047-02-25      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-5A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 5A A1 144A        | CUSIP: 21056EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1484962 | PA      | $1486583.42     | 0.00%             | 2053-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                              | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M3                | CUSIP: 70069FLJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15247593 | PA      | $14864864.38    | 0.01%             | 2035-07-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST 2024-MH1                                                  | CASCADE MH ASSET TRUST CMHAT 2024 MH1 A1 144A              | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5034971 | PA      | $5099699.54     | 0.00%             | 2056-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA7079 FR 06/39 FIXED 4                  | CUSIP: 31329Q2L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       180853 | PA      | $176804.84      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVC SEC 2005-CB5                                            | CREDIT BASED ASSET SERVICING A CBASS 2005 CB5 M2           | CUSIP: 12489WNA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5950896 | PA      | $5769027.47     | 0.00%             | 2035-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3B          | CUSIP: 17311XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59194387 | PA      | $44185964.17    | 0.02%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-7C                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 7CB 2A1          | CUSIP: 12667F4L6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3752314 | PA      | $2689895.67     | 0.00%             | 2038-03-01      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8487 G2 12/52 FIXED 3.5                     | CUSIP: 36179XNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12865370 | PA      | $11875034.92    | 0.01%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ8654 FN 11/45 FIXED 4                          | CUSIP: 3140E1TL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1429325 | PA      | $1377148.37     | 0.00%             | 2045-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 16 A25                    | CUSIP: 12669G3T6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1055028 | PA      | $628746.91      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS6                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS6 A76           | CUSIP: 75116CDD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2085126 | PA      | $1575748.63     | 0.00%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-43CB                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 43CB 3A1         | CUSIP: 02149FAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       285700 | PA      | $76304.47       | 0.00%             | 2037-02-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ7717 FN 12/26 FIXED 3                          | CUSIP: 3138E0SF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3614 | PA      | $3594.82        | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A        | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2000000 | PA      | $1911168.66     | 0.00%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0362 G2 05/55 FIXED 3.5                     | CUSIP: 3618N5ML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     54613837 | PA      | $50143532.46    | 0.02%             | 2055-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-3                               | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 3 2A4             | CUSIP: 316599AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8996028 | PA      | $5919995.46     | 0.00%             | 2036-11-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1055 FN 12/47 FIXED 3.5                        | CUSIP: 3140Q8E50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30787 | PA      | $28703.30       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SYCAMORE TREE CLO 2023-2A LTD                                                    | SYCAMORE TREE CLO LTD STCP 2023 2A A1R2 144A               | CUSIP: 87122CAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    125540000 | PA      | $125454426.91   | 0.06%             | 2037-01-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 3 2BA1                    | CUSIP: 81744MAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       379790 | PA      | $300523.39      | 0.00%             | 2037-07-20      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK5332 FN 07/48 FIXED 4                          | CUSIP: 3140HJ4S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126924 | PA      | $120854.35      | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4895 FN 01/53 FIXED 6.5                        | CUSIP: 31418ENM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19960 | PA      | $20649.84       | 0.00%             | 2053-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL2 TRUST                                                             | ATLX TRUST ATLX 2024 RPL2 A1 144A                          | CUSIP: 049919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13387243 | PA      | $13010662.25    | 0.01%             | 2063-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2006-1                                                   | HOME EQUITY ASSET TRUST HEAT 2006 1 M3                     | CUSIP: 437084RZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10812289 | PA      | $10765208.75    | 0.00%             | 2036-04-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KWD SOLD USD 20260602                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-31013.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 1A1                   | CUSIP: 362341WX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       150394 | PA      | $72524.24       | 0.00%             | 2035-11-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ESKOM GG LOAN SNR EM SP DUB                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $2167795.99     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3278 FN 02/48 FIXED 4.5                        | CUSIP: 31418CUC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80777 | PA      | $79189.79       | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2423                                                                 | FREDDIE MAC FHR 2423 MT                                    | CUSIP: 31339WCD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4640 | PA      | $4833.82        | 0.00%             | 2032-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-3                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 3 7A1             | CUSIP: 576433LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       367018 | PA      | $368717.69      | 0.00%             | 2034-04-25      | Variable      | 4.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2417                                                                 | FREDDIE MAC FHR 2417 CJ                                    | CUSIP: 31339D5N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       117527 | PA      | $121329.80      | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BM2006 FN 01/48 FIXED VAR                        | CUSIP: 3140J6GQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6008467 | PA      | $5757782.58     | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA SR SECURED 144A 04/32 6.5                 | CUSIP: 02090DAD0<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     20295860 | PA      | $19248471.65    | 0.01%             | 2032-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGE PLC 2007-2                                                  | EUROHOME UK MORTGAGES PLC EHMU 2007 2 M1 REGS              | CUSIP: B24529II0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1360016 | PA      | $1792481.95     | 0.00%             | 2044-09-15      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3249400000 | PA      | $3063981762.38  | 1.36%             | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q57567 FG 08/48 FIXED 4                  | CUSIP: 3132Y1MR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2186556 | PA      | $2100636.76     | 0.00%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-3910508.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-10                                             | STRUCTURED ASSET INVESTMENT LO SAIL 2004 10 M5             | CUSIP: 86358EPG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2221940 | PA      | $2253244.40     | 0.00%             | 2034-11-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0420 G2 06/55 FIXED 3.5                     | CUSIP: 3618N5PE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    188880802 | PA      | $173420347.74   | 0.08%             | 2055-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL2                                            | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL2 B3 144A         | CUSIP: 52473LAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    130184909 | PA      | $56329044.39    | 0.03%             | 2056-12-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-11776.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $4707389.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-17                                                   | COUNTRYWIDE HOME LOANS CWHL 2007 17 1A1                    | CUSIP: 12544KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4195599 | PA      | $2847755.05     | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                                 | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR               | CUSIP: 45833UAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      7000000 | PA      | $7115500.00     | 0.00%             | 2026-06-06      | Floating      | 14.06%                | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A5                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A5 3A3                 | CUSIP: 46629CAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1517370 | PA      | $1172471.80     | 0.00%             | 2036-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5280 FN 02/44 FIXED 6.5                        | CUSIP: 31418E2N9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12809982 | PA      | $13274623.70    | 0.01%             | 2044-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2024-3                                     | GM FINANCIAL AUTOMOBILE LEASIN GMALT 2024 3 A3             | CUSIP: 38012QAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     35282682 | PA      | $35298397.25    | 0.02%             | 2027-10-20      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0171 FN 09/29 FIXED 4.5                        | CUSIP: 31417YFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        12863 | PA      | $12879.45       | 0.00%             | 2029-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP3                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP3 SA 144A       | CUSIP: 173112AR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       218796 | PA      | $216671.55      | 0.00%             | 2063-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2013-8R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2013 8R 6A3 144A         | CUSIP: 12647HBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24786641 | PA      | $10414605.54    | 0.00%             | 2037-05-27      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-RP4                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP4 A1 144A       | CUSIP: 17292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81749981 | PA      | $75128150.51    | 0.03%             | 2062-10-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4904 FN 07/47 FIXED 3.5                        | CUSIP: 3140GTNW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1938 | PA      | $1812.24        | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-15                                                   | GSAA HOME EQUITY TRUST GSAA 2005 15 2A2                    | CUSIP: 362341D71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4068162 | PA      | $1267169.88     | 0.00%             | 2036-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-12N                                                         | LEHMAN XS TRUST LXS 2006 12N A31A                          | CUSIP: 525226AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5248410 | PA      | $5683787.73     | 0.00%             | 2046-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CSMCM TRUST 2018-RPL12                                                           | CSMCM TRUST CERTIFICATES CSMCM 2018 RP12 CERT 144A         | CUSIP: 12657MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50870199 | PA      | $39288051.59    | 0.02%             | 2060-10-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.73500 01/23/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-93118.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX0836 FN 01/53 FIXED 5.5                        | CUSIP: 3140N44W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       657694 | PA      | $662824.14      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q56594 FG 06/48 FIXED 3.5                | CUSIP: 3132Y0KG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       275876 | PA      | $257622.79      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BECKETT MORTGAGES 2026-1 DAC 26-1A                                               | BECKETT MORTGAGES BECKS 2026 1A R 144A                     | CUSIP: ACI38PR89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      3182000 | PA      | $3564021.03     | 0.00%             | 2071-07-20      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 AIOS 144A      | CUSIP: 12662NAP8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    376884130 | PA      | $6496219.84     | 0.00%             | 2061-05-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR5                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR5 1A1                   | CUSIP: 362341LA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       113254 | PA      | $108984.51      | 0.00%             | 2035-10-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2017-1A                                      | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2017 1A B1 144A         | CUSIP: 64829JAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1259502 | PA      | $1248154.42     | 0.00%             | 2057-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV2219 FN 12/43 FIXED 3.5                        | CUSIP: 3138XDPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       158866 | PA      | $149161.89      | 0.00%             | 2043-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-4                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2007 4 3A1             | CUSIP: 05953YBM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1163611 | PA      | $898102.80      | 0.00%             | 2037-06-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                    | ARGENT SECURITIES INC. ARSI 2006 M1 A2D                    | CUSIP: 04012MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5094891 | PA      | $1369405.28     | 0.00%             | 2036-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2018-B                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2018 B PT 144A         | CUSIP: 17327MAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198001000 | PA      | $170837579.33   | 0.08%             | 2082-01-25      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM2015 FN 11/49 FIXED VAR                        | CUSIP: 3140X5GZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19639699 | PA      | $17611314.99    | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM4737 FN 09/50 FIXED VAR                        | CUSIP: 3140X8HP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       242472 | PA      | $224658.13      | 0.00%             | 2050-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                         | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A         | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    364496701 | PA      | $482750158.00   | 0.21%             | 2053-07-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-7                                               | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 7 2A2            | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5334957 | PA      | $2106130.19     | 0.00%             | 2036-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080583 G2 03/32 FLOATING VAR                  | CUSIP: 36225CUH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1854 | PA      | $1863.65        | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO 2006-BC4                                          | STRUCTURED ASSET SECURITIES CO SASC 2006 BC4 A5            | CUSIP: 86359RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38715000 | PA      | $23751180.18    | 0.01%             | 2036-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK3847 FN 04/48 FIXED 3.5                        | CUSIP: 3140HHHZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       331283 | PA      | $307383.38      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE5                                                             | GSAMP TRUST GSAMP 2005 HE5 M5                              | CUSIP: 362341ZF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4016000 | PA      | $3709951.88     | 0.00%             | 2035-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY2321 FR 05/55 FIXED 5.5                | CUSIP: 31426LSK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        29102 | PA      | $29264.68       | 0.00%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 6A2                 | CUSIP: 466247QJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       427247 | PA      | $430223.15      | 0.00%             | 2035-06-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF3939 FN 11/55 FIXED 5                          | CUSIP: 3140BULV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4763095 | PA      | $4701559.26     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 890405 FN 01/27 FIXED VAR                        | CUSIP: 31410LGN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1975 | PA      | $1968.13        | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 2A4            | CUSIP: 23246LAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17974120 | PA      | $16851695.34    | 0.01%             | 2047-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX7621 FN 05/53 FIXED 6                          | CUSIP: 3140NCPF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3565678 | PA      | $3660358.27     | 0.00%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-80936.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AW2445 FN 05/44 FIXED 4.5                        | CUSIP: 3138XRWF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        51152 | PA      | $50278.38       | 0.00%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.53000 04/23/25-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $3356359.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-8                                                     | LEHMAN MORTGAGE TRUST LMT 2006 8 2A1                       | CUSIP: 52520SAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5850475 | PA      | $1091700.45     | 0.00%             | 2036-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260504                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $3198.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A2              | CUSIP: 126673AX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       577824 | PA      | $568783.01      | 0.00%             | 2034-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL2 SA 144A      | CUSIP: 36265TAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       240444 | PA      | $229573.01      | 0.00%             | 2061-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2007-HE1                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 HE1 AF1          | CUSIP: 46630KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        90498 | PA      | $61286.97       | 0.00%             | 2047-03-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                                     | ACE SECURITIES CORP. ACE 2007 WM1 A2B                      | CUSIP: 004424AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26299991 | PA      | $10758132.15    | 0.00%             | 2036-11-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                                       | EQTYWM927 WESTMORELAND MINING                              | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       452949 | NS      | $1925034.02     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH1179 FN 06/47 FIXED 4                          | CUSIP: 3140GPJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3270835 | PA      | $3141112.86     | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2026-1                             | BRIDGECREST LENDING AUTO SECUR BLAST 2026 1 A2             | CUSIP: 107927AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16000000 | PA      | $16001139.20    | 0.01%             | 2028-07-17      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD2384 FR 02/53 FIXED 6.5                | CUSIP: 3132DPUH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       172986 | PA      | $179847.06      | 0.00%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUST SERIES 2005-FFH1                              | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH1 M2            | CUSIP: 32027NTB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7191354 | PA      | $7059159.04     | 0.00%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A5           | CUSIP: 761118PU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10269 | PA      | $8936.15        | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD0059 FN 01/55 FIXED 5                          | CUSIP: 3140B0B56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3320061 | PA      | $3279003.03     | 0.00%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2024-D OWNER TRUST                                       | TOYOTA AUTO RECEIVABLES OWNER TAOT 2024 D A3               | CUSIP: 89239TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     56100000 | PA      | $56320590.81    | 0.03%             | 2029-06-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH2088 FN 06/47 FIXED 4.5                        | CUSIP: 3140GQKA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       225007 | PA      | $221735.29      | 0.00%             | 2047-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-S2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 1A20                | CUSIP: 46628YAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2130163 | PA      | $868092.31      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE6                                            | MORGAN STANLEY CAPITAL INC MSAC 2004 HE6 M1                | CUSIP: 61744CFB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        90647 | PA      | $89655.25       | 0.00%             | 2034-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2004-31T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 31T1 A2          | CUSIP: 12667FYB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        95266 | PA      | $88298.20       | 0.00%             | 2034-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-44                                                               | FANNIE MAE FNR 2000 44 B                                   | CUSIP: 31358SH20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          180 | PA      | $187.36         | 0.00%             | 2030-12-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                                  | AVON FINANCE AVON 4A B 144A                                | CUSIP: ACI2JTNM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     15118000 | PA      | $20049647.82    | 0.01%             | 2049-12-28      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEXICAN UDIBONOS BONDS 12/26 3                             | CUSIP: ACI24R197<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     20548842 | PA      | $1144076.26     | 0.00%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP MYI                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $5.03           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZS6765 FR 08/28 FIXED 3                  | CUSIP: 3132A7QS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34144 | PA      | $33788.73       | 0.00%             | 2028-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A1           | CUSIP: 92927XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2505290 | PA      | $2211178.57     | 0.00%             | 2037-06-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE2689 FN 05/47 FIXED 4                          | CUSIP: 3140FM7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1213280 | PA      | $1164408.82     | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 7CB 1A10         | CUSIP: 12668BYB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2975068 | PA      | $1449600.64     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.072 03/27/24-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-11011747.62   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XII DAC 12A                                               | CORDATUS CLO PLC CORDA 12A ARR 144A                        | CUSIP: ACI378M42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     52500000 | PA      | $60600986.34    | 0.03%             | 2039-01-23      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA0232 FN 11/29 FIXED 4.5                        | CUSIP: 31417YHJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          435 | PA      | $435.97         | 0.00%             | 2029-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                                   | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000        | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |    142178000 | PA      | $111331061.12   | 0.05%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TRY BOUGHT USD 20260414                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-190271.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD6273 FN 11/46 FIXED 3.5                        | CUSIP: 3140FD6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       212405 | PA      | $198114.28      | 0.00%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-8                                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 8 M1              | CUSIP: 86358EXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12752926 | PA      | $12609091.88    | 0.01%             | 2035-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QN9986 FR 04/37 FIXED 3                  | CUSIP: 3133GHCX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       357063 | PA      | $344657.90      | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2789 FN 10/36 FIXED 2.5                        | CUSIP: 31418CC36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       174647 | PA      | $162983.27      | 0.00%             | 2036-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2025-A                                                     | SBNA AUTO LEASE TRUST SBALT 2025 A A2 144A                 | CUSIP: 78437KAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2306982 | PA      | $2307602.53     | 0.00%             | 2027-04-20      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF7                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF7 2A3            | CUSIP: 320277AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       828446 | PA      | $822241.42      | 0.00%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD8454 FN 04/55 FIXED 7                          | CUSIP: 3140B9MC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8936450 | PA      | $9457693.92     | 0.00%             | 2055-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-HE3                                     | MASTR ASSET BACKED SECURITIES MABS 2006 HE3 A4             | CUSIP: 57645JAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21307564 | PA      | $6010422.73     | 0.00%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH4495 FN 06/47 FIXED 3.5                        | CUSIP: 3140GS7H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       787528 | PA      | $734866.24      | 0.00%             | 2047-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF4             | CUSIP: 759950GW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9006073 | PA      | $4100167.12     | 0.00%             | 2036-05-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.27000 08/21/23-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $3035100.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX9405 FR 04/55 FIXED 5.5                | CUSIP: 31426GNX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25519 | PA      | $25665.76       | 0.00%             | 2055-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INVESCO CLO 2022-2A LTD                                                          | INVESCO CLO 2022 2, LTD. INVCO 2022 2A A1R 144A            | CUSIP: 46145XAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     47800000 | PA      | $47820024.85    | 0.02%             | 2035-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 765414 FN 08/34 FIXED 6.5                        | CUSIP: 31404DK31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1904 | PA      | $1987.69        | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-EM                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 EMX1 M2 144A      | CUSIP: 07402LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1100000 | PA      | $1080101.77     | 0.00%             | 2037-03-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-5                                                   | HOMEBANC MORTGAGE TRUST HMBT 2005 5 A1                     | CUSIP: 43739ECB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1610676 | PA      | $1581756.37     | 0.00%             | 2036-01-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-3F                                                  | GSR MORTGAGE LOAN TRUST GSR 2006 3F 1A2                    | CUSIP: 362334JH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       415272 | PA      | $584680.20      | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ2474 FR 09/55 FIXED 5.5                | CUSIP: 31426YXC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2941724 | PA      | $2958157.44     | 0.00%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BX9412 FN 03/53 FIXED 5                          | CUSIP: 3140NEN68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25676351 | PA      | $25526889.64    | 0.01%             | 2053-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $220001.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST                             | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3              | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     14628818 | PA      | $14190083.33    | 0.01%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.00000 05/18/22-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $-5089989.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5699 FN 03/48 FIXED 4.5                        | CUSIP: 3140H7KM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        54474 | PA      | $53771.68       | 0.00%             | 2048-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260916                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-921292.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A4                 | CUSIP: 46628KAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       273064 | PA      | $223266.90      | 0.00%             | 2036-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A           | CUSIP: 92925DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6206579 | PA      | $5490133.96     | 0.00%             | 2046-12-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2006-3X                                                      | NEWGATE FUNDING PLC NGATE 2006 3X A3A REGS                 | CUSIP: B1H0JWII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       714620 | PA      | $936412.00      | 0.00%             | 2050-12-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8363 FN 05/48 FIXED 4                          | CUSIP: 3140FUJH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4988 | PA      | $4811.85        | 0.00%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                               | FORESEA HLDG S A COMMON STOCK                              | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |        23011 | NS      | $529253.00      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $246470.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB8                     | CREDIT BASED ASSET SERVICING A CBASS 2004 CB8 M2           | CUSIP: 59020UPS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1708801 | PA      | $1662510.91     | 0.00%             | 2035-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-3941.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8475 FR 11/54 FIXED 5.5                | CUSIP: 3132DWMY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2830225 | PA      | $2846338.46     | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-AC                               | BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC1 A1           | CUSIP: 07384YQJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123378 | PA      | $220144.68      | 0.00%             | 2034-03-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9360 FN 01/27 FIXED 3.5                        | CUSIP: 3138E2MJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3028 | PA      | $3015.57        | 0.00%             | 2027-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                      | PETROLEOS MEXICANOS COMPANY GUAR 09/47 6.75                | CUSIP: 71654QCC4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     71382000 | PA      | $57016033.44    | 0.03%             | 2047-09-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-17                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 17 1A1           | CUSIP: 12667GRV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1145441 | PA      | $1052878.81     | 0.00%             | 2035-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ5927 FN 03/48 FIXED 3.5                        | CUSIP: 3140H7SR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1535038 | PA      | $1435890.83     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                            | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1            | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16892332 | PA      | $11049845.22    | 0.00%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A               | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35588828 | PA      | $33062024.95    | 0.01%             | 2037-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV8202 FN 04/37 FIXED 3                          | CUSIP: 3140MNDG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       235236 | PA      | $225187.50      | 0.00%             | 2037-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK2411 FN 02/42 FIXED 4                          | CUSIP: 3138E6VD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7044887 | PA      | $6807923.65     | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                         | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 2A4          | CUSIP: 94985GBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       278989 | PA      | $253800.94      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-108859.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-6                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 6 M2                   | CUSIP: 07386HJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       881375 | PA      | $1133180.66     | 0.00%             | 2034-07-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $280437.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QY1328 FR 04/55 FIXED 5                  | CUSIP: 31426KPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3093825 | PA      | $3060335.70     | 0.00%             | 2055-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-2483410.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-79CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 79CB A5          | CUSIP: 12668BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       125424 | PA      | $66188.70       | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA0833 FN 12/47 FIXED 3.5                        | CUSIP: 3140Q74T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        33958 | PA      | $31630.86       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2930 FN 03/47 FIXED 4                          | CUSIP: 31418CHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     17270414 | PA      | $16564053.68    | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-103139.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF4703 FN 11/55 FIXED 5                          | CUSIP: 3140BVGM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3802393 | PA      | $3753581.75     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| QUERCUS II RE DESIGNATED ACTIVITY COMPANY                                        | QUERCUS II RE DAC UNSECURED 144A 01/31 VAR                 | CUSIP: ACI37KKF2<br>LEI: 635400PTO1PTKKKHEA32 | Long             | DBT              | CORP              | IE        |     12700000 | PA      | $14677829.87    | 0.01%             | 2031-01-07      | Floating      | 13.07%                | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                             | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR              | CUSIP: 92853KAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      8800000 | PA      | $8800440.00     | 0.00%             | 2031-01-08      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-6                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 4A1A           | CUSIP: 41161UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       207979 | PA      | $177746.26      | 0.00%             | 2036-08-19      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2675 FN 07/31 FIXED 2.5                        | CUSIP: 31418B6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11224 | PA      | $10843.29       | 0.00%             | 2031-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $760809.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8434 FN 04/47 FIXED 4                          | CUSIP: 3140FULQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        82973 | PA      | $79682.54       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A1           | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2023888 | PA      | $1521571.73     | 0.00%             | 2045-07-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65000 07/10/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-989531.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2003-BC2                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 BC2 2A1            | CUSIP: 126671YB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          870 | PA      | $876.55         | 0.00%             | 2033-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-15530.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6444 FR 01/53 FIXED 5                  | CUSIP: 3133BUER4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       477447 | PA      | $473508.29      | 0.00%             | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA3244 G2 11/45 FIXED 3.5                     | CUSIP: 36179RS91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25446 | PA      | $23855.61       | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM9 TRUST                                                              | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM9 A1 144A             | CUSIP: 67119DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18567780 | PA      | $18716630.72    | 0.01%             | 2064-01-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | YI4360503 NIGERIA OMO BILL                                 | CUSIP: 990ACHTR0<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 383322800000 | PA      | $240924285.56   | 0.11%             | 2027-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL9 LLC                                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL9 A1 144A      | CUSIP: 740937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48466552 | PA      | $48545144.99    | 0.02%             | 2055-08-25      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-4R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 4R 5A3 144A         | CUSIP: 12646DBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8026691 | PA      | $3841442.56     | 0.00%             | 2037-04-27      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AA9346 FN 08/39 FIXED 4.5                        | CUSIP: 31416TL49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       106252 | PA      | $105211.97      | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A                                       | OCTAGON INVESTMENT PARTNERS 40 OCT40 2019 1A A1RR 144A     | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    108600000 | PA      | $108635128.84   | 0.05%             | 2035-01-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260630                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $1591339.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL8 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL8 SA 144A        | CUSIP: 12662NAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       183006 | PA      | $181288.46      | 0.00%             | 2061-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $660401.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-8                                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 8 A6             | CUSIP: 93935EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51571 | PA      | $17896.33       | 0.00%             | 2036-10-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AD1353 FN 01/40 FIXED 4.5                        | CUSIP: 31418NQF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3946 | PA      | $3907.39        | 0.00%             | 2040-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACADEMIC LOAN FUNDING TRUST 2013-1A                                              | ACADEMIC LOAN FUNDING TRUST ALFT 2013 1A A 144A            | CUSIP: 00389VAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1103912 | PA      | $1087472.37     | 0.00%             | 2044-12-26      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV9221 FN 03/44 FIXED 4                          | CUSIP: 3138XMG79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        57053 | PA      | $55025.94       | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                           | VENTURE GLOBAL LNG INC SR SECURED 144A 02/32 9.875         | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |     71050000 | PA      | $76341661.90    | 0.03%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260407                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |            1 | NC      | $-7063.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A D 144A                          | CUSIP: ACI2M1B02<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |     86490000 | PA      | $115551093.33   | 0.05%             | 2035-06-21      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                             | GSAMP TRUST GSAMP 2006 FM3 A1                              | CUSIP: 36245TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32368661 | PA      | $14897129.37    | 0.01%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2007-1                                             | WELLS FARGO HOME EQUITY TRUST WFHET 2007 1 A3              | CUSIP: 9497EVAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5870983 | PA      | $5484435.13     | 0.00%             | 2037-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH CTFS 2006-9                              | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 9 A6             | CUSIP: 93935WAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6163294 | PA      | $1584446.13     | 0.00%             | 2036-10-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-9                                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 9 4A2            | CUSIP: 41161PJF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1910757 | PA      | $1665384.19     | 0.00%             | 2034-12-19      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |            1 | NC      | $421503.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 1A7           | CUSIP: 92922FBW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       543140 | PA      | $535785.71      | 0.00%             | 2033-09-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 080022 G2 12/26 FLOATING VAR                  | CUSIP: 36225CAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           73 | PA      | $73.13          | 0.00%             | 2026-12-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL3433 FN 10/41 FIXED VAR                        | CUSIP: 3138EKY74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19991 | PA      | $19349.63       | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 10.04072 08/02/23-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-17649153.06   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7649 FN 03/47 FIXED 4.5                        | CUSIP: 3140FTQB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       641539 | PA      | $628046.58      | 0.00%             | 2047-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE8375 FN 02/47 FIXED 4                          | CUSIP: 3140FUJV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        73633 | PA      | $70530.54       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2025-4 DAC 25-4A                                             | GROSVENOR PLACE CLO BV GROSV 2025 4A A 144A                | CUSIP: ACI379GR6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     63400000 | PA      | $73279108.59    | 0.03%             | 2039-08-15      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2005-10                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 10 1A2A           | CUSIP: 17307GT57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       174316 | PA      | $107272.70      | 0.00%             | 2035-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                               | ENERGY TRANSFER LP SR UNSECURED 05/28 4.95                 | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      4355000 | PA      | $4394562.56     | 0.00%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2019-1 CLASS AA PASS THROUGH TRUST                               | BRITISH AIR 19 1 AA PTT PASS THRU CE 144A 06/34 3.3        | CUSIP: 11043XAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      2035118 | PA      | $1928692.75     | 0.00%             | 2034-06-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-60                                                   | COUNTRYWIDE HOME LOANS CWHL 2003 60 2A1                    | CUSIP: 12669FJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        74571 | PA      | $71952.89       | 0.00%             | 2034-02-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| TRINITAS EURO CLO V DAC 1A                                                       | TRINITAS EURO CLO TRNTE 1A AR 144A                         | CUSIP: ACI2XTDT4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     47800000 | PA      | $55234143.01    | 0.02%             | 2039-07-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3384                                                                 | FREDDIE MAC FHR 3384 SH                                    | CUSIP: 31397PCV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3068146 | PA      | $279819.21      | 0.00%             | 2037-11-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| TRYSAIL CLO 2022-1A LTD                                                          | TRYSAIL CLO LTD TRYSL 2022 1A A 144A                       | CUSIP: 89856JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     28700000 | PA      | $28739255.86    | 0.01%             | 2033-10-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2006-AA1                                                          | BCAP LLC TRUST BCAP 2006 AA1 A1                            | CUSIP: 055294AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       933827 | PA      | $985425.20      | 0.00%             | 2036-10-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 M1 144A       | CUSIP: 86364LAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22510000 | PA      | $21268505.97    | 0.01%             | 2037-08-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-S1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 S1 A7            | CUSIP: 16162WRD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8222 | PA      | $1923.57        | 0.00%             | 2036-05-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.27750 09/16/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $597445.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD0946 FN 06/46 FIXED 4                          | CUSIP: 3140F8BQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         6693 | PA      | $6424.51        | 0.00%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 2A1                   | CUSIP: 362341FH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       918597 | PA      | $463235.95      | 0.00%             | 2035-07-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.55000 05/13/24-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-29388253.15   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.71199 06/30/26-9Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $998901.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                                   | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A                    | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     83300000 | PA      | $83370795.84    | 0.04%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF8552 FR 03/53 FIXED 5.5                | CUSIP: 3133BWQD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7714104 | PA      | $7790056.13     | 0.00%             | 2053-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR12                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR12 2A1          | CUSIP: 93363NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       108599 | PA      | $99768.99       | 0.00%             | 2036-10-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| NISSAN AUTO RECEIVABLES 2024-A OWNER TRUST                                       | NISSAN AUTO RECEIVABLES OWNER NAROT 2024 A A3              | CUSIP: 65479UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13903272 | PA      | $13997855.90    | 0.01%             | 2028-12-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1221 FN 07/49 FIXED VAR                        | CUSIP: 3140X4LB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41624 | PA      | $38663.29       | 0.00%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-2                                                  | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 2 2A1            | CUSIP: 78473TAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       898808 | PA      | $509522.88      | 0.00%             | 2037-04-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-83CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 83CB A1          | CUSIP: 12668BGX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23851393 | PA      | $13971583.04    | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 09/27 VAR                        | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     61695000 | PA      | $62197155.35    | 0.03%             | 2027-09-13      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                                               | BAIN CAPITAL CREDIT CLO  LIMIT BCC 2019 4A A1RR 144A       | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     63700000 | PA      | $63715568.92    | 0.03%             | 2035-04-23      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-66589.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2006 HYB2 2A1B                 | CUSIP: 126694D21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       764455 | PA      | $708868.47      | 0.00%             | 2036-04-20      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 13A1          | CUSIP: 161630CF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2347021 | PA      | $2205138.17     | 0.00%             | 2037-03-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-1                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 7A4             | CUSIP: 863579Q92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       285067 | PA      | $245884.99      | 0.00%             | 2036-02-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260702                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-13283329.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.88000 07/10/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1192819.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-A                                               | MLCC MORTGAGE INVESTORS INC MLCC 2004 A A1                 | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       162716 | PA      | $151880.52      | 0.00%             | 2029-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3                                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF3 M1             | CUSIP: 362334AW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21490288 | PA      | $20517336.64    | 0.01%             | 2036-02-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM7570 FN 04/33 FIXED VAR                        | CUSIP: 3140XBMU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        30644 | PA      | $30188.45       | 0.00%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.01528 06/30/26-27Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $752057.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA14                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA14 3A1         | CUSIP: 02146SAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       520263 | PA      | $479980.48      | 0.00%             | 2046-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | YI4360438 NIGERIA OMO BILL                                 | CUSIP: 990ACHTT6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 361833300000 | PA      | $228111211.12   | 0.10%             | 2027-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-HE2                                                             | GSAMP TRUST GSAMP 2007 HE2 A2D                             | CUSIP: 362440AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1817127 | PA      | $1344880.60     | 0.00%             | 2047-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC7845 FN 01/55 FIXED 5.5                        | CUSIP: 3140AVWF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       206948 | PA      | $208104.02      | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR15                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR15 A1           | CUSIP: 456610AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4589183 | PA      | $4606744.13     | 0.00%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST SERIES 2012-5                                           | KGS ALPHA SBA COOF TRUST KSBA 2012 5 A 144A                | CUSIP: 48248JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4735608 | PA      | $95185.72       | 0.00%             | 2038-04-25      | Variable      | 1.09%                 | No            |                  3 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                         | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A              | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     13146000 | PA      | $17273605.45    | 0.01%             | 2049-12-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                               | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M1             | CUSIP: 57643LNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1139100 | PA      | $1147371.87     | 0.00%             | 2036-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                                   | FREMONT HOME LOAN TRUST FHLT 2006 B 2A3                    | CUSIP: 35729QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30070918 | PA      | $9273107.30     | 0.00%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.03000 01/07/25-6Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $580703.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-OPT4                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT4 M4           | CUSIP: 04542BHG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       276240 | PA      | $280039.04      | 0.00%             | 2033-07-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1                 | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2698595 | PA      | $2105767.25     | 0.00%             | 2035-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2006-BC3                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC3 M1             | CUSIP: 23242HAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       412651 | PA      | $412586.43      | 0.00%             | 2037-02-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AV0663 FN 12/43 FIXED 4.5                        | CUSIP: 3138XBWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         2482 | PA      | $2450.27        | 0.00%             | 2043-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2022 RPL2 SA 144A      | CUSIP: 36267WAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2902684 | PA      | $2530736.26     | 0.00%             | 2067-12-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR 144A      | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    108200000 | PA      | $108269984.84   | 0.05%             | 2034-07-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO2516 FN 05/27 FIXED 3                          | CUSIP: 3138LSYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11778 | PA      | $11683.34       | 0.00%             | 2027-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2004-OPT1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 OPT1 M3           | CUSIP: 17307GJK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2750041 | PA      | $2713917.48     | 0.00%             | 2034-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZM2300 FR 12/46 FIXED 4                  | CUSIP: 3131XVRV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        42958 | PA      | $41165.83       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RJ0005 FR 10/53 FIXED 6.5                | CUSIP: 3142GQAF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3169413 | PA      | $3278884.82     | 0.00%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA5517 FN 04/50 FIXED 3                          | CUSIP: 3140QDDX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     87579385 | PA      | $78465006.28    | 0.03%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL TA1245 FR 12/55 FIXED 5                  | CUSIP: 3142JPL33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3536764 | PA      | $3491661.95     | 0.00%             | 2055-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q51769 FG 11/47 FIXED 3.5                | CUSIP: 3132XT6F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7363732 | PA      | $6867726.71     | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CALI MORTGAGE TRUST 2019-101C                                                    | CALI MORTGAGE TRUST 2019 101C CALI 2019 101C A 144A        | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9000000 | PA      | $8668399.50     | 0.00%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $1978138.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3920                                                          | FREDDIE MAC FHR 3920 LP                                    | CUSIP: 3137AF3W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       722359 | PA      | $734172.83      | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2022-P2                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2022 P2 A4            | CUSIP: 14686JAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8971553 | PA      | $8987470.43     | 0.00%             | 2028-02-10      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| CRNCL-2019-11A                                                                   | CAIRN CLO BV CRNCL 2019 11A AR 144A                        | CUSIP: ACI34RX33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     64750000 | PA      | $74800520.75    | 0.03%             | 2040-01-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-1                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 1 4A1             | CUSIP: 007036FT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       944514 | PA      | $930876.60      | 0.00%             | 2035-05-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.21026 03/31/26-28Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-939364.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q49631 FG 07/47 FIXED 4                  | CUSIP: 3132WPVZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3201838 | PA      | $3047059.07     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                                     | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A          | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1008673 | PA      | $999045.43      | 0.00%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-3                                                  | BEAR STEARNS ALT A TRUST BALTA 2004 3 A1                   | CUSIP: 07386HGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        26511 | PA      | $26409.25       | 0.00%             | 2034-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING 2004-5 TRUST                                             | BANC OF AMERICA FUNDING CORPOR BAFC 2004 5 1A18            | CUSIP: 05946XPF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       106265 | PA      | $105230.63      | 0.00%             | 2034-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2023-1A                                       | CONSUMER LOAN FINANCE ISSUER T CLFT 2023 1A R 144A         | CUSIP: 21055PAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     45747104 | PA      | $20036788.28    | 0.01%             | 2053-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX8843 FR 03/55 FIXED 5.5                | CUSIP: 31426FZH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3469911 | PA      | $3493467.92     | 0.00%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-SHL1                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 M1 144A      | CUSIP: 17312WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12375000 | PA      | $10651323.38    | 0.00%             | 2046-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA1011 FN 12/46 FIXED 4                          | CUSIP: 3140E5DR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80479 | PA      | $77098.25       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-WF2                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 WF2 M7            | CUSIP: 86359DDH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35412 | PA      | $35208.61       | 0.00%             | 2035-05-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/28 VAR                   | CUSIP: 780097BP5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |      1188000 | PA      | $1169070.16     | 0.00%             | 2028-05-22      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260819                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |            1 | NC      | $2016269.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB2093 FN 11/51 FIXED 3                          | CUSIP: 3140QMKF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        92170 | PA      | $81761.55       | 0.00%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BD9242 FN 10/46 FIXED 3.5                        | CUSIP: 3140FHHU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        24425 | PA      | $22770.40       | 0.00%             | 2046-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-5                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 5 3A1            | CUSIP: 07386YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2769655 | PA      | $2458178.77     | 0.00%             | 2047-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL7994 FN 11/26 FIXED VAR                        | CUSIP: 3138EQ3C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           29 | PA      | $29.41          | 0.00%             | 2026-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.6 SP MEI                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1.05           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 3A21            | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1265839 | PA      | $889538.71      | 0.00%             | 2035-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BV7558 FN 11/52 FIXED 6                          | CUSIP: 3140MMMG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       814444 | PA      | $835167.39      | 0.00%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-LP2                                            | BX TRUST BX 2022 LP2 A 144A                                | CUSIP: 05610HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2384352 | PA      | $2384514.89     | 0.00%             | 2039-02-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260413                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-6831.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2                                | SECURITIZED ASSET BACKED RECEI SABR 2006 WM2 A2A           | CUSIP: 81376GAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16452046 | PA      | $11837781.59    | 0.01%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-5                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 5 A1               | CUSIP: 026936AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1088112 | PA      | $1054255.63     | 0.00%             | 2047-06-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 848577 FN 12/35 FLOATING VAR                     | CUSIP: 31408DXE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        11222 | PA      | $11370.77       | 0.00%             | 2035-12-01      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BK1407 FN 03/48 FIXED 4                          | CUSIP: 3140HER53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         7148 | PA      | $6849.33        | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                      | MEXICAN UDIBONOS BONDS 11/31 2.75                          | CUSIP: ACI1VZWM8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |      8807274 | PA      | $439774.04      | 0.00%             | 2031-11-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE4483 FN 12/46 FIXED 3.5                        | CUSIP: 3140FP6V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        32269 | PA      | $30148.16       | 0.00%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-5AR                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 5AR 1A1            | CUSIP: 61748HAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        52359 | PA      | $53865.47       | 0.00%             | 2034-07-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL4 TRUST                                                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL4 A1 144A      | CUSIP: 740943AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116147458 | PA      | $112556619.57   | 0.05%             | 2065-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-3                                             | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 3 M7               | CUSIP: 29445FCD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       501463 | PA      | $479220.97      | 0.00%             | 2034-12-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC2252 FN 09/54 FIXED 5                          | CUSIP: 3140APQE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       516968 | PA      | $511830.81      | 0.00%             | 2054-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA3612 FN 03/39 FIXED 4                          | CUSIP: 31418DAN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1446960 | PA      | $1416082.31     | 0.00%             | 2039-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.77000 04/29/24-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $14488.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 607400 FN 11/31 FIXED 6.5                        | CUSIP: 31388KX56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         1190 | PA      | $1231.43        | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.65500 01/24/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-382460.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A3            | CUSIP: 43709LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6983428 | PA      | $6508291.96     | 0.00%             | 2036-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.25500 10/23/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1725173.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DD9725 FN 06/55 FIXED 5                          | CUSIP: 3140BAYX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1392316 | PA      | $1376725.54     | 0.00%             | 2055-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AI1888 FN 05/41 FIXED 4.5                        | CUSIP: 3138AFC24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3636 | PA      | $3600.55        | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/26 2.7            | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     39225000 | PA      | $38939406.31    | 0.02%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CMBX.NA.AAA.9 SP SAL                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $156.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE7845 FN 02/47 FIXED 4.5                        | CUSIP: 3140FTWF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        41938 | PA      | $41324.30       | 0.00%             | 2047-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2021-1 CLASS A PASS THROUGH TRUST                              | AMER AIRLINE 21 1A EETC PASS THRU CE 01/36 2.875           | CUSIP: 02379KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     24117747 | PA      | $21613641.92    | 0.01%             | 2036-01-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-4                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 4 M1             | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10344070 | PA      | $10216701.17    | 0.00%             | 2035-02-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA6680 FN 12/45 FIXED 4.5                        | CUSIP: 3140EBM65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       419379 | PA      | $411998.37      | 0.00%             | 2045-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.06-2 SP BRC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-219022.45     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                            | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 1A             | CUSIP: 863579B23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       187061 | PA      | $120769.04      | 0.00%             | 2035-11-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                             | INTEGRITY RE III UNSECURED 144A 06/27 VAR                  | CUSIP: 45870GAA4<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      1350000 | PA      | $1375380.00     | 0.00%             | 2027-06-06      | Floating      | 11.51%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS1                                              | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS1 A4            | CUSIP: 74924SAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3654794 | PA      | $3589332.25     | 0.00%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                          | REACH FINANCIAL LLC REACH 2025 1A A 144A                   | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8812294 | PA      | $8827769.78     | 0.00%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR7                                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR7 A1            | CUSIP: 45660NT88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        46368 | PA      | $40830.55       | 0.00%             | 2034-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QB3510 FR 08/50 FIXED 4                  | CUSIP: 3133A93T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       639781 | PA      | $634301.72      | 0.00%             | 2050-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A1                 | CUSIP: 46631NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2010050 | PA      | $743713.14      | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-OPT4                                              | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT4 M2           | CUSIP: 04542BHE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4412035 | PA      | $4659163.68     | 0.00%             | 2033-12-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE1                                             | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE1 A3           | CUSIP: 144538AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10777443 | PA      | $10665014.70    | 0.00%             | 2036-04-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 1A1             | CUSIP: 17307GTA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9409 | PA      | $9568.28        | 0.00%             | 2035-08-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2006-7                                                     | TERWIN MORTGAGE TRUST TMTS 2006 7 1A2B 144A                | CUSIP: 88156PAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1217949 | PA      | $1204004.99     | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BECKETT MORTGAGES 2026-1 DAC 26-1A                                               | BECKETT MORTGAGES BECKS 2026 1A Y 144A                     | CUSIP: ACI38PQC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      1729000 | PA      | $14081744.18    | 0.01%             | 2071-07-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-4                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 D 2A1            | CUSIP: 05949ADF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       126677 | PA      | $122078.02      | 0.00%             | 2034-05-25      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| AMERICAN GENERAL MORTGAGE LOAN TRUST 2009-1                                      | AMERICAN GENERAL MORTGAGE LOAN AGFMT 2009 1 CE 144A        | CUSIP: 02640CAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102450989 | PA      | $89286477.51    | 0.04%             | 2048-09-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $471992.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2007-1                                           | NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 2A4              | CUSIP: 65106FAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14485000 | PA      | $13780902.98    | 0.01%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-2R                              | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 2R 5A17 144A        | CUSIP: 12643GDH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       380306 | PA      | $378303.35      | 0.00%             | 2037-04-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AL8874 FN 02/45 FIXED VAR                        | CUSIP: 3138ET2G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       111903 | PA      | $105489.21      | 0.00%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M5             | CUSIP: 64352VKX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4528902 | PA      | $4538093.42     | 0.00%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL Q52184 FG 11/47 FIXED 3.5                | CUSIP: 3132XUNA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       499183 | PA      | $465147.30      | 0.00%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC0262 FN 08/54 FIXED 7                          | CUSIP: 3140AMJG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       390196 | PA      | $412432.13      | 0.00%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.30000 12/02/24-7Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6991757.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                                    | GSAA HOME EQUITY TRUST GSAA 2006 5 2A2                     | CUSIP: 362334GS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18585046 | PA      | $5917244.59     | 0.00%             | 2036-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 8.38000 08/04/23-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |            1 | NC      | $897352.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA3047 FN 12/45 FIXED 4                          | CUSIP: 3140E7L57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         8924 | PA      | $8569.23        | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08666 FG 09/45 FIXED 3                  | CUSIP: 3128MJW48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        83551 | PA      | $76010.51       | 0.00%             | 2045-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QG7216 FR 07/53 FIXED 5                  | CUSIP: 3133C8AR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9363353 | PA      | $9284595.87     | 0.00%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA1555 FN 02/48 FIXED 4                          | CUSIP: 3140Q8WR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8702313 | PA      | $8339195.70     | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA4014 FN 05/35 FIXED 3                          | CUSIP: 31418DN81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       197006 | PA      | $189292.58      | 0.00%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-C                                                  | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 C 2A1            | CUSIP: 0605067L0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       125726 | PA      | $116345.22      | 0.00%             | 2033-04-25      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF1664 FN 10/55 FIXED 5                          | CUSIP: 3140BRZ69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2784337 | PA      | $2752043.77     | 0.00%             | 2055-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS6                                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS6 M6            | CUSIP: 76112BTX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2100000 | PA      | $2074567.53     | 0.00%             | 2035-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL ZA5454 FR 06/48 FIXED 4                  | CUSIP: 31329PBX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       360505 | PA      | $346266.95      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A4              | CUSIP: 12669VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10000000 | PA      | $8838056.00     | 0.00%             | 2047-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-14                                              | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 14 2A1A          | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7975434 | PA      | $7622018.17     | 0.00%             | 2047-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QF6551 FR 01/53 FIXED 5.5                | CUSIP: 3133BUH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       540877 | PA      | $545884.05      | 0.00%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 003293 G2 07/32 FIXED 4.5                     | CUSIP: 36202DUS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          181 | PA      | $179.44         | 0.00%             | 2032-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1         | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        44482 | PA      | $44984.57       | 0.00%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2007-FS1                                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 FS1 1A1 144A      | CUSIP: 17313EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11051686 | PA      | $10696055.39    | 0.00%             | 2037-10-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CB5731 FN 02/53 FIXED 5.5                        | CUSIP: 3140QRLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26293901 | PA      | $26534640.21    | 0.01%             | 2053-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BE5179 FN 03/47 FIXED 4                          | CUSIP: 3140FQXH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       403910 | PA      | $386473.65      | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260602                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $5443323.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2D               | CUSIP: 61753NAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6671505 | PA      | $2920164.95     | 0.00%             | 2037-02-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1           | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8378358 | PA      | $6879493.38     | 0.00%             | 2037-06-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-6                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 6 4A             | CUSIP: 41161PFU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       706058 | PA      | $696450.01      | 0.00%             | 2034-08-19      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                                    | ALTICE FRANCE SA 2025 EUR TERM LOAN B11                    | CUSIP: BA000QF11<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |      7973363 | PA      | $9178182.15     | 0.00%             | 2028-04-30      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-104483.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260617                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-204975.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                         | SOFTBANK VISION FUND II TRANCHE B2 TERM LOAN               | CUSIP: BA000KP70<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     46338735 | PA      | $47112591.93    | 0.02%             | 2029-04-25      | Floating      | 7.35%                 | No            |                  3 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260819                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $-981030.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |            1 | NC      | $405154.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BC4750 FN 10/46 FIXED 4                          | CUSIP: 3140F0H49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       271668 | PA      | $260473.04      | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-2 LTD                                                         | WELLFLEET CLO LTD WELF 2021 2A A1R 144A                    | CUSIP: 95023AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     58600000 | PA      | $58657130.31    | 0.03%             | 2034-07-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20261002                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $-1268970.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SB8000 FR 07/34 FIXED 3                  | CUSIP: 3132D53H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3057 | PA      | $2949.92        | 0.00%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABX.HE.AAA.07-1 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-5942597.15    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DF2213 FN 11/55 FIXED 5                          | CUSIP: 3140BSN78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15767155 | PA      | $15566087.15    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHESTER A PLC 1-AA                                                               | CHESTER A CESTR 1 AA Z 144A                                | CUSIP: ACI1BFKG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    116570000 | PA      | $149762089.17   | 0.07%             | 2046-03-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WMC3                                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A3          | CUSIP: 46629KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1915088 | PA      | $1460077.32     | 0.00%             | 2036-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BH9376 FN 10/47 FIXED 4                          | CUSIP: 3140GYM22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4959521 | PA      | $4766470.03     | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AK3264 FN 02/27 FIXED 3                          | CUSIP: 3138E7TW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         9967 | PA      | $9906.13        | 0.00%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2004-13                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 13 MF3             | CUSIP: 126673RA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3538309 | PA      | $3472292.17     | 0.00%             | 2035-02-25      | Variable      | 5.27%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AR4                                          | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR4 A1            | CUSIP: 25150PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2870868 | PA      | $976442.87      | 0.00%             | 2036-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-43                                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 43 IO              | CUSIP: 38378KDF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2621056 | PA      | $512.42         | 0.00%             | 2048-08-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| ICG US CLO LTD 2015-2RA                                                          | ICG US CLO LTD ICG 2015 2RA A1R 144A                       | CUSIP: 44933WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14721089 | PA      | $14732405.61    | 0.01%             | 2033-01-16      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-21                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 21 1A              | CUSIP: 12667LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10915694 | PA      | $10632247.29    | 0.00%             | 2035-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | COLOMBIA LA SP MYC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-219825.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SEK BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |            1 | NC      | $15589.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2011-3                                              | RBSSP RESECURITIZATION TRUST RBSSP 2011 3 1A2 144A         | CUSIP: 74930NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21557905 | PA      | $18644925.42    | 0.01%             | 2037-03-26      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.46382 09/03/24-25Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $7541683.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1                               | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 1 A2              | CUSIP: 31659TEY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19299481 | PA      | $14813108.51    | 0.01%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 31AA           | CUSIP: 17313QBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1401871 | PA      | $1317033.73     | 0.00%             | 2037-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                                  | 20 TSQ GROUNDCO LLC TSQ 2018 20TS C 144A                   | CUSIP: 90137LAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10007000 | PA      | $9422215.94     | 0.00%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-2                                    | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 2 B              | CUSIP: 80287JAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4064529 | PA      | $4066529.22     | 0.00%             | 2028-05-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-242886.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 A 144A         | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9794380 | PA      | $9828018.54     | 0.00%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 03/28 VAR                   | CUSIP: 639057AL2<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     42300000 | PA      | $42723881.53    | 0.02%             | 2028-03-01      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 320                                                           | FREDDIEMAC STRIP FHS 320 V4                                | CUSIP: 3132HTX92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7605908 | PA      | $7558361.73     | 0.00%             | 2043-11-15      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SL1495 FR 02/55 FIXED 7                  | CUSIP: 31427NUV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       754943 | PA      | $794262.50      | 0.00%             | 2055-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA5068 FN 11/53 FIXED 6.5                        | CUSIP: 3140A5T24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4319811 | PA      | $4472074.25     | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA2136 FN 01/45 FIXED 3.5                        | CUSIP: 31418BLS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         4058 | PA      | $3812.74        | 0.00%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FOUNDATION FINANCE TRUST 2025-2A                                                 | FOUNDATION FINANCE TRUST FFIN 2025 2A A 144A               | CUSIP: 35042NAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     12260201 | PA      | $12195518.84    | 0.01%             | 2052-04-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AZ4312 FN 02/46 FIXED 3.5                        | CUSIP: 3138YVYJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        19563 | PA      | $18360.12       | 0.00%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QH4836 FR 11/53 FIXED 6.5                | CUSIP: 3133CHLR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        77081 | PA      | $80741.83       | 0.00%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DUTCH MORTGAGE FINANCE 2025-1 BV 25-1A                                           | DUTCH MORTGAGE FINANCE DMFI 2025 1A X 144A                 | CUSIP: ACI34G9P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | NL        |     10403014 | PA      | $12039841.50    | 0.01%             | 2059-08-22      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2006-EFC2                                            | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 EFC2 M1           | CUSIP: 749238AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000000 | PA      | $14407890.00    | 0.01%             | 2036-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.95000 12/19/23-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-1388740.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ6888 FR 11/55 FIXED 5                  | CUSIP: 31427GUN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27461122 | PA      | $27104165.22    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                                    | SEQUOIA MORTGAGE TRUST SEMT 2007 1 2A1                     | CUSIP: 81744HAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1096006 | PA      | $839443.55      | 0.00%             | 2047-02-20      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-NQM1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2024 NQM1 SA 144A      | CUSIP: 36272FAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           69 | PA      | $60.32          | 0.00%             | 2064-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-11                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 11 2A1 144A       | CUSIP: 17313RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1529345 | PA      | $1153101.52     | 0.00%             | 2037-03-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTG INV TRUST 2005-1                                               | AMERICAN HOME MORTGAGE INVESTM AHM 2005 1 8A2              | CUSIP: 02660TDL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14153078 | PA      | $9830006.25     | 0.00%             | 2035-06-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260423                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |            1 | NC      | $-265553.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST US CLO 2023-1 LTD                                                        | HARVEST US CLO LTD HARUS 2023 1A A1R 144A                  | CUSIP: 417923AL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    142800000 | PA      | $142693922.45   | 0.06%             | 2037-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA6009 FN 05/50 FIXED 3.5                        | CUSIP: 3140QDVB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7602478 | PA      | $7004819.61     | 0.00%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2005-BC4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC4 M7             | CUSIP: 1266737F3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       188382 | PA      | $187638.40      | 0.00%             | 2035-05-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $14664.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 725851 FN 07/34 FIXED VAR                        | CUSIP: 31402DL81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         5896 | PA      | $5904.30        | 0.00%             | 2034-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 1 LLC/ABILENE DC 2 LLC                                                | PROJECT FLASH DELAYED DRAW TERM LOAN                       | CUSIP: BA000GR85<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    108449978 | PA      | $107672415.52   | 0.05%             | 2028-01-09      | Floating      | 5.34%                 | No            |                  3 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-2A                                        | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 2A A2 144A        | CUSIP: 379924AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     13611318 | PA      | $13727355.51    | 0.01%             | 2030-06-17      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 1CB           | CUSIP: 93934FFY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       453041 | PA      | $323182.94      | 0.00%             | 2035-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2022-6 DAC 6A                                                       | OCP EURO CLO OCPE 2022 6A ARR 144A                         | CUSIP: ACI2YHRS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     83600000 | PA      | $96561109.52    | 0.04%             | 2036-07-20      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2007-QO5 TRUST                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO5 A             | CUSIP: 74924AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     62314824 | PA      | $7954462.31     | 0.00%             | 2047-08-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCIAL SECURITIZATIONS 2000-1                                         | CONSECO FINANCE SECURITIZATION CNF 2000 1 A5               | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7259589 | PA      | $831163.47      | 0.00%             | 2029-09-01      | Fixed         | 8.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ7208 FR 11/55 FIXED 5                  | CUSIP: 31427HAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2442136 | PA      | $2411227.97     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-4                                                   | CSAB MORTGAGE BACKED TRUST CSAB 2006 4 A5                  | CUSIP: 12628LAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15219081 | PA      | $1879923.27     | 0.00%             | 2036-12-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8498 FR 12/54 FIXED 7                  | CUSIP: 3132DWNP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     19651206 | PA      | $20662814.66    | 0.01%             | 2054-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AX0961 FN 08/44 FIXED 4                          | CUSIP: 3138Y2B77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       274209 | PA      | $264511.16      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                              | SAXON ASSET SECURITIES TRUST SAST 2005 3 M4                | CUSIP: 805564SV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3903755 | PA      | $3577528.80     | 0.00%             | 2035-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AY2817 FN 08/45 FIXED 4                          | CUSIP: 3138YGDX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       150076 | PA      | $144907.50      | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-12                                                   | GSAA HOME EQUITY TRUST GSAA 2005 12 AF4                    | CUSIP: 362341SS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       140489 | PA      | $89707.56       | 0.00%             | 2035-09-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-2                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 2 2A1             | CUSIP: 00703AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       212984 | PA      | $268179.27      | 0.00%             | 2037-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| LCM 36 LTD                                                                       | LCM LTD PARTNERSHIP LCM 36A A1R 144A                       | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1000387.84     | 0.00%             | 2034-01-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-13AX                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 13AX A2            | CUSIP: 61750PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2093148 | PA      | $579061.78      | 0.00%             | 2036-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-1933923.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175AC919 PIMCO FLOOR USD 0.0255 USD SOFR COMP             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1277500000 | NC      | $-5493.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB7                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 3A1                  | CUSIP: 126694GC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11192293 | PA      | $9920968.98     | 0.00%             | 2035-11-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8317 FR 04/53 FIXED 6                  | CUSIP: 3132DWG23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1825376 | PA      | $1873226.72     | 0.00%             | 2053-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.25000 06/17/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-15079416.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                              | VICI PROPERTIES INC REIT USD.01                            | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |     11625222 | NS      | $317601065.04   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ9098 FR 11/55 FIXED 5                  | CUSIP: 31427KDC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18151228 | PA      | $17915705.70    | 0.01%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 3A1           | CUSIP: 933634AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5298339 | PA      | $4770377.17     | 0.00%             | 2037-03-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                          | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A4A           | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6911239 | PA      | $6209438.36     | 0.00%             | 2037-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ6961 FR 11/55 FIXED 5                  | CUSIP: 31427GWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9994835 | PA      | $9867299.93     | 0.00%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BA1028 FN 10/45 FIXED 4                          | CUSIP: 3140E5EA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        25514 | PA      | $24518.03       | 0.00%             | 2045-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 A4                | CUSIP: 617451DR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5867378 | PA      | $5746411.74     | 0.00%             | 2036-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| RASC TRUST 2006-EMX6                                                             | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX6 A4           | CUSIP: 754065AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18052971 | PA      | $16150722.35    | 0.01%             | 2036-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ISRAEL GOVT EM SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $240064.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |            1 | NC      | $-80947.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M2            | CUSIP: 17307GP77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       110424 | PA      | $109729.96      | 0.00%             | 2035-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A2A            | CUSIP: 59024FAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12914105 | PA      | $3439281.79     | 0.00%             | 2037-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ1600 FR 08/54 FIXED 5.5                | CUSIP: 3133CRX57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1164110 | PA      | $1170734.63     | 0.00%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260402                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |            1 | NC      | $4223633.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF9                                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF9 M1             | CUSIP: 32027NVZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5655104 | PA      | $6886503.55     | 0.00%             | 2035-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| PERFORMER FUNDING 1 PLC 1A                                                       | PERFORMER FUNDING PERFF 1A RC 144A                         | CUSIP: ACI2M18T3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |        81000 | PA      | $0.16           | 0.00%             | 2035-06-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE2                                                     | ACE SECURITIES CORP. ACE 2005 HE2 M6                       | CUSIP: 004421MH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3371000 | PA      | $3104880.45     | 0.00%             | 2035-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.55000 07/21/23-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-11531829.96   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-1                                           | CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 1 A3 144A        | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      8020032 | PA      | $8051288.11     | 0.00%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.99400 07/02/24-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-2317996.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2025-1 2025-1A                                       | SPACE COAST CREDIT UNION SCCU 2025 1A A2 144A              | CUSIP: 80620BAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     19728224 | PA      | $19764435.64    | 0.01%             | 2028-11-15      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N1                                           | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N1 F 144A        | CUSIP: 14687DAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1439632 | PA      | $1436171.65     | 0.00%             | 2028-01-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-5                                                 | CONSECO FINANCIAL CORP GT 1999 5 A5                        | CUSIP: 3935053P5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     11048667 | PA      | $2703802.09     | 0.00%             | 2030-03-01      | Fixed         | 7.86%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2                                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ2 A2            | CUSIP: 83611XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       543088 | PA      | $396750.02      | 0.00%             | 2037-01-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC2702 FN 11/54 FIXED 5.5                        | CUSIP: 3140AQAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       522390 | PA      | $525308.06      | 0.00%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QA0744 FR 01/49 FIXED 3.5                | CUSIP: 31334WZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2834387 | PA      | $2655121.78     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 2A3             | CUSIP: 86361JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1977216 | PA      | $1186910.25     | 0.00%             | 2036-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD IDR BOUGHT USD 20260610                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $9133.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 4 JUMBOS                                 | CUSIP: 21H040657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    835739000 | PA      | $782472088.37   | 0.35%             | 2056-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260505                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |            1 | NC      | $13633838.87    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                     | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       161072 | PA      | $143002.91      | 0.00%             | 2035-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 02/44 1.375                                | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    136245042 | PA      | $112688046.36   | 0.05%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT5                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT5 2A4          | CUSIP: 83612CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8388677 | PA      | $7852702.63     | 0.00%             | 2036-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                                             | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A A 144A        | CUSIP: 07325QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3018239 | PA      | $3047621.99     | 0.00%             | 2037-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ9744 FR 11/54 FIXED 5                  | CUSIP: 3133D1ZH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4765875 | PA      | $4709888.82     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN TRUST 2010-RR4                                         | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2010 RR4 1A2 144A     | CUSIP: 94987FAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11218911 | PA      | $5332753.37     | 0.00%             | 2046-12-27      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTOR INC 2004-HE1                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 HE1 B1 144A       | CUSIP: 59020UFL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       259917 | PA      | $222000.63      | 0.00%             | 2035-04-25      | Floating      | 7.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AJ9977 FN 06/42 FIXED 4                          | CUSIP: 3138E3CP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        43454 | PA      | $41964.96       | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRKCM 2025-AFC1 TRUST                                                            | PRKCM TRUST PRKCM 2025 AFC1 A1A 144A                       | CUSIP: 69392YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8053146 | PA      | $8039026.41     | 0.00%             | 2060-10-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                                     | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A                   | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26500000 | PA      | $26447487.60    | 0.01%             | 2039-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2005-NC5                                              | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC5 M2            | CUSIP: 144531DP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       555168 | PA      | $550314.78      | 0.00%             | 2035-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                             | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A1             | CUSIP: 59024FAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13880376 | PA      | $2214204.59     | 0.00%             | 2037-03-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                           | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 1A            | CUSIP: 542512AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20774853 | PA      | $14168441.23    | 0.01%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QX0634 FR 11/54 FIXED 5                  | CUSIP: 31425UV44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1244484 | PA      | $1231971.22     | 0.00%             | 2054-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A3                                   | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A3 2A2            | CUSIP: 76113WAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9698511 | PA      | $1138228.90     | 0.00%             | 2037-04-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2003-K                                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 K 1A2            | CUSIP: 05948XZC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        55704 | PA      | $55770.04       | 0.00%             | 2033-12-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2023-RPL2                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2023 RPL2 PT 144A      | CUSIP: 36270PAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    314177959 | PA      | $271281953.83   | 0.12%             | 2063-02-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 1A1           | CUSIP: 12668AXB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50919 | PA      | $48828.18       | 0.00%             | 2035-12-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2006 3 1A1                     | CUSIP: 126694YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4436074 | PA      | $4229481.26     | 0.00%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GCAT LLC 2019-RPL1                                                               | GCAT GCAT 2019 RPL1 M2 144A                                | CUSIP: 36167CAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $940917.20      | 0.00%             | 2068-10-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP 2008-2R                                              | GS MORTGAGE SECURITIES CORP. GSMSC 2008 2R 2A1 144A        | CUSIP: 3622X1AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1003741 | PA      | $106956.89      | 0.00%             | 2036-10-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                           | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M3               | CUSIP: 61744CLW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2769424 | PA      | $2835986.66     | 0.00%             | 2035-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-05-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer