# EDGAR Filing Document

**Accession Number:** 0001480207
**File Stem:** 0001145549-23-011697
**Filing Date:** 2023-2
**Character Count:** 1590710
**Document Hash:** 9960c0ed712fea845ec57fb2eafb2b30
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-011697.hdr.sgml**: 20230227

**ACCESSION NUMBER**: 0001145549-23-011697

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230227

**DATE AS OF CHANGE**: 20230227

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** DoubleLine Funds Trust
- **CENTRAL INDEX KEY:** 0001480207
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22378
- **FILM NUMBER:** 23675461

**BUSINESS ADDRESS:**
- **STREET 1:** 2002 N. TAMPA ST.,
- **STREET 2:** SUITE 200
- **CITY:** TAMPA
- **STATE:** FL
- **ZIP:** 33602
- **BUSINESS PHONE:** (813) 791-7333

**MAIL ADDRESS:**
- **STREET 1:** 2002 N. TAMPA ST.,
- **STREET 2:** SUITE 200
- **CITY:** TAMPA
- **STATE:** FL
- **ZIP:** 33602

## Series and Classes Contracts Data

### DoubleLine Total Return Bond Fund (Series ID: S000028163)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000086126 | Class I      | DBLTX           |
| C000086127 | Class N      | DLTNX           |
| C000213584 | Class R6     | DDTRX           |

## Nport-Ex

------

**DoubleLine Total Return Bond Fund** 

Schedule of Investments

December 31, 2022 (Unaudited)

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
|  **Asset Backed Obligations - 4.9%** | **Asset Backed Obligations - 4.9%** | **Asset Backed Obligations - 4.9%** | **Asset Backed Obligations - 4.9%** | **Asset Backed Obligations - 4.9%** |
| 3596243 | AASET Ltd., Series 2018-1A-B | 5.44 % (a)(c) | 01/16/2038 | 2029468 |
| 12952549 | AASET Ltd., Series 2020-1A-A | 3.35 % (a) | 01/16/2040 | 10205715 |
| 12950000 | Aligned Data Centers Issuer LLC, Series 2021-1A-A2 | 1.94 % (a) | 08/15/2046 | 11086987 |
| 11550000 | Aligned Data Centers Issuer LLC, Series 2021-1A-B | 2.48 % (a) | 08/15/2046 | 9482518 |
| 2551060 | Aqua Finance Trust, Series 2017-A-A | 3.72 % (a) | 11/15/2035 | 2513674 |
| 21338750 | Bojangles Issuer LLC, Series 2020-1A-A2 | 3.83 % (a) | 10/20/2050 | 19204211 |
| 4276322 | Business Jet Securities LLC, Series 2020-1A-A | 2.98 % (a) | 11/15/2035 | 3900224 |
| 9850000 | Cajun Global LLC, Series 2021-1-A2 | 3.93 % (a) | 11/20/2051 | 8381058 |
| 14088425 | CAL Funding Ltd., Series 2020-1A-A | 2.22 % (a) | 09/25/2045 | 12198133 |
| 15000000 | CANON, Series 2021-0001 | 3.50 % (c) | 11/05/2023 | 14925000 |
| 20362616 | Carbon Level Mitigation Trust, Series 2021-3-CERT | 1.99 % (a)(b) | 09/08/2051 | 15912122 |
| 6046168 | Castlelake Aircraft Securitization Trust, Series 2016-1-A | 4.45% | 08/15/2041 | 5436612 |
| 15077529 | Castlelake Aircraft Structured Trust, Series 2017-1R-A | 2.74 % (a) | 08/15/2041 | 13088743 |
| 13409375 | CLI Funding LLC, Series 2020-1A-A | 2.08 % (a) | 09/18/2045 | 11631933 |
| 33434339 | CLMTE, Series 2022-3 | 0.23 % (a) | 11/21/2052 | 24366645 |
| 12091275 | Coinstar Funding LLC, Series 2017-1A-A2 | 5.22 % (a) | 04/25/2047 | 9293955 |
| 2697365 | Commonbond Student Loan Trust, Series 2016-A-A1 | 3.32 % (a) | 05/25/2040 | 2539604 |
| 4951174 | Credit Suisse ABS Trust, Series 2020-AT1-A | 2.61 % (a) | 10/15/2026 | 4732134 |
| 39300000 | DataBank Issuer, Series 2021-1A-A2 | 2.06 % (a) | 02/27/2051 | 34112553 |
| 31000000 | DataBank Issuer, Series 2021-2A-A2 | 2.40 % (a) | 10/25/2051 | 26903046 |
| 3350000 | DataBank Issuer, Series 2021-2A-B | 2.79 % (a) | 10/25/2051 | 2865383 |
| 28462500 | DB Master Finance LLC, Series 2021-1A-A23 | 2.79 % (a) | 11/20/2051 | 22011642 |
| 6000000 | Diamond Issuer, Series 2021-1A-B | 2.70 % (a) | 11/20/2051 | 4903719 |
| 18552195 | Dividend Solar Loans LLC, Series 2019-1-A | 3.67 % (a) | 08/22/2039 | 16839230 |
| 30524492 | ECAF Ltd., Series 2015-1A-A2 | 4.95 % (a) | 06/15/2040 | 18819479 |
| 2561426 | Falcon Aerospace Ltd., Series 2017-1-A | 4.58 % (a) | 02/15/2042 | 2138048 |
| 2241862 | Foundation Finance Trust, Series 2019-1A-A | 3.86 % (a) | 11/15/2034 | 2195904 |
| 10647108 | GAIA Aviation Ltd., Series 2019-1-A | 3.97 % (a)(k) | 12/15/2044 | 8908627 |
| 25016858 | Global SC Finance SRL, Series 2020-1A-A | 2.17 % (a) | 10/17/2040 | 22200315 |
| 2300814 | HERO Funding Trust, Series 2016-3A-A2 | 3.91 % (a) | 09/20/2042 | 2169528 |
| 6146025 | HERO Funding Trust, Series 2016-4A-A2 | 4.29 % (a) | 09/20/2047 | 5870186 |
| 14678807 | Horizon Aircraft Finance Ltd., Series 2019-1-A | 3.72 % (a) | 07/15/2039 | 11550533 |
| 37335000 | Jack in the Box Funding LLC, Series 2019-1A-A23 | 4.97 % (a) | 08/25/2049 | 33120696 |
| 5508375 | Jersey Mike's Funding, Series 2019-1A-A2 | 4.43 % (a) | 02/15/2050 | 4967230 |
| 20898000 | Jimmy Johns Funding LLC, Series 2017-1A-A2II | 4.85 % (a) | 07/30/2047 | 19269701 |
| 9119519 | JOL Air Ltd., Series 2019-1-A | 3.97 % (a) | 04/15/2044 | 7406800 |
| 6707056 | Kestrel Aircraft Funding Ltd., Series 2018-1A-A | 4.25 % (a) | 12/15/2038 | 5355933 |
| 59213850 | Labrador Aviation Finance Ltd., Series 2016-1A-A1 | 4.30 % (a) | 01/15/2042 | 47347750 |
| 1618308 | Loanpal Solar Loan Ltd., Series 2021-1GS-B | 2.84 % (a) | 01/20/2048 | 1205660 |
| 12831101 | Lunar Aircraft Ltd., Series 2020-1A-A | 3.38 % (a) | 02/15/2045 | 10526738 |
| 1142579 | Lunar Structured Aircraft Portfolio Notes, Series 2021-1-B | 3.43 % (a) | 10/15/2046 | 913488 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 33106100 | ME Funding LLC, Series 2019-1-A2 | 6.45 % (a) | 07/30/2049 | 31875450 |
| 14103290 | Mosaic Solar Loan Trust, Series 2017-2A-A | 3.82 % (a) | 06/22/2043 | 13088406 |
| 8416123 | Mosaic Solar Loan Trust, Series 2018-1A-A | 4.01 % (a) | 06/22/2043 | 7778137 |
| 10571401 | Mosaic Solar Loan Trust, Series 2018-2GS-A | 4.20 % (a) | 02/22/2044 | 9590181 |
| 1820359 | Mosaic Solar Loan Trust, Series 2019-1A-A | 4.37 % (a) | 12/21/2043 | 1693287 |
| 23000000 | Navient Private Education Loan Trust, Series 2017-A-B | 3.91 % (a) | 12/16/2058 | 21450543 |
| 11000000 | Navient Private Education Loan Trust, Series 2018-BA-B | 4.13 % (a) | 12/15/2059 | 9931229 |
| 12100447 | Navigator Aircraft Ltd., Series 2021-1-B | 3.57 % (a)(k) | 11/15/2046 | 9917151 |
| 14528750 | Neighborly Issuer LLC, Series 2021-1A-A2 | 3.58 % (a) | 04/30/2051 | 11685616 |
| 4153673 | Oxford Finance Funding LLC, Series 2019-1A-A2 | 4.46 % (a) | 02/15/2027 | 4121675 |
| 35748552 | Pioneer Aircraft Finance Ltd., Series 2019-1-A | 3.97 % (a) | 06/15/2044 | 28426927 |
| 12561500 | Primrose Funding LLC, Series 2019-1A-A2 | 4.48 % (a) | 07/30/2049 | 11495878 |
| 30500248 | Project Silver, Series 2019-1-A | 3.97 % (a) | 07/15/2044 | 24201490 |
| 908083 | Prosper Pass-Thru Trust, Series 2019-ST1-A | 4.50 % (a) | 07/15/2025 | 909879 |
| 33634417 | Purewest Funding LLC, Series 2021-1-A1 | 4.09 % (a) | 12/22/2036 | 31921409 |
| 14344611 | Raptor Aircraft Finance LLC, Series 2019-1-A | 4.21 % (a) | 08/23/2044 | 10419194 |
| 39449005 | Regional Ltd., Series 2021-1A-A | 5.75% | 04/15/2041 | 34314243 |
| 7614709 | Renew, Series 2017-2A-A | 3.22 % (a) | 09/22/2053 | 6694434 |
| 40576827 | Research-Driven Pagaya Motor Asset Trust, Series 2021-2A-A | 2.65 % (a) | 03/25/2030 | 35725352 |
| 37704848 | Sapphire Aviation Finance Ltd., Series 2020-1A-A | 3.23 % (a) | 03/15/2040 | 28607008 |
| 9351338 | Sapphire Aviation Finance Ltd., Series 2020-1A-B | 4.34 % (a) | 03/15/2040 | 5459863 |
| 17705625 | SEB Funding LLC, Series 2021-1A-A2 | 4.97 % (a) | 01/30/2052 | 15036507 |
| 4087200 | ServiceMaster Funding LLC, Series 2020-1-A2II | 3.34 % (a) | 01/30/2051 | 3077923 |
| 21328644 | Shenton Aircraft Investment Ltd., Series 2015-1A-A | 4.75 % (a) | 10/15/2042 | 16181019 |
| 2951293 | Sierra Timeshare Receivables Funding LLC, Series 2021-2A-C | 1.95 % (a) | 09/20/2038 | 2693087 |
| 3541551 | Sierra Timeshare Receivables Funding LLC, Series 2021-2A-D | 3.23 % (a) | 09/20/2038 | 3209008 |
| 5562969 | SLM Private Credit Student Loan Trust, Series 2006-A-A5 (3 Month LIBOR USD + 0.29%, 0.00% Floor) | 5.06% | 06/15/2039 | 5241258 |
| 4292266 | SLM Private Credit Student Loan Trust, Series 2006-B-A5 (3 Month LIBOR USD + 0.27%, 0.00% Floor) | 5.04% | 12/15/2039 | 4062634 |
| 58861024 | SoFi Alternative Consumer Loan Program, Series 2021-2-A | 1.25 % (a) | 08/15/2030 | 55619841 |
| 500000 | SoFi Alternative Consumer Loan Program, Series 2021-2-R1 | 0.00 % (a)(c)(e) | 08/15/2030 | 12140261 |
| 16784457 | SoFi Alternative Trust, Series 2021-1-PT2 | 9.72 % (a)(b) | 05/25/2030 | 16504374 |
| 64060463 | SoFi Alternative Trust, Series 2021-3-A | 1.50 % (a) | 11/15/2030 | 60509720 |
| 950000 | SoFi Alternative Trust, Series 2021-3-R1 | 0.00 % (a)(c)(e) | 11/15/2030 | 28266905 |
| 20000000 | SoFi Professional Loan Program LLC, Series 2017-E-B | 3.49 % (a) | 11/26/2040 | 19014462 |
| 13000000 | SoFi Professional Loan Program LLC, Series 2017-E-C | 4.16 % (a) | 11/26/2040 | 11345862 |
| 22800000 | SoFi Professional Loan Program LLC, Series 2018-A-B | 3.61 % (a) | 02/25/2042 | 20508397 |
| 18000000 | SoFi Professional Loan Program Trust, Series 2018-B-BFX | 3.83 % (a) | 08/25/2047 | 16176589 |
| 23439520 | Sprite Ltd., Series 2021-1-A | 3.75 % (a) | 11/15/2046 | 20368591 |
| 5750000 | Stack Infrastructure Issuer LLC, Series 2020-1A-A2 | 1.89 % (a) | 08/25/2045 | 5123651 |
| 17185834 | Start Ltd., Series 2018-1-A | 4.09 % (a) | 05/15/2043 | 14703615 |
| 4694204 | Stonepeak ABS, Series 2021-1A-A | 2.68 % (a) | 02/28/2033 | 4104011 |
| 8583148 | Stonepeak ABS, Series 2021-1A-B | 3.82 % (a) | 02/28/2033 | 7505869 |
| 39421946 | Sunbird Engine Finance LLC, Series 2020-1A-A | 3.67 % (a) | 02/15/2045 | 31999424 |
| 12811889 | Sunnova Helios Issuer LLC, Series 2018-1A-A | 4.87 % (a) | 07/20/2048 | 11348602 |
| 12490095 | Sunnova Helios Issuer LLC, Series 2019-AA-A | 3.75 % (a) | 06/20/2046 | 11136340 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 13209054 | Sunnova Helios Issuer LLC, Series 2021-C-B | 2.33 % (a) | 10/20/2048 | 10628926 |
| 29754534 | Sunnova Helios Sol Issuer LLC, Series 2020-2A-A | 2.73 % (a) | 11/01/2055 | 23428955 |
| 7474500 | Taco Bell Funding LLC, Series 2021-1A-A23 | 2.54 % (a) | 08/25/2051 | 5703100 |
| 5247000 | Taco Bell Funding LLC, Series 2021-1A-A2I | 1.95 % (a) | 08/25/2051 | 4449984 |
| 15275000 | TAL Advantage LLC, Series 2020-1A-A | 2.05 % (a) | 09/20/2045 | 13420904 |
| 3245938 | TAL Advantage LLC, Series 2020-1A-B | 3.29 % (a) | 09/20/2045 | 2826832 |
| 9678952 | Textainer Marine Containers Ltd., Series 2020-1A-A | 2.73 % (a) | 08/21/2045 | 8776940 |
| 8423217 | Textainer Marine Containers Ltd., Series 2020-2A-A | 2.10 % (a) | 09/20/2045 | 7348692 |
| 2771935 | Textainer Marine Containers Ltd., Series 2020-2A-B | 3.34 % (a) | 09/20/2045 | 2414077 |
| 23226667 | Textainer Marine Containers Ltd., Series 2021-3A-A | 1.94 % (a) | 08/20/2046 | 19018211 |
| 5763869 | Upgrade Master Credit Pass-Thru Trust, Series 2021-PT1-A | 29.67 % (a)(b) | 08/15/2027 | 4695669 |
| 439285 | Upgrade Master Pass-Thru Trust, Series 2019-ST2-A | 3.90 % (a) | 09/15/2025 | 436418 |
| 9044451 | Upgrade Master Pass-Thru Trust, Series 2021-PT1-A | 14.51 % (a)(b) | 04/15/2027 | 8767049 |
| 7598903 | Upgrade Master Pass-Thru Trust, Series 2021-PT3-A | 15.57 % (a)(b) | 07/15/2027 | 7280798 |
| 4394518 | Upgrade Master Pass-Thru Trust, Series 2021-PT4-A | 11.57 % (a)(b) | 08/15/2027 | 4180760 |
| 13016557 | Upgrade Master Pass-Thru Trust, Series 2021-PT5-A | 16.50 % (a)(b) | 10/15/2027 | 12570297 |
| 8099572 | Upstart Pass-Through Trust, Series 2020-ST5-A | 3.00 % (a) | 12/20/2026 | 7740895 |
| 6674675 | Upstart Pass-Through Trust, Series 2021-ST1-A | 2.75 % (a) | 02/20/2027 | 6355309 |
| 3670621 | Upstart Securitization Trust, Series 2020-2-A | 2.31 % (a) | 11/20/2030 | 3551884 |
| 5647126 | Upstart Securitization Trust, Series 2021-3-A | 0.83 % (a) | 07/20/2031 | 5531323 |
| 10000000 | Upstart Securitization Trust, Series 2021-3-B | 1.66 % (a) | 07/20/2031 | 9304010 |
| 7500000 | Upstart Securitization Trust, Series 2021-3-C | 3.28 % (a) | 07/20/2031 | 6461238 |
| 32425000 | Vantage Data Centers LLC, Series 2020-2A-A2 | 1.99 % (a) | 09/15/2045 | 26707688 |
| 54400000 | Vault DI Issuer LLC, Series 2021-1A-A2 | 2.80 % (a) | 07/15/2046 | 46226618 |
| 17158948 | Vivint Solar Financing LLC, Series 2018-1A-A | 4.73 % (a) | 04/30/2048 | 15242082 |
| 17440347 | VR Funding LLC, Series 2020-1A-A | 2.79 % (a) | 11/15/2050 | 14539993 |
| 13630715 | Waterfall Commercial Mortgage Trust, Series 2015-SBC5-A | 4.10 % (a)(b) | 01/14/2026 | 13371804 |
| 19110000 | Wendy's Funding LLC, Series 2019-1A-A2II | 4.08 % (a) | 06/15/2049 | 17011164 |
| 44956929 | Willis Engine Structured Trust, Series 2020-A-A | 3.23 % (a) | 03/15/2045 | 34375507 |
| 10395000 | Wingstop Funding LLC, Series 2020-1A-A2 | 2.84 % (a) | 12/05/2050 | 8826357 |
| 10227043 | Zephyrus Capital Aviation Partners Ltd., Series 2018-1-A | 4.61 % (a) | 10/15/2038 | 8389928 |
|  **Total Asset Backed Obligations** (Cost $1,829,178,945) | **Total Asset Backed Obligations** (Cost $1,829,178,945) | **Total Asset Backed Obligations** (Cost $1,829,178,945) | **Total Asset Backed Obligations** (Cost $1,829,178,945) | 1587299639 |
|  **Collateralized Loan Obligations - 3.8%** | **Collateralized Loan Obligations - 3.8%** | **Collateralized Loan Obligations - 3.8%** | **Collateralized Loan Obligations - 3.8%** | **Collateralized Loan Obligations - 3.8%** |
| 2000000 | Anchorage Capital Ltd., Series 2014-3RA-B (3 Month LIBOR USD + 1.50%, 0.00% Floor) | 5.87 % (a) | 01/28/2031 | 1952937 |
| 36000000 | Anchorage Capital Ltd., Series 2018-10A-A1A (3 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.28 % (a) | 10/15/2031 | 35451011 |
| 3000000 | Apidos, Series 2013-12A-CR (3 Month LIBOR USD + 1.80%, 0.00% Floor) | 5.88 % (a) | 04/15/2031 | 2778950 |
| 5000000 | BlueMountain Ltd., Series 2018-2A-B (3 Month LIBOR USD + 1.70%, 1.70% Floor) | 6.31 % (a) | 08/15/2031 | 4839087 |
| 16500000 | Capital Four Ltd., Series 2021-1A-A (3 Month LIBOR USD + 1.21%, 1.21% Floor) | 5.40 % (a) | 01/18/2035 | 15860016 |
| 18500000 | Carlyle Global Market Strategies Ltd., Series 2022-2A-A2 (Secured Overnight Financing Rate 3 Month + 2.00%, 2.00% Floor) | 5.96 % (a) | 04/20/2035 | 17712129 |
| 10000000 | Cathedral Lake Ltd., Series 2021-8A-A1 (3 Month LIBOR USD + 1.22%, 1.22% Floor) | 5.46 % (a) | 01/20/2035 | 9660659 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 11500000 | CIFC Funding Ltd., Series 2022-3A-B (Secured Overnight Financing Rate 3 Month + 2.00%, 2.00% Floor) | 5.99 % (a) | 04/21/2035 | 10981339 |
| 3500000 | Dryden Ltd., Series 2017-53A-B (3 Month LIBOR USD + 1.40%, 0.00% Floor) | 5.48 % (a) | 01/15/2031 | 3387048 |
| 25500000 | Elevation Ltd., Series 2018-9A-A1 (3 Month LIBOR USD + 1.12%, 1.12% Floor) | 5.20 % (a) | 07/15/2031 | 24993320 |
| 13000000 | Franklin Park Place LLC, Series 2022-1A-A (Secured Overnight Financing Rate 3 Month + 1.40%, 1.40% Floor) | 5.23 % (a) | 04/14/2035 | 12534876 |
| 58370000 | Greywolf Ltd., Series 2018-1A-A1 (Secured Overnight Financing Rate 3 Month + 1.29%, 0.00% Floor) | 5.34 % (a) | 04/26/2031 | 57277611 |
| 1993864 | Halcyon Loan Advisors Funding Ltd., Series 2014-2A-D (3 Month LIBOR USD + 5.00%, 0.00% Floor) | 9.37 % (a) | 04/28/2025 | 476445 |
| 5001416 | Halcyon Loan Advisors Funding Ltd., Series 2014-3A-D (3 Month LIBOR USD + 3.65%, 0.00% Floor) | 7.97 % (a) | 10/22/2025 | 4824317 |
| 13000000 | Halsey Point Ltd., Series 2019-1A-B1 (3 Month LIBOR USD + 2.20%, 2.20% Floor) | 6.44 % (a) | 01/20/2033 | 12700795 |
| 28916429 | Harbourview LLC, Series 7RA-A1 (3 Month LIBOR USD + 1.13%, 1.13% Floor) | 5.32 % (a) | 07/18/2031 | 28280906 |
| 10000000 | Highbridge Loan Management Ltd., Series 7A-2015-BR (3 Month LIBOR USD + 1.18%, 0.00% Floor) | 5.79 % (a) | 03/15/2027 | 9836655 |
| 6000000 | Jamestown Ltd., Series 2018-11A-A2 (3 Month LIBOR USD + 1.70%, 0.00% Floor) | 5.71 % (a) | 07/14/2031 | 5754419 |
| 55820051 | Jamestown Ltd., Series 2018-6RA-A1 (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.51 % (a) | 04/25/2030 | 54812359 |
| 5000000 | Jamestown Ltd., Series 2018-6RA-A2A (3 Month LIBOR USD + 1.78%, 1.78% Floor) | 6.14 % (a) | 04/25/2030 | 4860635 |
| 4500000 | Jamestown Ltd., Series 2019-1A-A2 (3 Month LIBOR USD + 2.15%, 2.15% Floor) | 6.39 % (a) | 04/20/2032 | 4367005 |
| 30000000 | LCM LP, Series 17A-A2RR (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.23 % (a) | 10/15/2031 | 29396844 |
| 12500000 | Marble Point Ltd., Series 2020-2A-A1R (3 Month LIBOR USD + 1.21%, 1.21% Floor) | 5.29 % (a) | 10/15/2034 | 12083841 |
| 55000000 | Marble Point Ltd., Series 2021-2A-A (3 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.56 % (a) | 07/25/2034 | 52846613 |
| 50000000 | Marble Point Ltd., Series 2021-4A-A1 (3 Month LIBOR USD + 1.21%, 1.21% Floor) | 5.53 % (a) | 01/22/2035 | 47789710 |
| 54500000 | MidOcean Credit, Series 2018-9A-A1 (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.39 % (a) | 07/20/2031 | 53589038 |
| 70279043 | MKS Ltd., Series 2017-1A-AR (3 Month LIBOR USD + 1.00%, 1.00% Floor) | 5.24 % (a) | 07/20/2030 | 69600414 |
| 61250000 | MKS Ltd., Series 2017-2A-A (3 Month LIBOR USD + 1.19%, 1.19% Floor) | 5.43 % (a) | 01/20/2031 | 60356791 |
| 40000000 | MP Ltd., Series 2013-1A-AR (3 Month LIBOR USD + 1.25%, 0.00% Floor) | 5.49 % (a) | 10/20/2030 | 39324672 |
| 30000000 | Nassau Ltd., Series 2018-IA-A (3 Month LIBOR USD + 1.15%, 0.00% Floor) | 5.23 % (a) | 07/15/2031 | 29197500 |
| 25860959 | Northwoods Capital Ltd., Series 2018-11BA-A1 (3 Month LIBOR USD + 1.10%, 1.10% Floor) | 5.33 % (a) | 04/19/2031 | 25279496 |
| 75000000 | OFSI Fund Ltd., Series 2018-1A-A (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.23 % (a) | 07/15/2031 | 73099733 |
| 28000000 | Prudential PLC, Series 2018-1A-A (3 Month LIBOR USD + 1.15%, 0.00% Floor) | 5.23 % (a) | 07/15/2031 | 27385770 |
| 2500000 | Regatta Funding Ltd., Series 2018-1A-B (3 Month LIBOR USD + 1.65%, 0.00% Floor) | 5.73 % (a) | 07/17/2031 | 2422827 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 20000000 | Regatta Funding Ltd., Series 2018-3A-A (3 Month LIBOR USD + 1.19%, 0.00% Floor) | 5.55 % (a) | 10/25/2031 | 19640836 |
| 25000000 | Sound Point Ltd., Series 2013-3RA-A (3 Month LIBOR USD + 1.15%, 1.15% Floor) | 5.34 % (a) | 04/18/2031 | 24522250 |
| 26500000 | Sound Point Ltd., Series 2015-2A-ARRR (3 Month LIBOR USD + 1.21%, 1.21% Floor) | 5.45 % (a) | 07/20/2032 | 26001323 |
| 18000000 | Sound Point Ltd., Series 2018-2A-C (3 Month LIBOR USD + 1.95%, 0.00% Floor) | 6.28 % (a) | 07/26/2031 | 16454705 |
| 28000000 | Sound Point Ltd., Series 2018-3A-A1A (3 Month LIBOR USD + 1.18%, 1.18% Floor) | 5.51 % (a) | 10/26/2031 | 27288744 |
| 25250000 | Sound Point Ltd., Series 2020-2A-AR (3 Month LIBOR USD + 1.18%, 1.18% Floor) | 5.54 % (a) | 10/25/2034 | 24529458 |
| 15058825 | Steele Creek Ltd., Series 2014-1RA-A (3 Month LIBOR USD + 1.07%, 1.07% Floor) | 5.35 % (a) | 04/21/2031 | 14781698 |
| 34000000 | Steele Creek Ltd., Series 2016-1A-AR (3 Month LIBOR USD + 1.12%, 1.12% Floor) | 5.89 % (a) | 06/15/2031 | 33243500 |
| 10000000 | Steele Creek Ltd., Series 2019-1A-BR (3 Month LIBOR USD + 1.80%, 1.80% Floor) | 5.88 % (a) | 04/15/2032 | 9496460 |
| 4000000 | THL Credit Wind River Ltd., Series 2013-2A-CR (3 Month LIBOR USD + 2.00%, 0.00% Floor) | 6.19 % (a) | 10/18/2030 | 3747108 |
| 40000000 | THL Credit Wind River Ltd., Series 2014-2A-AR (3 Month LIBOR USD + 1.14%, 1.14% Floor) | 5.22 % (a) | 01/15/2031 | 39134060 |
| 20000000 | Trimaran CAVU LLC, Series 2021-3A-A (3 Month LIBOR USD + 1.21%, 1.21% Floor) | 5.40 % (a) | 01/18/2035 | 19172388 |
| 15000000 | Unity-Peace Park Ltd., Series 2022-1A-B (Secured Overnight Financing Rate 3 Month + 2.00%, 2.00% Floor) | 5.96 % (a) | 04/20/2035 | 14328666 |
| 60500000 | Vibrant Ltd., Series 2018-10A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.44 % (a) | 10/20/2031 | 59401290 |
| 46000000 | Wellfleet Ltd., Series 2018-2A-A1 (3 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.44 % (a) | 10/20/2031 | 44776671 |
|  **Total Collateralized Loan Obligations** (Cost $1,251,267,913) | **Total Collateralized Loan Obligations** (Cost $1,251,267,913) | **Total Collateralized Loan Obligations** (Cost $1,251,267,913) | **Total Collateralized Loan Obligations** (Cost $1,251,267,913) | 1222234925 |
|  **Non-Agency Commercial Mortgage Backed Obligations - 9.2%** | **Non-Agency Commercial Mortgage Backed Obligations - 9.2%** | **Non-Agency Commercial Mortgage Backed Obligations - 9.2%** | **Non-Agency Commercial Mortgage Backed Obligations - 9.2%** | **Non-Agency Commercial Mortgage Backed Obligations - 9.2%** |
| 850000 | 1211 Avenue of the Americas Trust, Series 2015-1211-C | 4.14 % (a)(b) | 08/10/2035 | 747302 |
| 7949000 | 20 Times Square Trust, Series 2018-20TS-F | 3.10 % (a)(b) | 05/15/2035 | 6633893 |
| 5856000 | 20 Times Square Trust, Series 2018-20TS-G | 3.10 % (a)(b) | 05/15/2035 | 4721266 |
| 3683000 | 280 Park Avenue Mortgage Trust, Series 2017-280P-F (1 Month LIBOR USD + 2.83%, 2.83% Floor) | 7.06 % (a) | 09/15/2034 | 3321776 |
| 2010000 | ACRE Commercial Mortgage Ltd., Series 2021-FL4-B (1 Month LIBOR USD + 1.40%, 1.40% Floor) | 5.74 % (a) | 12/18/2037 | 1940408 |
| 11551000 | Alen Mortgage Trust, Series 2021-ACEN-E (1 Month LIBOR USD + 4.00%, 4.00% Floor) | 8.32 % (a) | 04/15/2034 | 8940179 |
| 21947000 | Arbor Multifamily Mortgage Securities Trust, Series 2021-MF3-XB | 0.49 % (a)(b)(d) | 10/15/2054 | 776814 |
| 2531000 | Arbor Realty Ltd., Series 2020-FL1-AS (Secured Overnight Financing Rate 1 Month + 1.51%, 1.40% Floor) | 5.85 % (a) | 02/15/2035 | 2466313 |
| 6300000 | Arbor Realty Ltd., Series 2021-FL1-B (1 Month LIBOR USD + 1.50%, 1.50% Floor) | 5.77 % (a) | 12/15/2035 | 5834191 |
| 10446000 | Atrium Hotel Portfolio Trust, Series 2017-ATRM-E (1 Month LIBOR USD + 3.05%, 3.05% Floor) | 7.62 % (a) | 12/15/2036 | 9358763 |
| 10001000 | Atrium Hotel Portfolio Trust, Series 2018-ATRM-A (1 Month LIBOR USD + 0.95%, 0.95% Floor) | 5.27 % (a) | 06/15/2035 | 9663276 |
| 35435000 | BAMLL Commercial Mortgage Securities Trust, Series 2020-BOC-D | 3.18 % (a)(b) | 01/15/2032 | 28171077 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 7505000 | BAMLL Commercial Mortgage Securities Trust, Series 2020-BOC-E | 3.18 % (a)(b) | 01/15/2032 | 5653260 |
| 4000000 | Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2015-UBS7-B | 4.34 % (b) | 09/15/2048 | 3633079 |
| 46449421 | Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2015-UBS7-XA | 0.75 % (b)(d) | 09/15/2048 | 763991 |
| 2121000 | Bank of America Merrill Lynch Commercial Mortgage Trust, Series 2016-UB10-C | 4.84 % (b) | 07/15/2049 | 1904004 |
| 3554000 | BANK, Series 2017-BNK4-C | 4.37 % (b) | 05/15/2050 | 3048924 |
| 32533370 | BANK, Series 2017-BNK4-XA | 1.34 % (b)(d) | 05/15/2050 | 1431364 |
| 4916000 | BANK, Series 2017-BNK5-B | 3.90 % (b) | 06/15/2060 | 4293015 |
| 1960000 | BANK, Series 2017-BNK5-C | 4.19 % (b) | 06/15/2060 | 1664133 |
| 74212027 | BANK, Series 2017-BNK5-XA | 0.95 % (b)(d) | 06/15/2060 | 2368885 |
| 145412090 | BANK, Series 2018-BN10-XA | 0.69 % (b)(d) | 02/15/2061 | 4139461 |
| 91464461 | BANK, Series 2019-BN16-XA | 0.94 % (b)(d) | 02/15/2052 | 3900319 |
| 43097000 | BANK, Series 2019-BN19-AS | 3.45% | 08/15/2061 | 37035433 |
| 1099000 | BANK, Series 2019-BN20-AS | 3.24 % (b) | 09/15/2062 | 931429 |
| 5000000 | BANK, Series 2019-BN21-C | 3.52 % (b) | 10/17/2052 | 3701826 |
| 62007000 | BANK, Series 2020-BN30-XB | 0.72 % (b)(d) | 12/15/2053 | 2740158 |
| 112743000 | BANK, Series 2021-BN35-XB | 0.59 % (b)(d) | 06/15/2064 | 4560556 |
| 181195802 | Barclays Commercial Mortgage Trust, Series 2019-C4-XA | 1.55 % (b)(d) | 08/15/2052 | 13033287 |
| 73789563 | Barclays Commercial Mortgage Trust, Series 2019-C5-XA | 0.88 % (b)(d) | 11/15/2052 | 2847259 |
| 6010000 | BBCMS Mortgage Trust, Series 2017-DELC-C (1 Month LIBOR USD + 1.33%, 1.20% Floor) | 5.64 % (a) | 08/15/2036 | 5857652 |
| 6743000 | BBCMS Mortgage Trust, Series 2017-DELC-D (1 Month LIBOR USD + 1.83%, 1.70% Floor) | 6.14 % (a) | 08/15/2036 | 6556566 |
| 23585000 | BBCMS Mortgage Trust, Series 2017-DELC-E (1 Month LIBOR USD + 2.63%, 2.50% Floor) | 6.94 % (a) | 08/15/2036 | 22909990 |
| 13209000 | BBCMS Mortgage Trust, Series 2017-DELC-F (1 Month LIBOR USD + 3.63%, 3.50% Floor) | 7.94 % (a) | 08/15/2036 | 12715583 |
| 3066263 | BBCMS Mortgage Trust, Series 2018-BXH-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) | 5.32 % (a) | 10/15/2037 | 2952678 |
| 45454000 | BBCMS Mortgage Trust, Series 2018-CBM-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) | 5.32 % (a) | 07/15/2037 | 44233247 |
| 15385000 | BBCMS Mortgage Trust, Series 2018-CBM-E (1 Month LIBOR USD + 3.55%, 3.55% Floor) | 7.87 % (a) | 07/15/2037 | 14331604 |
| 5775000 | BBCMS Mortgage Trust, Series 2018-TALL-F (1 Month LIBOR USD + 3.24%, 3.24% Floor) | 7.55 % (a) | 03/15/2037 | 3800094 |
| 11799000 | BBCMS Mortgage Trust, Series 2020-C6-F5TB | 3.69 % (a)(b) | 02/15/2053 | 8429081 |
| 12497250 | BBCMS Mortgage Trust, Series 2020-C6-F5TC | 3.69 % (a)(b) | 02/15/2053 | 8449607 |
| 93866925 | BBCMS Mortgage Trust, Series 2020-C6-XA | 1.05 % (b)(d) | 02/15/2053 | 4901140 |
| 34040000 | BBCMS Mortgage Trust, Series 2021-C11-XB | 0.97 % (b)(d) | 09/15/2054 | 2222713 |
| 136679529 | BBCMS Mortgage Trust, Series 2021-C9-XA | 1.63 % (b)(d) | 02/15/2054 | 12398501 |
| 68467000 | BBCMS Mortgage Trust, Series 2021-C9-XB | 0.99 % (b)(d) | 02/15/2054 | 4308957 |
| 4125000 | BDS Ltd., Series 2019-FL4-B (1 Month LIBOR USD + 1.75%, 1.75% Floor) | 6.08 % (a) | 08/15/2036 | 4103736 |
| 37093395 | Benchmark Mortgage Trust, Series 2018-B7-XA | 0.43 % (b)(d) | 05/15/2053 | 631997 |
| 28394811 | Benchmark Mortgage Trust, Series 2018-B8-XA | 0.63 % (b)(d) | 01/15/2052 | 777598 |
| 79681588 | Benchmark Mortgage Trust, Series 2019-B9-XA | 1.03 % (b)(d) | 03/15/2052 | 3774437 |
| 75229356 | Benchmark Mortgage Trust, Series 2020-B16-XA | 0.93 % (b)(d) | 02/15/2053 | 3637528 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 75312131 | Benchmark Mortgage Trust, Series 2020-B17-XA | 1.42 % (b)(d) | 03/15/2053 | 4580303 |
| 13462000 | Benchmark Mortgage Trust, Series 2020-B18-AGND | 3.74 % (a) | 07/15/2053 | 11462571 |
| 2432000 | Benchmark Mortgage Trust, Series 2020-B18-AGNE | 3.76 % (a) | 07/15/2053 | 1993107 |
| 91163576 | Benchmark Mortgage Trust, Series 2020-B18-XA | 1.79 % (b)(d) | 07/15/2053 | 7165922 |
| 238283107 | Benchmark Mortgage Trust, Series 2020-B19-XA | 1.77 % (b)(d) | 09/15/2053 | 18239333 |
| 70880681 | Benchmark Mortgage Trust, Series 2020-B22-XA | 1.52 % (b)(d) | 01/15/2054 | 6150352 |
| 276099000 | Benchmark Mortgage Trust, Series 2020-IG1-XA | 0.51 % (b)(d) | 09/15/2043 | 7305303 |
| 232812293 | Benchmark Mortgage Trust, Series 2021-B24-XA | 1.15 % (b)(d) | 03/15/2054 | 14219290 |
| 121643247 | Benchmark Mortgage Trust, Series 2021-B28-XA | 1.28 % (b)(d) | 08/15/2054 | 8597793 |
| 59609000 | Benchmark Mortgage Trust, Series 2021-B28-XB | 0.95 % (b)(d) | 08/15/2054 | 3737449 |
| 66420000 | Benchmark Mortgage Trust, Series 2021-B29-XB | 0.70 % (b)(d) | 09/15/2054 | 3121043 |
| 365001037 | Benchmark Mortgage Trust, Series 2021-B30-XA | 0.81 % (b)(d) | 11/15/2054 | 18950744 |
| 30009000 | BF Mortgage Trust, Series 2019-NYT-D (1 Month LIBOR USD + 2.00%, 2.00% Floor) | 6.32 % (a) | 12/15/2035 | 25701244 |
| 672000 | BFLD, Series 2019-DPLO-B (1 Month LIBOR USD + 1.34%, 1.34% Floor) | 5.66 % (a) | 10/15/2034 | 654178 |
| 54537000 | BHMS Mortgage Trust, Series 2018-ATLS-A (1 Month LIBOR USD + 1.25%, 1.25% Floor) | 5.57 % (a) | 07/15/2035 | 52452361 |
| 27680000 | Braemar Hotels & Resorts Trust, Series 2018-PRME-A (1 Month LIBOR USD + 0.82%, 0.82% Floor) | 5.14 % (a) | 06/15/2035 | 26404209 |
| 9834000 | BSPRT Issuer Ltd., Series 2021-FL6-A (1 Month LIBOR USD + 1.10%, 1.10% Floor) | 5.42 % (a) | 03/15/2036 | 9583223 |
| 33284034 | BX Trust, Series 2017-SLCT-E (1 Month LIBOR USD + 3.28%, 3.15% Floor) | 7.59 % (a) | 07/15/2034 | 32788175 |
| 516361 | BX Trust, Series 2018-EXCL-C (1 Month LIBOR USD + 1.98%, 1.98% Floor) | 6.29 % (a) | 09/15/2037 | 502755 |
| 5160000 | BX Trust, Series 2019-IMC-F (1 Month LIBOR USD + 2.90%, 2.90% Floor) | 7.22 % (a) | 04/15/2034 | 4823044 |
| 173184000 | BX Trust, Series 2019-OC11-E | 3.94 % (a)(b) | 12/09/2041 | 134806530 |
| 326679000 | BX Trust, Series 2019-OC11-XB | 0.18 % (a)(b)(d) | 12/09/2041 | 4119684 |
| 20212883 | BX Trust, Series 2021-SOAR-J (1 Month LIBOR USD + 3.75%, 3.75% Floor) | 8.07 % (a) | 06/15/2038 | 18657680 |
| 3450000 | BX Trust, Series 2021-VIEW-F (1 Month LIBOR USD + 3.93%, 3.93% Floor) | 8.25 % (a) | 06/15/2036 | 3141566 |
| 56748000 | BX Trust, Series 2021-VOLT-E (1 Month LIBOR USD + 2.00%, 2.00% Floor) | 6.32 % (a) | 09/15/2036 | 52945243 |
| 24745000 | BX Trust, Series 2021-VOLT-F (1 Month LIBOR USD + 2.40%, 2.40% Floor) | 6.72 % (a) | 09/15/2036 | 22851188 |
| 4653036 | BX Trust, Series 2021-XL2-E (1 Month LIBOR USD + 1.85%, 1.85% Floor) | 6.16 % (a) | 10/15/2038 | 4385817 |
| 64016241 | California Housing Finance, Series 2021-2-X | 0.82 % (b)(d) | 03/25/2035 | 3473521 |
| 71736121 | CD Commercial Mortgage Trust, Series 2017-CD4-XA | 1.23 % (b)(d) | 05/10/2050 | 2845205 |
| 5723000 | CD Commercial Mortgage Trust, Series 2017-CD6-B | 3.91 % (b) | 11/13/2050 | 4957116 |
| 5175000 | CD Commercial Mortgage Trust, Series 2017-CD6-C | 4.23 % (b) | 11/13/2050 | 4354462 |
| 43007354 | CD Commercial Mortgage Trust, Series 2017-CD6-XA | 0.88 % (b)(d) | 11/13/2050 | 1199892 |
| 7155000 | CFCRE Commercial Mortgage Trust, Series 2016-C4-C | 4.84 % (b) | 05/10/2058 | 6409124 |
| 77544417 | CFCRE Commercial Mortgage Trust, Series 2016-C4-XA | 1.61 % (b)(d) | 05/10/2058 | 3065215 |
| 5000000 | CFCRE Commercial Mortgage Trust, Series 2016-C6-C | 4.19 % (b) | 11/10/2049 | 4196885 |
| 5275000 | CHCP Ltd., Series 2021-FL1-B (Secured Overnight Financing Rate 1 Month + 1.76%, 1.65% Floor) | 6.09 % (a) | 02/15/2038 | 5009457 |

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------

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 129638778 | Citigroup Commercial Mortgage Trust, Series 2014-GC19-XA | 1.10 % (b)(d) | 03/11/2047 | 1053652 |
| 66755577 | Citigroup Commercial Mortgage Trust, Series 2014-GC21-XA | 1.12 % (b)(d) | 05/10/2047 | 764358 |
| 160609911 | Citigroup Commercial Mortgage Trust, Series 2014-GC25-XA | 0.95 % (b)(d) | 10/10/2047 | 1995305 |
| 9978000 | Citigroup Commercial Mortgage Trust, Series 2015-GC27-C | 4.42 % (b) | 02/10/2048 | 9060946 |
| 3685000 | Citigroup Commercial Mortgage Trust, Series 2015-GC27-D | 4.42 % (a)(b) | 02/10/2048 | 3230900 |
| 171521245 | Citigroup Commercial Mortgage Trust, Series 2015-GC27-XA | 1.31 % (b)(d) | 02/10/2048 | 3508947 |
| 14310000 | Citigroup Commercial Mortgage Trust, Series 2015-GC33-C | 4.57 % (b) | 09/10/2058 | 12668679 |
| 157404509 | Citigroup Commercial Mortgage Trust, Series 2015-GC33-XA | 0.87 % (b)(d) | 09/10/2058 | 2950075 |
| 96810449 | Citigroup Commercial Mortgage Trust, Series 2016-C1-XA | 1.82 % (b)(d) | 05/10/2049 | 4614577 |
| 194597065 | Citigroup Commercial Mortgage Trust, Series 2016-GC36-XA | 1.21 % (b)(d) | 02/10/2049 | 5488708 |
| 33365948 | Citigroup Commercial Mortgage Trust, Series 2016-GC37-XA | 1.65 % (b)(d) | 04/10/2049 | 1358768 |
| 92352173 | Citigroup Commercial Mortgage Trust, Series 2016-P3-XA | 1.66 % (b)(d) | 04/15/2049 | 3527659 |
| 52865480 | Citigroup Commercial Mortgage Trust, Series 2016-P4-XA | 1.89 % (b)(d) | 07/10/2049 | 2580084 |
| 86083455 | Citigroup Commercial Mortgage Trust, Series 2016-P5-XA | 1.38 % (b)(d) | 10/10/2049 | 3382030 |
| 224050619 | Citigroup Commercial Mortgage Trust, Series 2017-B1-XA | 0.74 % (b)(d) | 08/15/2050 | 6178061 |
| 38722503 | Citigroup Commercial Mortgage Trust, Series 2017-P7-XA | 1.11 % (b)(d) | 04/14/2050 | 1404670 |
| 3625000 | Citigroup Commercial Mortgage Trust, Series 2020-420K-D | 3.31 % (a)(b) | 11/10/2042 | 2677507 |
| 7800000 | Citigroup Commercial Mortgage Trust, Series 2020-420K-E | 3.31 % (a)(b) | 11/10/2042 | 5530303 |
| 23804000 | Citigroup Commercial Mortgage Trust, Series 2020-555-E | 3.50 % (a)(b) | 12/10/2041 | 17466235 |
| 4175000 | Citigroup Commercial Mortgage Trust, Series 2020-555-F | 3.50 % (a)(b) | 12/10/2041 | 2933060 |
| 2853000 | Citigroup Commercial Mortgage Trust, Series 2020-GC46-B | 3.15 % (b) | 02/15/2053 | 2223810 |
| 18762467 | CLNC Ltd., Series 2019-FL1-A (Secured Overnight Financing Rate 1 Month + 1.36%, 1.25% Floor) | 5.69 % (a) | 08/20/2035 | 18287083 |
| 32731000 | CLNC Ltd., Series 2019-FL1-AS (Secured Overnight Financing Rate 1 Month + 1.66%, 1.55% Floor) | 5.99 % (a) | 08/20/2035 | 31776466 |
| 29797989 | CLNC Ltd., Series 2019-FL1-B (Secured Overnight Financing Rate 1 Month + 2.01%, 1.90% Floor) | 6.34 % (a) | 08/20/2035 | 28536432 |
| 11975270 | Commercial Mortgage Pass-Through Trust, Series 2012-CR3-XA | 1.53 % (b)(d) | 10/15/2045 | 419 |
| 101068829 | Commercial Mortgage Pass-Through Trust, Series 2013-CR10-XA | 0.64 % (b)(d) | 08/10/2046 | 186128 |
| 168894486 | Commercial Mortgage Pass-Through Trust, Series 2013-CR12-XA | 1.06 % (b)(d) | 10/10/2046 | 901542 |
| 843000 | Commercial Mortgage Pass-Through Trust, Series 2013-CR13-C | 4.88 % (b) | 11/10/2046 | 794434 |
| 4345000 | Commercial Mortgage Pass-Through Trust, Series 2014-CR16-C | 4.92 % (b) | 04/10/2047 | 3942415 |
| 7635000 | Commercial Mortgage Pass-Through Trust, Series 2014-CR19-C | 4.70 % (b) | 08/10/2047 | 7171415 |
| 25400000 | Commercial Mortgage Pass-Through Trust, Series 2014-CR20-C | 4.46 % (b) | 11/10/2047 | 23430718 |
| 90331218 | Commercial Mortgage Pass-Through Trust, Series 2014-UBS3-XA | 1.06 % (b)(d) | 06/10/2047 | 901036 |
| 833000 | Commercial Mortgage Pass-Through Trust, Series 2015-3BP-F | 3.24 % (a)(b) | 02/10/2035 | 678989 |
| 905000 | Commercial Mortgage Pass-Through Trust, Series 2015-CR22-C | 4.07 % (b) | 03/10/2048 | 824784 |
| 150028009 | Commercial Mortgage Pass-Through Trust, Series 2015-CR22-XA | 0.82 % (b)(d) | 03/10/2048 | 2155032 |
| 5360000 | Commercial Mortgage Pass-Through Trust, Series 2015-CR23-C | 4.30 % (b) | 05/10/2048 | 4905828 |
| 75178529 | Commercial Mortgage Pass-Through Trust, Series 2015-CR26-XA | 0.90 % (b)(d) | 10/10/2048 | 1448796 |
| 17822000 | Commercial Mortgage Pass-Through Trust, Series 2015-DC1-C | 4.30 % (b) | 02/10/2048 | 15365854 |
| 272303085 | Commercial Mortgage Pass-Through Trust, Series 2015-DC1-XA | 0.98 % (b)(d) | 02/10/2048 | 4141812 |
| 1403000 | Commercial Mortgage Pass-Through Trust, Series 2016-DC2-C | 4.66 % (b) | 02/10/2049 | 1256739 |
| 5524000 | Commercial Mortgage Pass-Through Trust, Series 2017-PANW-E | 3.81 % (a)(b) | 10/10/2029 | 4837334 |
| 5248500 | Commercial Mortgage Pass-Through Trust, Series 2018-COR3-C | 4.56 % (b) | 05/10/2051 | 4259992 |
| 18570000 | Commercial Mortgage Pass-Through Trust, Series 2018-HCLV-A (1 Month LIBOR USD + 1.10%, 1.00% Floor) | 5.42 % (a) | 09/15/2033 | 17456179 |

---

------

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 1425600 | CORE Mortgage Trust, Series 2019-CORE-E (1 Month LIBOR USD + 1.90%, 1.90% Floor) | 6.22 % (a) | 12/15/2031 | 1278113 |
| 16723000 | Credit Suisse Mortgage Capital Certificates, Series 2019-ICE4-E (1 Month LIBOR USD + 2.15%, 2.15% Floor) | 6.47 % (a) | 05/15/2036 | 16197491 |
| 4606000 | CSAIL Commercial Mortgage Trust, Series 2015-C1-C | 4.26 % (b) | 04/15/2050 | 3961932 |
| 13360000 | CSAIL Commercial Mortgage Trust, Series 2015-C2-AS | 3.85 % (b) | 06/15/2057 | 12523389 |
| 9205000 | CSAIL Commercial Mortgage Trust, Series 2015-C3-B | 4.11 % (b) | 08/15/2048 | 8192994 |
| 2299000 | CSAIL Commercial Mortgage Trust, Series 2015-C4-C | 4.56 % (b) | 11/15/2048 | 2049399 |
| 277985409 | CSAIL Commercial Mortgage Trust, Series 2015-C4-XA | 0.81 % (b)(d) | 11/15/2048 | 5007907 |
| 9425000 | CSAIL Commercial Mortgage Trust, Series 2016-C5-C | 4.64 % (b) | 11/15/2048 | 8509128 |
| 35947509 | CSAIL Commercial Mortgage Trust, Series 2016-C6-XA | 1.86 % (b)(d) | 01/15/2049 | 1687851 |
| 11020000 | CSAIL Commercial Mortgage Trust, Series 2016-C7-B | 4.33 % (b) | 11/15/2049 | 9549318 |
| 134088636 | CSAIL Commercial Mortgage Trust, Series 2017-C8-XA | 1.10 % (b)(d) | 06/15/2050 | 4794822 |
| 4399000 | CSAIL Commercial Mortgage Trust, Series 2017-CX10-B | 3.89 % (b) | 11/15/2050 | 3781755 |
| 3356000 | CSAIL Commercial Mortgage Trust, Series 2017-CX10-C | 4.18 % (b) | 11/15/2050 | 2824746 |
| 77867734 | CSAIL Commercial Mortgage Trust, Series 2017-CX10-XA | 0.75 % (b)(d) | 11/15/2050 | 2052228 |
| 1677000 | CSAIL Commercial Mortgage Trust, Series 2018-C14-C | 4.92 % (b) | 11/15/2051 | 1398409 |
| 15894000 | CSAIL Commercial Mortgage Trust, Series 2019-C16-B | 3.88% | 06/15/2052 | 13128366 |
| 26184359 | CSAIL Commercial Mortgage Trust, Series 2019-C17-XA | 1.35 % (b)(d) | 09/15/2052 | 1589833 |
| 7924000 | CSAIL Commercial Mortgage Trust, Series 2019-C18-B | 3.59% | 12/15/2052 | 6374948 |
| 246858786 | CSAIL Commercial Mortgage Trust, Series 2019-C18-XA | 1.06 % (b)(d) | 12/15/2052 | 11435807 |
| 197199153 | CSAIL Commercial Mortgage Trust, Series 2020-C19-XA | 1.11 % (b)(d) | 03/15/2053 | 11324260 |
| 81465000 | CSAIL Commercial Mortgage Trust, Series 2020-C19-XB | 0.08 % (b)(d) | 03/15/2053 | 480016 |
| 147561481 | CSMC Trust, Series 2014-USA-X1 | 0.54 % (a)(b)(d) | 09/15/2037 | 1682437 |
| 3799000 | CSMC Trust, Series 2017-CALI-E | 3.78 % (a)(b) | 11/10/2032 | 2503211 |
| 6050000 | CSMC Trust, Series 2017-CALI-F | 3.78 % (a)(b) | 11/10/2032 | 3980223 |
| 12164000 | CSMC Trust, Series 2017-CHOP-D (1 Month LIBOR USD + 1.90%, 1.90% Floor) | 6.22 % (a) | 07/15/2032 | 11134148 |
| 18723000 | CSMC Trust, Series 2017-CHOP-E (1 Month LIBOR USD + 3.30%, 3.30% Floor) | 7.62 % (a) | 07/15/2032 | 17098486 |
| 4847000 | CSMC Trust, Series 2017-TIME-A | 3.65 % (a) | 11/13/2039 | 4139214 |
| 32384445 | CSMC Trust, Series 2020-NET-A | 2.26 % (a) | 08/15/2037 | 28970114 |
| 3894000 | CSMC Trust, Series 2020-NET-B | 2.82 % (a) | 08/15/2037 | 3516393 |
| 142322564 | CSMC Trust, Series 2020-NET-X | 1.26 % (a)(b)(d) | 08/15/2037 | 3924146 |
| 3461045 | CSWF Trust, Series 2018-TOP-F (1 Month LIBOR USD + 2.75%, 2.75% Floor) | 7.07 % (a) | 08/15/2035 | 3432671 |
| 3928800 | CSWF Trust, Series 2018-TOP-G (1 Month LIBOR USD + 3.25%, 3.25% Floor) | 7.57 % (a) | 08/15/2035 | 3776688 |
| 5903500 | CSWF Trust, Series 2021-B33-A1 | 3.05 % (a) | 10/10/2043 | 4985481 |
| 23397500 | CSWF Trust, Series 2021-B33-A2 | 3.17 % (a) | 10/10/2043 | 18301024 |
| 4887333 | CSWF Trust, Series 2021-B33-B | 3.64 % (a)(b) | 10/10/2043 | 3699015 |
| 109000000 | CSWF Trust, Series 2021-B33-X | 0.50 % (a)(b)(d) | 10/10/2043 | 3557291 |
| 7447000 | DBGS Mortgage Trust, Series 2018-5BP-D (1 Month LIBOR USD + 1.50%, 1.35% Floor) | 5.82 % (a) | 06/15/2033 | 6610762 |
| 5161000 | DBJPM Mortgage Trust, Series 2016-C1-B | 4.20 % (b) | 05/10/2049 | 4593495 |
| 104949583 | DBJPM Mortgage Trust, Series 2016-C1-XA | 1.37 % (b)(d) | 05/10/2049 | 3514331 |
| 59750657 | DBJPM Mortgage Trust, Series 2020-C9-XA | 1.71 % (b)(d) | 09/15/2053 | 4155348 |
| 5750000 | DOLP Trust, Series 2021-NYC-E | 3.70 % (a)(b) | 05/10/2041 | 3675510 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 11475000 | DOLP Trust, Series 2021-NYC-F | 3.70 % (a)(b) | 05/10/2041 | 7107372 |
| 6520000 | Fontainebleau Miami Beach Trust, Series 2019-FBLU-G | 3.96 % (a)(b) | 12/10/2036 | 5873737 |
| 1479905 | FREMF Mortgage Trust, Series 2017-KF34-B (1 Month LIBOR USD + 2.70%, 2.55% Floor) | 6.84 % (a) | 08/25/2024 | 1467271 |
| 3878773 | FREMF Mortgage Trust, Series 2017-KF36-B (1 Month LIBOR USD + 2.65%, 2.65% Floor) | 6.79 % (a) | 08/25/2024 | 3845582 |
| 1259933 | FS Rialto, Series 2019-FL1-A (1 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.53 % (a) | 12/16/2036 | 1255283 |
| 68881000 | Great Wolf Trust, Series 2019-WOLF-E (1 Month LIBOR USD + 2.73%, 2.73% Floor) | 7.05 % (a) | 12/15/2036 | 65321616 |
| 75048000 | Great Wolf Trust, Series 2019-WOLF-F (1 Month LIBOR USD + 3.13%, 3.13% Floor) | 7.45 % (a) | 12/15/2036 | 70536399 |
| 25725000 | Greystone Commercial Real Estate Notes, Series 2019-FL2-B (1 Month LIBOR USD + 1.60%, 1.60% Floor) | 5.92 % (a) | 09/15/2037 | 24791954 |
| 14873000 | Greystone Commercial Real Estate Notes, Series 2019-FL2-C (1 Month LIBOR USD + 2.00%, 2.00% Floor) | 6.32 % (a) | 09/15/2037 | 14389419 |
| 6083000 | Greystone Commercial Real Estate Notes, Series 2021-FL3-B (1 Month LIBOR USD + 1.65%, 1.65% Floor) | 5.97 % (a) | 07/15/2039 | 5616270 |
| 3443000 | GS Mortgage Securities Corporation Trust, Series 2018-GS10-WLSA | 4.90 % (a)(b) | 03/10/2033 | 3189896 |
| 6834000 | GS Mortgage Securities Corporation Trust, Series 2018-GS10-WLSB | 4.90 % (a)(b) | 03/10/2033 | 6109111 |
| 9287000 | GS Mortgage Securities Corporation Trust, Series 2018-GS10-WLSC | 4.90 % (a)(b) | 03/10/2033 | 8072995 |
| 8990000 | GS Mortgage Securities Corporation Trust, Series 2018-GS10-WLSD | 4.90 % (a)(b) | 03/10/2033 | 7567962 |
| 11236750 | GS Mortgage Securities Corporation Trust, Series 2018-GS10-WLSE | 4.90 % (a)(b) | 03/10/2033 | 9247651 |
| 16399000 | GS Mortgage Securities Corporation Trust, Series 2018-LUAU-A (1 Month LIBOR USD + 1.00%, 1.00% Floor) | 5.32 % (a) | 11/15/2032 | 15948464 |
| 15571000 | GS Mortgage Securities Corporation Trust, Series 2018-TWR-A (1 Month LIBOR USD + 1.15%, 0.90% Floor) | 5.47 % (a) | 07/15/2031 | 14869053 |
| 3897000 | GS Mortgage Securities Corporation Trust, Series 2018-TWR-D (1 Month LIBOR USD + 1.85%, 1.60% Floor) | 6.17 % (a) | 07/15/2031 | 3457835 |
| 11950000 | GS Mortgage Securities Corporation Trust, Series 2018-TWR-E (1 Month LIBOR USD + 2.35%, 2.10% Floor) | 6.67 % (a) | 07/15/2031 | 10376266 |
| 11242000 | GS Mortgage Securities Corporation Trust, Series 2018-TWR-F (1 Month LIBOR USD + 3.05%, 2.80% Floor) | 7.37 % (a) | 07/15/2031 | 9441110 |
| 4648000 | GS Mortgage Securities Corporation Trust, Series 2018-TWR-G (1 Month LIBOR USD + 4.17%, 3.93% Floor) | 8.49 % (a) | 07/15/2031 | 3729182 |
| 7561000 | GS Mortgage Securities Corporation Trust, Series 2020-UPTN-D | 3.25 % (a)(b) | 02/10/2037 | 6637404 |
| 6760500 | GS Mortgage Securities Corporation Trust, Series 2020-UPTN-F | 3.25 % (a)(b) | 02/10/2037 | 5557744 |
| 56900000 | GS Mortgage Securities Corporation Trust, Series 2021-1HTL-A (1 Month LIBOR USD + 3.48%, 3.48% Floor) | 7.72 % (a) | 10/15/2023 | 56143116 |
| 3280000 | GS Mortgage Securities Corporation Trust, Series 2021-ARDN-E (1 Month LIBOR USD + 3.35%, 3.35% Floor) | 7.67 % (a) | 11/15/2036 | 3039204 |
| 16787000 | GS Mortgage Securities Corporation Trust, Series 2021-ARDN-G (1 Month LIBOR USD + 5.00%, 5.00% Floor) | 9.32 % (a) | 11/15/2036 | 15053366 |
| 601596 | GS Mortgage Securities Trust, Series 2011-GC3-X | 0.00 % (a)(b)(d) | 03/10/2044 | 6 |
| 4000000 | GS Mortgage Securities Trust, Series 2015-GC28-C | 4.31 % (b) | 02/10/2048 | 3658736 |
| 197924827 | GS Mortgage Securities Trust, Series 2015-GC28-XA | 0.97 % (b)(d) | 02/10/2048 | 3004360 |
| 202811306 | GS Mortgage Securities Trust, Series 2015-GC32-XA | 0.71 % (b)(d) | 07/10/2048 | 2969746 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 149298519 | GS Mortgage Securities Trust, Series 2015-GC34-XA | 1.20 % (b)(d) | 10/10/2048 | 3991138 |
| 64666189 | GS Mortgage Securities Trust, Series 2015-GS1-XA | 0.76 % (b)(d) | 11/10/2048 | 1175838 |
| 40141921 | GS Mortgage Securities Trust, Series 2016-GS2-XA | 1.73 % (b)(d) | 05/10/2049 | 1768139 |
| 260374407 | GS Mortgage Securities Trust, Series 2016-GS3-XA | 1.20 % (b)(d) | 10/10/2049 | 8888375 |
| 48537329 | GS Mortgage Securities Trust, Series 2016-GS4-XA | 0.57 % (b)(d) | 11/10/2049 | 850466 |
| 181271421 | GS Mortgage Securities Trust, Series 2017-GS7-XA | 1.08 % (b)(d) | 08/10/2050 | 6479039 |
| 98700000 | GS Mortgage Securities Trust, Series 2017-GS7-XB | 0.34 % (b)(d) | 08/10/2050 | 1306354 |
| 197128569 | GS Mortgage Securities Trust, Series 2018-GS9-XA | 0.42 % (b)(d) | 03/10/2051 | 3487007 |
| 60439129 | GS Mortgage Securities Trust, Series 2019-GC38-XA | 0.95 % (b)(d) | 02/10/2052 | 2598478 |
| 16992725 | GS Mortgage Securities Trust, Series 2019-GC39-XA | 1.13 % (b)(d) | 05/10/2052 | 783903 |
| 181262345 | GS Mortgage Securities Trust, Series 2020-GC45-XA | 0.67 % (b)(d) | 02/13/2053 | 5912470 |
| 55898384 | GS Mortgage Securities Trust, Series 2020-GSA2-XA | 1.73 % (a)(b)(d) | 12/12/2053 | 5184184 |
| 5692000 | Hilton USA Trust, Series 2016-SFP-A | 2.83 % (a) | 11/05/2035 | 5414128 |
| 5961730 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB18-X | 0.85 % (b)(d) | 06/12/2047 | 163 |
| 801509 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20-X1 | 0.00 % (a)(b)(d) | 02/12/2051 | 1 |
| 9535000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2014-C20-B | 4.40 % (b) | 07/15/2047 | 8915565 |
| 51669527 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1-XA | 0.89 % (b)(d) | 01/15/2049 | 1165153 |
| 905000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-ASH8-C (1 Month LIBOR USD + 1.45%, 1.34% Floor) | 5.77 % (a) | 02/15/2035 | 857137 |
| 11745000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-BCON-E | 3.76 % (a)(b) | 01/05/2031 | 11715841 |
| 9343000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-MINN-E (1 Month LIBOR USD + 2.75%, 3.50% Floor) | 7.07 % (a) | 11/15/2035 | 8056834 |
| 5831000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-EFX | 5.36 % (a)(b) | 07/05/2033 | 5039672 |
| 6097000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-WPT-FFX | 5.36 % (a)(b) | 07/05/2033 | 5209974 |
| 7366000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-ACE-C | 3.69 % (a)(b) | 01/10/2037 | 6037940 |
| 40424000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2020-NNN-EFX | 3.97 % (a) | 01/16/2037 | 34239237 |
| 1900000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2021-MHC-E (1 Month LIBOR USD + 2.45%, 2.45% Floor) | 6.77 % (a) | 04/15/2038 | 1805341 |
| 60211396 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C18-XA | 0.67 % (b)(d) | 02/15/2047 | 275744 |
| 4787000 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C21-C | 4.64 % (b) | 08/15/2047 | 4412202 |
| 155501147 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C25-XA | 0.81 % (b)(d) | 11/15/2047 | 1912509 |
| 160900424 | JPMBB Commercial Mortgage Securities Trust, Series 2014-C26-XA | 0.93 % (b)(d) | 01/15/2048 | 2146605 |
| 13992000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-C | 4.31 % (b) | 02/15/2048 | 12711259 |
| 10425000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C27-D | 3.81 % (a)(b) | 02/15/2048 | 8496644 |
| 10663088 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-C | 4.15 % (b) | 10/15/2048 | 9661050 |
| 30604919 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C28-XA | 0.95 % (b)(d) | 10/15/2048 | 458425 |
| 29806380 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C29-XA | 0.57 % (b)(d) | 05/15/2048 | 320782 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 124670240 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C30-XA | 0.43 % (b)(d) | 07/15/2048 | 1150220 |
| 23865000 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-C | 4.65 % (b) | 11/15/2048 | 17343567 |
| 56505455 | JPMBB Commercial Mortgage Securities Trust, Series 2015-C32-XA | 1.11 % (b)(d) | 11/15/2048 | 986308 |
| 7394000 | JPMBB Commercial Mortgage Securities Trust, Series 2016-C1-C | 4.74 % (b) | 03/17/2049 | 6642183 |
| 18695444 | JPMBB Commercial Mortgage Securities Trust, Series 2016-C1-XA | 1.21 % (b)(d) | 03/17/2049 | 490922 |
| 1725000 | JPMCC Commercial Mortgage Securities Trust, Series 2017-JP5-C | 3.78 % (b) | 03/15/2050 | 1375996 |
| 89647866 | JPMCC Commercial Mortgage Securities Trust, Series 2019-COR5-XA | 1.47 % (b)(d) | 06/13/2052 | 5582991 |
| 107570881 | JPMDB Commercial Mortgage Securities Trust, Series 2016-C2-XA | 1.49 % (b)(d) | 06/15/2049 | 3981812 |
| 141117727 | JPMDB Commercial Mortgage Securities Trust, Series 2017-C5-XA | 0.89 % (b)(d) | 03/15/2050 | 3803461 |
| 182163933 | JPMDB Commercial Mortgage Securities Trust, Series 2017-C7-XA | 0.83 % (b)(d) | 10/15/2050 | 5318804 |
| 1844000 | JPMDB Commercial Mortgage Securities Trust, Series 2018-C8-C | 4.81 % (b) | 06/15/2051 | 1551114 |
| 13604000 | JPMDB Commercial Mortgage Securities Trust, Series 2019-COR6-AS | 3.41 % (b) | 11/13/2052 | 11377174 |
| 1435000 | JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7-B | 3.29 % (b) | 05/13/2053 | 1098805 |
| 279632440 | JPMDB Commercial Mortgage Securities Trust, Series 2020-COR7-XA | 1.65 % (b)(d) | 05/13/2053 | 21051010 |
| 7875000 | KKR Industrial Portfolio Trust, Series 2021-KDIP-F (1 Month LIBOR USD + 2.05%, 2.05% Floor) | 6.37 % (a) | 12/15/2037 | 7283753 |
| 13713000 | LCCM Trust, Series 2021-FL3-A (1 Month LIBOR USD + 1.45%, 1.45% Floor) | 5.77 % (a) | 11/15/2038 | 13371862 |
| 11285564 | LMREC, Inc., Series 2019-CRE3-A (1 Month LIBOR USD + 1.40%, 1.40% Floor) | 5.79 % (a) | 12/22/2035 | 11120964 |
| 39407923 | LoanCore Issuer Ltd., Series 2019-CRE2-AS (1 Month LIBOR USD + 1.50%, 1.50% Floor) | 5.82 % (a) | 05/15/2036 | 38490073 |
| 12625000 | LoanCore Issuer Ltd., Series 2019-CRE2-B (1 Month LIBOR USD + 1.70%, 1.70% Floor) | 6.02 % (a) | 05/15/2036 | 12285501 |
| 5360000 | LSTAR Commercial Mortgage Trust, Series 2015-3-D | 3.14 % (a)(b) | 04/20/2048 | 4621583 |
| 16351118 | LSTAR Commercial Mortgage Trust, Series 2017-5-X | 0.79 % (a)(b)(d) | 03/10/2050 | 335613 |
| 25000000 | M360 Ltd., Series 2021-CRE3-A (1 Month LIBOR USD + 1.50%, 1.50% Floor) | 5.86 % (a) | 11/22/2038 | 24477375 |
| 7162000 | M360 Ltd., Series 2021-CRE3-B (1 Month LIBOR USD + 2.25%, 2.25% Floor) | 6.61 % (a) | 11/22/2038 | 6976511 |
| 5731000 | Manhattan West Mortgage Trust, Series 2020-1MW-C | 2.33 % (a)(b) | 09/10/2039 | 4705720 |
| 16733000 | Med Trust, Series 2021-MDLN-G (1 Month LIBOR USD + 5.25%, 5.25% Floor) | 9.57 % (a) | 11/15/2038 | 15199526 |
| 202877 | Merrill Lynch Mortgage Investors Trust, Series 1998-C1-IO | 2.06 % (b)(d) | 11/15/2026 | 11 |
| 4706450 | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5-A (Secured Overnight Financing Rate 1 Month + 0.96%, 0.85% Floor) | 5.30 % (a) | 07/15/2036 | 4574401 |
| 10000000 | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5-AS (Secured Overnight Financing Rate 1 Month + 1.31%, 1.20% Floor) | 5.65 % (a) | 07/15/2036 | 9677010 |
| 12625000 | MFT Trust, Series 2020-ABC-A | 3.36 % (a) | 02/10/2042 | 9770443 |
| 5326000 | MFT Trust, Series 2020-ABC-B | 3.48 % (a)(b) | 02/10/2042 | 3960410 |
| 4220000 | MHC Commercial Mortgage Trust, Series 2021-MHC-A (1 Month LIBOR USD + 0.80%, 0.80% Floor) | 5.12 % (a) | 04/15/2038 | 4098812 |

---

------

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 1000000 | MKT Mortgage Trust, Series 2020-525M-F | 2.94 % (a)(b) | 02/12/2040 | 544536 |
| 11137088 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-CKSV-CK | 4.16 % (a)(b) | 10/15/2030 | 7650273 |
| 122556330 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12-XA | 0.55 % (b)(d) | 10/15/2046 | 246412 |
| 2139558 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7-XA | 0.87 % (b)(d) | 02/15/2046 | 53 |
| 13450000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C18-C | 4.47 % (b) | 10/15/2047 | 12447656 |
| 6693500 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19-C | 4.00% | 12/15/2047 | 6041670 |
| 5457500 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-C | 4.45 % (b) | 02/15/2048 | 5029532 |
| 167901452 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20-XA | 1.25 % (b)(d) | 02/15/2048 | 2959246 |
| 14422000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27-C | 4.50 % (b) | 12/15/2047 | 12974664 |
| 131812791 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C28-XA | 1.15 % (b)(d) | 01/15/2049 | 3557601 |
| 7564000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C31-C | 4.27 % (b) | 11/15/2049 | 6103095 |
| 40286671 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33-XA | 1.25 % (b)(d) | 05/15/2050 | 1579310 |
| 15706011 | Morgan Stanley Capital Trust, Series 2006-HQ10-X1 | 0.40 % (a)(b)(d) | 11/12/2041 | 111343 |
| 7137000 | Morgan Stanley Capital Trust, Series 2015-UBS8-B | 4.32 % (b) | 12/15/2048 | 6095043 |
| 24886803 | Morgan Stanley Capital Trust, Series 2015-UBS8-XA | 0.86 % (b)(d) | 12/15/2048 | 488717 |
| 15461000 | Morgan Stanley Capital Trust, Series 2017-ASHF-E (1 Month LIBOR USD + 3.28%, 3.15% Floor) | 7.59 % (a) | 11/15/2034 | 14162848 |
| 5023000 | Morgan Stanley Capital Trust, Series 2017-ASHF-F (1 Month LIBOR USD + 4.48%, 4.35% Floor) | 8.79 % (a) | 11/15/2034 | 4582367 |
| 141307442 | Morgan Stanley Capital Trust, Series 2017-H1-XA | 1.33 % (b)(d) | 06/15/2050 | 5317413 |
| 4661000 | Morgan Stanley Capital Trust, Series 2017-HR2-C | 4.34 % (b) | 12/15/2050 | 3957252 |
| 8000000 | Morgan Stanley Capital Trust, Series 2018-MP-E | 4.28 % (a)(b) | 07/11/2040 | 5686658 |
| 5305000 | Morgan Stanley Capital Trust, Series 2019-H7-AS | 3.52% | 07/15/2052 | 4558469 |
| 77443682 | Morgan Stanley Capital Trust, Series 2019-L2-XA | 1.00 % (b)(d) | 03/15/2052 | 3697161 |
| 3845000 | Morgan Stanley Capital Trust, Series 2019-L3-AS | 3.49% | 11/15/2052 | 3291356 |
| 156579975 | Morgan Stanley Capital Trust, Series 2019-L3-XA | 0.64 % (b)(d) | 11/15/2052 | 5080926 |
| 3355000 | Morgan Stanley Capital Trust, Series 2019-NUGS-D (1 Month LIBOR USD + 1.80%, 3.30% Floor) | 6.12 % (a) | 12/15/2036 | 2651509 |
| 1315000 | Morgan Stanley Capital Trust, Series 2019-PLND-B (1 Month LIBOR USD + 1.30%, 1.30% Floor) | 5.62 % (a) | 05/15/2036 | 1234155 |
| 6002000 | Morgan Stanley Capital Trust, Series 2019-PLND-E (1 Month LIBOR USD + 2.15%, 2.15% Floor) | 6.47 % (a) | 05/15/2036 | 5192145 |
| 2200000 | Morgan Stanley Capital Trust, Series 2020-HR8-B | 2.70% | 07/15/2053 | 1633591 |
| 24004000 | Morgan Stanley Capital Trust, Series 2020-L4-B | 3.08% | 02/15/2053 | 18400489 |
| 286978558 | Morgan Stanley Capital Trust, Series 2020-L4-XA | 1.07 % (b)(d) | 02/15/2053 | 16660483 |
| 4353603 | Morgan Stanley Capital Trust, Series 2021-ILP-A (1 Month LIBOR USD + 0.78%, 0.78% Floor) | 5.10 % (a) | 11/15/2023 | 4191233 |
| 17924725 | Morgan Stanley Capital Trust, Series 2021-ILP-D (1 Month LIBOR USD + 1.58%, 1.58% Floor) | 5.89 % (a) | 11/15/2023 | 16848426 |
| 10779000 | Morgan Stanley Capital Trust, Series 2021-L6-C | 3.46 % (b) | 06/15/2054 | 7745731 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 7794000 | MRCD Mortgage Trust, Series 2019-PARK-F | 2.72 % (a) | 12/15/2036 | 6644980 |
| 32926000 | MRCD Mortgage Trust, Series 2019-PARK-G | 2.72 % (a) | 12/15/2036 | 26826057 |
| 1060091 | MSCG Trust, Series 2018-SELF-F (1 Month LIBOR USD + 3.05%, 3.05% Floor) | 7.37 % (a) | 10/15/2037 | 990792 |
| 7707200 | Natixis Commercial Mortgage Securities Trust, Series 2018-FL1-A (1 Month LIBOR USD + 0.95%, 0.95% Floor) | 5.27 % (a) | 06/15/2035 | 7446929 |
| 13188800 | Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC-D | 3.75 % (a) | 12/15/2038 | 11887448 |
| 14792000 | NLY Commercial Mortgage Trust, Series 2019-FL2-AS (1 Month LIBOR USD + 1.60%, 1.60% Floor) | 5.92 % (a) | 02/15/2036 | 14547932 |
| 3725000 | NLY Commercial Mortgage Trust, Series 2019-FL2-B (1 Month LIBOR USD + 1.90%, 1.90% Floor) | 6.22 % (a) | 02/15/2036 | 3644913 |
| 4425000 | NLY Commercial Mortgage Trust, Series 2019-FL2-C (1 Month LIBOR USD + 2.35%, 2.35% Floor) | 6.67 % (a) | 02/15/2036 | 3760524 |
| 7357491 | OPG Trust, Series 2021-PORT-D (1 Month LIBOR USD + 1.13%, 1.13% Floor) | 5.45 % (a) | 10/15/2036 | 6858915 |
| 351162 | PFP Ltd., Series 2021-7-A (1 Month LIBOR USD + 0.85%, 0.85% Floor) | 5.17 % (a) | 04/14/2038 | 344409 |
| 37079000 | SLG Office Trust, Series 2021-OVA-F | 2.85 % (a) | 07/15/2041 | 24273026 |
| 4352232 | SMR Mortgage Trust, Series 2022-IND-G (Secured Overnight Financing Rate 1 Month + 7.50%, 7.50% Floor) | 11.84 % (a) | 02/15/2039 | 3957602 |
| 2985000 | Soho Trust, Series 2021-SOHO-B | 2.70 % (a)(b) | 08/10/2038 | 2193806 |
| 1629000 | SREIT Trust, Series 2021-IND-F (1 Month LIBOR USD + 2.54%, 2.54% Floor) | 6.85 % (a) | 10/15/2038 | 1455361 |
| 56592000 | SREIT Trust, Series 2021-IND-G (1 Month LIBOR USD + 3.27%, 3.27% Floor) | 7.58 % (a) | 10/15/2038 | 50045041 |
| 32600000 | SREIT Trust, Series 2021-MFP2-J (1 Month LIBOR USD + 3.92%, 3.92% Floor) | 8.23 % (a) | 11/15/2036 | 30171825 |
| 5300000 | SREIT Trust, Series 2021-MFP-E (1 Month LIBOR USD + 2.03%, 2.03% Floor) | 6.34 % (a) | 11/15/2038 | 4996473 |
| 7562909 | Tharaldson Hotel Portfolio Trust, Series 2018-THL-E (1 Month LIBOR USD + 3.48%, 3.18% Floor) | 7.70 % (a) | 11/11/2034 | 7088512 |
| 498505 | TRTX Issuer Ltd., Series 2019-FL3-A (Secured Overnight Financing Rate 1 Month + 1.26%, 1.15% Floor) | 5.59 % (a) | 10/15/2034 | 498727 |
| 31066000 | TRTX Issuer Ltd., Series 2019-FL3-AS (Secured Overnight Financing Rate 1 Month + 1.56%, 1.45% Floor) | 5.89 % (a) | 10/15/2034 | 31009211 |
| 12261000 | TRTX Issuer Ltd., Series 2021-FL4-A (1 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.53 % (a) | 03/15/2038 | 11891588 |
| 24601669 | TTAN, Series 2021-MHC-F (1 Month LIBOR USD + 2.90%, 2.90% Floor) | 7.22 % (a) | 03/15/2038 | 22900899 |
| 8000000 | UBS Commercial Mortgage Trust, Series 2017-C1-C | 4.44% | 06/15/2050 | 6646745 |
| 84066800 | UBS Commercial Mortgage Trust, Series 2017-C1-XA | 1.52 % (b)(d) | 06/15/2050 | 4227677 |
| 1154000 | UBS Commercial Mortgage Trust, Series 2017-C2-C | 4.30 % (b) | 08/15/2050 | 960361 |
| 6857000 | UBS Commercial Mortgage Trust, Series 2017-C3-B | 4.09 % (b) | 08/15/2050 | 5753777 |
| 10688502 | UBS Commercial Mortgage Trust, Series 2017-C3-XA | 1.12 % (b)(d) | 08/15/2050 | 351820 |
| 3561000 | UBS Commercial Mortgage Trust, Series 2017-C4-B | 4.24 % (b) | 10/15/2050 | 3110563 |
| 2886000 | UBS Commercial Mortgage Trust, Series 2017-C6-C | 4.62 % (b) | 12/15/2050 | 2423101 |
| 1500000 | UBS Commercial Mortgage Trust, Series 2018-C9-C | 4.95 % (b) | 03/15/2051 | 1270811 |
| 40462172 | UBS Commercial Mortgage Trust, Series 2018-C9-XA | 0.93 % (b)(d) | 03/15/2051 | 1499366 |
| 8350000 | UBS Commercial Mortgage Trust, Series 2019-C17-AS | 3.20% | 10/15/2052 | 6963392 |
| 14858000 | UBS Commercial Mortgage Trust, Series 2019-C18-AS | 3.38 % (b) | 12/15/2052 | 12606295 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 9705000 | UBS Commercial Mortgage Trust, Series 2019-C18-B | 3.68 % (b) | 12/15/2052 | 7881725 |
| 4346710 | Wells Fargo Commercial Mortgage Trust, Series 2014-LC18-B | 3.96% | 12/15/2047 | 4054069 |
| 11460000 | Wells Fargo Commercial Mortgage Trust, Series 2015-C26-C | 4.07 % (b) | 02/15/2048 | 10380384 |
| 350629695 | Wells Fargo Commercial Mortgage Trust, Series 2015-C26-XA | 1.20 % (b)(d) | 02/15/2048 | 6885596 |
| 3187500 | Wells Fargo Commercial Mortgage Trust, Series 2015-C27-C | 3.89% | 02/15/2048 | 2777555 |
| 186608303 | Wells Fargo Commercial Mortgage Trust, Series 2015-C27-XA | 0.84 % (b)(d) | 02/15/2048 | 2598539 |
| 9701000 | Wells Fargo Commercial Mortgage Trust, Series 2015-C31-C | 4.60 % (b) | 11/15/2048 | 8690188 |
| 120080937 | Wells Fargo Commercial Mortgage Trust, Series 2015-C31-XA | 0.95 % (b)(d) | 11/15/2048 | 2567595 |
| 223592182 | Wells Fargo Commercial Mortgage Trust, Series 2015-LC20-XA | 1.29 % (b)(d) | 04/15/2050 | 4577402 |
| 3000000 | Wells Fargo Commercial Mortgage Trust, Series 2015-LC22-C | 4.55 % (b) | 09/15/2058 | 2698975 |
| 8438000 | Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2-C | 4.28 % (b) | 07/15/2058 | 7334323 |
| 84296605 | Wells Fargo Commercial Mortgage Trust, Series 2015-P2-XA | 0.93 % (b)(d) | 12/15/2048 | 1874925 |
| 10085000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C32-C | 4.73 % (b) | 01/15/2059 | 9119088 |
| 4250000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C34-B | 4.09% | 06/15/2049 | 3675062 |
| 5888000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C34-C | 5.06 % (b) | 06/15/2049 | 4874162 |
| 2390000 | Wells Fargo Commercial Mortgage Trust, Series 2016-C35-B | 3.44% | 07/15/2048 | 2010775 |
| 5890000 | Wells Fargo Commercial Mortgage Trust, Series 2016-LC24-C | 4.43 % (b) | 10/15/2049 | 5138787 |
| 2155000 | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6-C | 4.39 % (b) | 11/15/2049 | 1882821 |
| 100320775 | Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6-XA | 1.58 % (b)(d) | 11/15/2049 | 4256019 |
| 188378718 | Wells Fargo Commercial Mortgage Trust, Series 2017-C39-XA | 1.10 % (b)(d) | 09/15/2050 | 6911050 |
| 8014000 | Wells Fargo Commercial Mortgage Trust, Series 2017-C41-C | 4.49 % (b) | 11/15/2050 | 6445139 |
| 1904000 | Wells Fargo Commercial Mortgage Trust, Series 2017-C42-C | 4.30 % (b) | 12/15/2050 | 1578472 |
| 49072901 | Wells Fargo Commercial Mortgage Trust, Series 2017-C42-XA | 0.86 % (b)(d) | 12/15/2050 | 1674294 |
| 1758000 | Wells Fargo Commercial Mortgage Trust, Series 2017-RC1-C | 4.59% | 01/15/2060 | 1513381 |
| 145075652 | Wells Fargo Commercial Mortgage Trust, Series 2018-C43-XA | 0.60 % (b)(d) | 03/15/2051 | 3492812 |
| 123252334 | Wells Fargo Commercial Mortgage Trust, Series 2019-C50-XA | 1.41 % (b)(d) | 05/15/2052 | 7681813 |
| 3193000 | Wells Fargo Commercial Mortgage Trust, Series 2019-C51-B | 3.84 % (b) | 06/15/2052 | 2650551 |
| 48270266 | Wells Fargo Commercial Mortgage Trust, Series 2019-C51-XA | 1.33 % (b)(d) | 06/15/2052 | 2816787 |
| 24972000 | Wells Fargo Commercial Mortgage Trust, Series 2019-C52-AS | 3.14% | 08/15/2052 | 21110357 |
| 77296129 | Wells Fargo Commercial Mortgage Trust, Series 2019-C52-XA | 1.60 % (b)(d) | 08/15/2052 | 5489362 |
| 5000000 | Wells Fargo Commercial Mortgage Trust, Series 2019-C53-C | 3.58 % (b) | 10/15/2052 | 3798121 |
| 142017272 | Wells Fargo Commercial Mortgage Trust, Series 2019-C54-XA | 0.83 % (b)(d) | 12/15/2052 | 6048061 |
| 28088000 | Wells Fargo Commercial Mortgage Trust, Series 2020-C55-AS | 2.94% | 02/15/2053 | 23240039 |
| 52886315 | Wells Fargo Commercial Mortgage Trust, Series 2020-C55-XB | 0.81 % (b)(d) | 02/15/2053 | 2419618 |
| 160980317 | Wells Fargo Commercial Mortgage Trust, Series 2020-C56-XA | 1.40 % (b)(d) | 06/15/2053 | 10531735 |
| 96263202 | Wells Fargo Commercial Mortgage Trust, Series 2020-C58-XA | 1.87 % (b)(d) | 07/15/2053 | 9478883 |
| 174322734 | Wells Fargo Commercial Mortgage Trust, Series 2021-C61-XA | 1.37 % (b)(d) | 11/15/2054 | 13097407 |
| 2022574 | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE-C (1 Month LIBOR USD + 1.80%, 1.80% Floor) | 6.12 % (a) | 02/15/2040 | 1817690 |
| 659041 | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE-D (1 Month LIBOR USD + 2.50%, 2.50% Floor) | 6.82 % (a) | 02/15/2040 | 585067 |
| 1658965 | Wells Fargo Commercial Mortgage Trust, Series 2021-SAVE-E (1 Month LIBOR USD + 3.65%, 3.65% Floor) | 7.97 % (a) | 02/15/2040 | 1461347 |
| 85568840 | WF-RBS Commercial Mortgage Trust, Series 2013-C18-XA | 0.73 % (b)(d) | 12/15/2046 | 418158 |
| 107336045 | WF-RBS Commercial Mortgage Trust, Series 2014-C19-XA | 0.96 % (b)(d) | 03/15/2047 | 826316 |
| 10000000 | WF-RBS Commercial Mortgage Trust, Series 2014-C21-B | 4.21 % (b) | 08/15/2047 | 9316766 |
| 3147000 | WF-RBS Commercial Mortgage Trust, Series 2014-C21-C | 4.23 % (b) | 08/15/2047 | 2829906 |

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------

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 161314707 | WF-RBS Commercial Mortgage Trust, Series 2014-C25-XA | 0.79 % (b)(d) | 11/15/2047 | 1879784 |
|  **Total Non-Agency Commercial Mortgage Backed Obligations** (Cost $3,786,458,608) | **Total Non-Agency Commercial Mortgage Backed Obligations** (Cost $3,786,458,608) | **Total Non-Agency Commercial Mortgage Backed Obligations** (Cost $3,786,458,608) | **Total Non-Agency Commercial Mortgage Backed Obligations** (Cost $3,786,458,608) | 2979940584 |
|  **Non-Agency Residential Collateralized Mortgage Obligations - 28.3%** | **Non-Agency Residential Collateralized Mortgage Obligations - 28.3%** | **Non-Agency Residential Collateralized Mortgage Obligations - 28.3%** | **Non-Agency Residential Collateralized Mortgage Obligations - 28.3%** | **Non-Agency Residential Collateralized Mortgage Obligations - 28.3%** |
| 90956927 | ABFC Trust, Series 2007-WMC1-A1A (1 Month LIBOR USD + 1.25%, 1.25% Floor) | 5.64% | 06/25/2037 | 63485070 |
| 12875000 | Accredited Mortgage Loan Trust, Series 2006-1-M2 (1 Month LIBOR USD + 0.34%, 0.34% Floor) | 0.92% | 04/25/2036 | 9165664 |
| 13085000 | Accredited Mortgage Loan Trust, Series 2006-2-M2 (1 Month LIBOR USD + 0.29%, 0.29% Floor) | 4.68% | 09/25/2036 | 9565390 |
| 1590535 | ACE Securities Corporation Home Equity Loan Trust, Series 2007-ASP1-A2C (1 Month LIBOR USD + 0.52%, 0.52% Floor) | 4.91% | 03/25/2037 | 640942 |
| 11224755 | ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2B (1 Month LIBOR USD + 0.24%, 0.24% Floor) | 4.63% | 01/25/2037 | 6573280 |
| 2615632 | ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2C (1 Month LIBOR USD + 0.34%, 0.34% Floor) | 4.73% | 01/25/2037 | 1531714 |
| 2452155 | ACE Securities Corporation Home Equity Loan Trust, Series 2007-HE1-A2D (1 Month LIBOR USD + 0.50%, 0.50% Floor) | 4.89% | 01/25/2037 | 1435953 |
| 73588631 | ACE Securities Corporation Home Equity Loan Trust, Series 2007-WM1-A1A (1 Month LIBOR USD + 0.14%, 0.14% Floor) | 4.53% | 11/25/2036 | 25736211 |
| 4040128 | ACE Securities Corporation Home Equity Loan Trust, Series 2007-WM1-A2A (1 Month LIBOR USD + 0.07%, 0.07% Floor) | 4.46% | 11/25/2036 | 1764568 |
| 4367692 | ACE Securities Corporation Home Equity Loan Trust, Series 2007-WM1-A2D (1 Month LIBOR USD + 0.22%, 0.22% Floor) | 4.61% | 11/25/2036 | 1927936 |
| 2868878 | ACE Securities Corporation Home Equity Loan Trust, Series 2007-WM2-A2C (1 Month LIBOR USD + 0.28%, 0.28% Floor) | 4.67% | 02/25/2037 | 1220589 |
| 2515033 | ACE Securities Corporation Home Equity Loan Trust, Series 2007-WM2-A2D (1 Month LIBOR USD + 0.37%, 0.37% Floor) | 4.76% | 02/25/2037 | 1070023 |
| 3028143 | Adjustable Rate Mortgage Trust, Series 2004-4-CB1 (1 Month LIBOR USD + 1.15%, 1.15% Floor, 10.00% Cap) | 5.54% | 03/25/2035 | 2441238 |
| 600072 | Adjustable Rate Mortgage Trust, Series 2005-10-3A31 | 3.21 % (b) | 01/25/2036 | 549837 |
| 19729658 | Adjustable Rate Mortgage Trust, Series 2005-11-4A1 | 3.77 % (b) | 02/25/2036 | 12229604 |
| 1678421 | Adjustable Rate Mortgage Trust, Series 2005-4-2A1 | 3.53 % (b) | 08/25/2035 | 1560755 |
| 139170 | Adjustable Rate Mortgage Trust, Series 2005-7-3A1 | 3.81 % (b) | 10/25/2035 | 131814 |
| 4293071 | Adjustable Rate Mortgage Trust, Series 2005-8-3A21 | 3.61 % (b) | 11/25/2035 | 3308292 |
| 11551011 | Adjustable Rate Mortgage Trust, Series 2006-1-2A1 | 4.23 % (b) | 03/25/2036 | 6954095 |
| 6974056 | Adjustable Rate Mortgage Trust, Series 2006-2-3A1 | 4.13 % (b) | 05/25/2036 | 6134145 |
| 10289180 | Adjustable Rate Mortgage Trust, Series 2006-2-5A1 | 4.06 % (b) | 05/25/2036 | 2784413 |
| 5321611 | Adjustable Rate Mortgage Trust, Series 2007-1-3A1 | 4.29 % (b) | 03/25/2037 | 4595833 |
| 909507 | Adjustable Rate Mortgage Trust, Series 2007-3-1A1 | 4.03 % (a)(b) | 11/25/2037 | 865508 |
| 269496 | Aegis Asset Backed Securities Corporation Mortgage Pass-Through Certificates, Series 2003-2-M2 (1 Month LIBOR USD + 2.55%, 2.55% Floor) | 6.94% | 11/25/2033 | 239745 |
| 800034 | Aegis Asset Backed Securities Corporation Mortgage Pass-Through Certificates, Series 2004-1-M2 (1 Month LIBOR USD + 2.03%, 2.03% Floor) | 6.42% | 04/25/2034 | 720641 |
| 617792 | Aegis Asset Backed Securities Corporation Mortgage Pass-Through Certificates, Series 2004-2-M2 (1 Month LIBOR USD + 1.95%, 1.95% Floor) | 6.34% | 06/25/2034 | 582713 |
| 5270423 | Aegis Asset Backed Securities Trust, Series 2004-6-M2 (1 Month LIBOR USD + 1.00%, 1.00% Floor, 15.00% Cap) | 5.39% | 03/25/2035 | 4883953 |
| 9902686 | Aegis Asset Backed Securities Trust, Series 2006-1-A2 (1 Month LIBOR USD + 0.17%, 0.17% Floor, 12.00% Cap) | 4.56% | 01/25/2037 | 7542834 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 36622625 | Ajax Master Trust, Series 2016-1-PC | 3.73 % (a)(b) | 01/01/2057 | 27841611 |
| 39357850 | Ajax Master Trust, Series 2016-2-PC | 3.02 % (a)(b) | 10/25/2056 | 27954881 |
| 46738759 | Ajax Master Trust, Series 2017-1-PC | 3.24 % (a)(b)(c) | 06/25/2057 | 36619346 |
| 18201265 | AJAX Mortgage Loan Trust, Series 2020-D-A | 2.25 % (a)(k) | 06/25/2060 | 17039355 |
| 17341606 | AlphaFlow Transitional Mortgage Trust, Series 2021-WL1-A1 | 3.28 % (a)(k) | 01/25/2026 | 16577472 |
| 3272014 | American Home Mortgage Assets Trust, Series 2006-2-2A1 (1 Month LIBOR USD + 0.38%, 0.38% Floor) | 4.77% | 09/25/2046 | 2775523 |
| 3004258 | American Home Mortgage Investment Trust, Series 2005-4-3A1 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 11.00% Cap) | 4.99% | 11/25/2045 | 2128960 |
| 13267049 | American Home Mortgage Investment Trust, Series 2005-4-5A (6 Month LIBOR USD + 1.75%, 1.75% Floor, 11.00% Cap) | 6.96% | 11/25/2045 | 6288455 |
| 2146383 | American Home Mortgage Investment Trust, Series 2006-2-3A4 | 7.10% | 06/25/2036 | 369394 |
| 7248123 | American Home Mortgage Investment Trust, Series 2007-A-13A1 | 6.60 % (a) | 01/25/2037 | 1411080 |
| 6862903 | Ameriquest Mortgage Securities Trust, Series 2004-FR1-M1 | 3.97% | 05/25/2034 | 6519327 |
| 109748881 | Ameriquest Mortgage Securities Trust, Series 2006-M3-A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor) | 4.56% | 10/25/2036 | 63895425 |
| 5268639 | Amortizing Residential Collateral Trust, Series 2002-BC7-M1 (1 Month LIBOR USD + 1.20%, 1.20% Floor) | 5.59% | 10/25/2032 | 4038263 |
| 41588000 | AMSR Trust, Series 2019-SFR1-E | 3.47 % (a) | 01/19/2039 | 36036638 |
| 30156000 | AMSR Trust, Series 2020-SFR4-G1 | 4.00 % (a) | 11/17/2037 | 26751912 |
| 10000000 | AMSR Trust, Series 2020-SFR5-F | 2.69 % (a) | 11/17/2037 | 8743296 |
| 6500000 | AMSR Trust, Series 2021-SFR3-E1 | 2.33 % (a) | 10/17/2038 | 5452319 |
| 11000000 | AMSR Trust, Series 2021-SFR3-E2 | 2.43 % (a) | 10/17/2038 | 9215781 |
| 18500000 | AMSR Trust, Series 2021-SFR3-F | 3.23 % (a) | 10/17/2038 | 15481031 |
| 6500000 | AMSR Trust, Series 2021-SFR4-D | 2.77 % (a) | 12/17/2038 | 5505764 |
| 10500000 | AMSR Trust, Series 2021-SFR4-E1 | 2.97 % (a) | 12/17/2038 | 8739437 |
| 9667931 | Angel Oak Mortgage Trust LLC, Series 2019-2-M1 | 4.07 % (a)(b) | 03/25/2049 | 9472244 |
| 9121000 | Angel Oak Mortgage Trust LLC, Series 2021-7-M1 | 3.26 % (a)(b) | 10/25/2066 | 5492403 |
| 9652851 | Argent Securities Trust, Series 2004-W11-M6 (1 Month LIBOR USD + 1.88%, 1.88% Floor) | 6.26% | 11/25/2034 | 8345568 |
| 12743754 | Argent Securities Trust, Series 2006-W5-A1A (1 Month LIBOR USD + 0.30%, 0.30% Floor) | 4.69% | 06/25/2036 | 8464115 |
| 1663283 | Asset Backed Securities Corporation Home Equity Loan Trust, Series 2004-HE3-M2 (1 Month LIBOR USD + 1.68%, 1.68% Floor) | 6.07% | 06/25/2034 | 1600676 |
| 20218987 | Asset Backed Securities Corporation Home Equity Loan Trust, Series 2006-HE7-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) | 3.59% | 11/25/2036 | 18034752 |
| 469227 | Banc of America Alternative Loan Trust, Series 2005-10-4A1 | 5.75% | 11/25/2035 | 372804 |
| 2370125 | Banc of America Alternative Loan Trust, Series 2005-11-2CB1 | 6.00% | 12/25/2035 | 2105691 |
| 1768240 | Banc of America Alternative Loan Trust, Series 2006-2-1CB1 | 6.00% | 03/25/2036 | 1551043 |
| 2113610 | Banc of America Alternative Loan Trust, Series 2006-2-3CB1 | 6.50% | 03/25/2036 | 1840869 |
| 517660 | Banc of America Alternative Loan Trust, Series 2006-5-CB14 (1 Month LIBOR USD + 1.10%, 6.00% Floor, 6.00% Cap) | 6.00% | 06/25/2046 | 450120 |
| 1190036 | Banc of America Alternative Loan Trust, Series 2006-6-CB3 | 6.00% | 07/25/2046 | 993981 |
| 8271095 | Banc of America Alternative Loan Trust, Series 2006-7-A4 | 6.50% | 10/25/2036 | 2428039 |
| 1620552 | Banc of America Alternative Loan Trust, Series 2006-8-1A1 (-1 x 1 Month LIBOR USD + 6.50%, 0.00% Floor, 6.50% Cap) | 2.11 % (d)(f) | 11/25/2036 | 132990 |
| 577555 | Banc of America Alternative Loan Trust, Series 2006-8-1A2 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) | 4.84% | 11/25/2036 | 454072 |
| 2810811 | Banc of America Alternative Loan Trust, Series 2006-9-1CB1 | 6.00% | 01/25/2037 | 2398858 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 468731 | Banc of America Alternative Loan Trust, Series 2007-2-2A1 | 6.00% | 06/25/2037 | 382143 |
| 2429275 | Banc of America Funding Trust, Series 2006-2-3A1 | 6.00% | 03/25/2036 | 2123603 |
| 75246 | Banc of America Funding Trust, Series 2006-2-4A1 (-3 x 1 Month LIBOR USD + 22.80%, 0.00% Floor, 22.80% Cap) | 9.63 % (f) | 03/25/2036 | 71798 |
| 181458 | Banc of America Funding Trust, Series 2006-2-6A2 | 5.50% | 03/25/2036 | 171224 |
| 293922 | Banc of America Funding Trust, Series 2006-3-1A1 | 6.00% | 03/25/2036 | 261262 |
| 231491 | Banc of America Funding Trust, Series 2006-3-6A1 | 6.38 % (b) | 03/25/2036 | 227074 |
| 1320149 | Banc of America Funding Trust, Series 2006-6-1A7 | 6.25% | 08/25/2036 | 1157713 |
| 525100 | Banc of America Funding Trust, Series 2006-7-T2A5 | 6.54% | 10/25/2036 | 458777 |
| 2474960 | Banc of America Funding Trust, Series 2006-7-T2A8 | 6.41% | 10/25/2036 | 2169259 |
| 643961 | Banc of America Funding Trust, Series 2006-8T2-A8 | 6.10% | 10/25/2036 | 553964 |
| 299103 | Banc of America Funding Trust, Series 2006-B-7A1 | 2.61 % (b) | 03/20/2036 | 246672 |
| 4218329 | Banc of America Funding Trust, Series 2006-D-6A1 | 2.89 % (b) | 05/20/2036 | 3312372 |
| 130576 | Banc of America Funding Trust, Series 2006-H-3A1 | 3.88 % (b) | 09/20/2046 | 108289 |
| 46622892 | Banc of America Funding Trust, Series 2006-H-5A1 (1 Month LIBOR USD + 0.36%, 0.36% Floor, 10.50% Cap) | 4.71% | 10/20/2036 | 18101025 |
| 509238 | Banc of America Funding Trust, Series 2007-1-TA10 | 6.34% | 01/25/2037 | 441999 |
| 689210 | Banc of America Funding Trust, Series 2007-3-TA1B | 5.83 % (b) | 04/25/2037 | 607151 |
| 1224435 | Banc of America Funding Trust, Series 2007-5-1A1 | 5.50% | 07/25/2037 | 937411 |
| 853819 | Banc of America Funding Trust, Series 2009-R14A-3A (-2 x 1 Month LIBOR USD + 16.57%, 5.50% Floor, 16.57% Cap) | 7.14 % (a)(f) | 06/26/2035 | 774351 |
| 1145087 | Banc of America Funding Trust, Series 2009-R15A-4A2 | 5.75 % (a)(b) | 12/26/2036 | 946963 |
| 645334 | Banc of America Funding Trust, Series 2010-R1-3A (-2 x 1 Month LIBOR USD + 14.28%, 6.00% Floor, 14.28% Cap) | 8.06 % (a)(f) | 07/26/2036 | 598838 |
| 5316091 | Banc of America Funding Trust, Series 2014-R6-3A2 | 4.29 % (a)(b)(g) | 10/26/2036 | 4413781 |
| 13046026 | Banc of America Funding Trust, Series 2014-R8-A2 (1 Month LIBOR USD + 0.24%, 0.24% Floor) | 4.63 % (a) | 06/26/2036 | 10888297 |
| 21184973 | Banc of America Funding Trust, Series 2015-R2-4A2 (1 Month LIBOR USD + 0.17%, 0.17% Floor) | 2.77 % (a) | 09/29/2036 | 16452687 |
| 1339341 | Banc of America Mortgage Trust, Series 2006-1-A9 | 6.00% | 05/25/2036 | 1112491 |
| 160804 | Banc of America Mortgage Trust, Series 2007-1-2A5 | 5.75% | 01/25/2037 | 130483 |
| 3479327 | Banc of America Mortgage Trust, Series 2007-3-2A8 | 7.00% | 09/25/2037 | 2933504 |
| 6019389 | BankUnited Trust, Series 2005-1-2A1 | 3.73 % (b) | 09/25/2045 | 5280595 |
| 852717 | Bayview Commercial Asset Trust, Series 2007-3-A2 (1 Month LIBOR USD + 0.29%, 0.00% Floor) | 4.68 % (a) | 07/25/2037 | 761741 |
| 2811133 | Bayview Financial Mortgage Pass-Through Trust, Series 2006-C-2A4 (1 Month LIBOR USD + 0.42%, 0.00% Floor) | 4.81% | 11/28/2036 | 2407216 |
| 25455909 | BCAP LLC Trust, Series 2007-AA2-11A (1 Month LIBOR USD + 0.38%, 0.38% Floor) | 4.77 % (a) | 05/25/2047 | 24929475 |
| 2072532 | BCAP LLC Trust, Series 2007-AA2-2A7 | 6.00% | 04/25/2037 | 1079386 |
| 2243768 | BCAP LLC Trust, Series 2007-AA2-2A8 | 5.75% | 04/25/2037 | 1131637 |
| 10241132 | BCAP LLC Trust, Series 2008-RR3-A1B | 6.67 % (a)(b) | 10/25/2036 | 3103456 |
| 1547090 | BCAP LLC Trust, Series 2009-RR13-18A2 | 5.75 % (a)(b) | 07/26/2037 | 878502 |
| 2680899 | BCAP LLC Trust, Series 2009-RR4-4A2 | 5.75 % (a)(b) | 02/26/2036 | 1397759 |
| 6540265 | BCAP LLC Trust, Series 2010-RR6-7A10 | 6.00 % (a)(b) | 02/26/2037 | 3117539 |
| 670445 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12-13A1 | 3.95 % (b) | 02/25/2036 | 502015 |
| 2484282 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2006-4-4A1 | 3.72 % (b) | 10/25/2046 | 2039574 |
| 3044405 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1-2A1 | 3.15 % (b) | 02/25/2047 | 2646454 |
| 914975 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-1-3A1 | 3.31 % (b) | 02/25/2047 | 859691 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 11774326 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-2-2A1 (12 Month LIBOR USD + 1.88%, 1.88% Floor, 11.15% Cap) | 6.66% | 12/25/2046 | 9498595 |
| 264053 | Bear Stearns ALT-A Trust, Series 2004-11-2A3 | 3.91 % (b) | 11/25/2034 | 260602 |
| 5026094 | Bear Stearns ALT-A Trust, Series 2006-1-11A1 (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.50% Cap) | 4.87% | 02/25/2036 | 4900099 |
| 14017248 | Bear Stearns ALT-A Trust, Series 2006-3-21A1 | 3.17 % (b) | 05/25/2036 | 10799476 |
| 4165804 | Bear Stearns ALT-A Trust, Series 2006-5-1A1 (1 Month LIBOR USD + 0.34%, 0.34% Floor, 11.50% Cap) | 4.73% | 08/25/2036 | 3410955 |
| 6766677 | Bear Stearns ALT-A Trust, Series 2006-6-2A1 | 3.67 % (b) | 11/25/2036 | 3141724 |
| 3258479 | Bear Stearns ALT-A Trust, Series 2006-8-2A1 | 3.64 % (b) | 08/25/2046 | 2314669 |
| 5893492 | Bear Stearns ALT-A Trust, Series 2007-1-1A1 (1 Month LIBOR USD + 0.32%, 0.32% Floor, 11.50% Cap) | 4.71% | 01/25/2047 | 4655076 |
| 2756295 | Bear Stearns Asset Backed Securities Trust, Series 2004-AC4-A2 | 5.50% | 08/25/2034 | 2680735 |
| 6255400 | Bear Stearns Asset Backed Securities Trust, Series 2005-AC2-1A | 5.75% | 04/25/2035 | 5299505 |
| 2022517 | Bear Stearns Asset Backed Securities Trust, Series 2005-AC2-2A1 | 5.75% | 04/25/2035 | 1835586 |
| 29782611 | Bear Stearns Asset Backed Securities Trust, Series 2005-AC6-22A | 5.22 % (b) | 09/25/2035 | 24289661 |
| 4872051 | Bear Stearns Asset Backed Securities Trust, Series 2005-AC7-A4 | 6.00% | 10/25/2035 | 3283650 |
| 7970151 | Bear Stearns Asset Backed Securities Trust, Series 2006-AC1-1A1 | 6.25% | 02/25/2036 | 4201035 |
| 1446456 | Bear Stearns Asset Backed Securities Trust, Series 2006-AC5-A1 | 6.75% | 12/25/2036 | 1415082 |
| 3317032 | Bear Stearns Asset Backed Securities Trust, Series 2007-HE2-2A3 (1 Month LIBOR USD + 0.16%, 0.16% Floor) | 4.55% | 02/25/2037 | 3272500 |
| 25081425 | Bear Stearns Asset Backed Securities Trust, Series 2007-HE4-2A (1 Month LIBOR USD + 0.22%, 0.22% Floor) | 4.61% | 05/25/2037 | 22617238 |
| 12902593 | Bear Stearns Asset Backed Securities Trust, Series 2007-HE6-2A (1 Month LIBOR USD + 1.05%, 1.05% Floor) | 5.44% | 08/25/2037 | 11546969 |
| 1140350 | Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A2A | 6.00% | 10/25/2036 | 624548 |
| 1288446 | Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-1A3A | 6.50% | 10/25/2036 | 699027 |
| 1612051 | Bear Stearns Asset Backed Securities Trust, Series 2007-SD1-23A1 | 3.47 % (b) | 10/25/2036 | 1165877 |
| 6629150 | Bear Stearns Mortgage Funding Trust, Series 2006-AR3-2A1 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 10.50% Cap) | 4.79% | 11/25/2036 | 5714650 |
| 3083762 | Bear Stearns Mortgage Funding Trust, Series 2006-AR4-A2 (1 Month LIBOR USD + 0.18%, 0.18% Floor, 10.50% Cap) | 4.57% | 12/25/2037 | 2735712 |
| 6947152 | Bear Stearns Mortgage Funding Trust, Series 2007-AR3-22A1 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 10.50% Cap) | 4.71% | 04/25/2037 | 6698151 |
| 8065942 | BNC Mortgage Loan Trust, Series 2006-2-A4 (1 Month LIBOR USD + 0.32%, 0.32% Floor) | 4.71% | 11/25/2036 | 7790966 |
| 6148130 | BNC Mortgage Loan Trust, Series 2007-1-A4 (1 Month LIBOR USD + 0.16%, 0.16% Floor) | 4.55% | 03/25/2037 | 5671673 |
| 5949500 | BNC Mortgage Loan Trust, Series 2007-4-A4 (1 Month LIBOR USD + 1.50%, 1.50% Floor) | 5.89% | 11/25/2037 | 4916113 |
| 24137424 | BNPP Mortgage Securities LLC Trust, Series 2009-1-B1 | 6.00 % (a) | 08/27/2037 | 12964845 |
| 100200000 | CAFL Issuer LLC, Series 2021-RTL1-A1 | 2.24 % (a)(k) | 03/28/2029 | 91558091 |
| 12750000 | CAFL Issuer LLC, Series 2021-RTL1-A2 | 3.10 % (a)(k) | 03/28/2029 | 11501247 |
| 4349196 | Carrington Mortgage Loan Trust, Series 2006-FRE2-A2 (1 Month LIBOR USD + 0.12%, 0.12% Floor, 12.50% Cap) | 4.51% | 10/25/2036 | 3547900 |
| 20971281 | Carrington Mortgage Loan Trust, Series 2006-FRE2-A3 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 12.50% Cap) | 4.55% | 10/25/2036 | 17108180 |
| 6454801 | Carrington Mortgage Loan Trust, Series 2006-FRE2-A4 (1 Month LIBOR USD + 0.25%, 0.25% Floor, 12.50% Cap) | 4.64% | 10/25/2036 | 5265770 |
| 4759594 | Carrington Mortgage Loan Trust, Series 2006-NC3-A3 (1 Month LIBOR USD + 0.15%, 0.15% Floor, 12.50% Cap) | 4.54% | 08/25/2036 | 4472685 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 44665150 | Carrington Mortgage Loan Trust, Series 2006-NC4-A3 (1 Month LIBOR USD + 0.16%, 0.16% Floor, 12.50% Cap) | 4.55% | 10/25/2036 | 42850619 |
| 25841327 | Carrington Mortgage Loan Trust, Series 2006-NC5-A3 (1 Month LIBOR USD + 0.15%, 0.15% Floor, 14.50% Cap) | 4.54% | 01/25/2037 | 21916381 |
| 14392514 | Carrington Mortgage Loan Trust, Series 2007-RFC1-A3 (1 Month LIBOR USD + 0.14%, 0.14% Floor, 14.50% Cap) | 4.53% | 12/25/2036 | 13691391 |
| 17978094 | Cascade MH Asset Trust, Series 2019-MH1-A | 4.00 % (a)(b) | 11/25/2044 | 16897026 |
| 2750000 | Centex Home Equity Loan Trust, Series 2004-A-AF5 | 5.43% | 01/25/2034 | 2606794 |
| 43915 | Chase Funding Trust, Series 2003-4-2M1 (1 Month LIBOR USD + 0.90%, 0.90% Floor) | 5.29% | 03/25/2033 | 43701 |
| 2745087 | Chase Mortgage Finance Trust, Series 2005-A1-2A4 | 3.95 % (b) | 12/25/2035 | 2526186 |
| 7099696 | Chase Mortgage Finance Trust, Series 2006-S1-A5 | 6.50% | 05/25/2036 | 3457049 |
| 6907932 | Chase Mortgage Finance Trust, Series 2006-S2-1A9 | 6.25% | 10/25/2036 | 3051271 |
| 4628256 | Chase Mortgage Finance Trust, Series 2006-S3-1A2 | 6.00% | 11/25/2036 | 2105259 |
| 13247754 | Chase Mortgage Finance Trust, Series 2006-S4-A8 | 6.00% | 12/25/2036 | 6396361 |
| 2953429 | Chase Mortgage Finance Trust, Series 2007-A2-6A4 | 3.49 % (b) | 07/25/2037 | 2539462 |
| 3932051 | Chase Mortgage Finance Trust, Series 2007-S1-A7 | 6.00% | 02/25/2037 | 1620417 |
| 2336825 | Chase Mortgage Finance Trust, Series 2007-S3-1A5 | 6.00% | 05/25/2037 | 1220730 |
| 1084869 | Chase Mortgage Finance Trust, Series 2007-S3-2A1 | 5.50% | 05/25/2037 | 256610 |
| 2150152 | Chase Mortgage Finance Trust, Series 2007-S5-1A18 | 6.00% | 07/25/2037 | 1052291 |
| 5118932 | ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates, Series 2007-M1-2F4 | 4.11 % (k) | 08/25/2037 | 4297330 |
| 5324145 | ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates, Series 2007-M1-2F5 | 4.11 % (k) | 08/25/2037 | 4469177 |
| 1523825 | ChaseFlex Trust, Series 2005-1-3A1 | 6.00% | 02/25/2035 | 1293625 |
| 130892 | ChaseFlex Trust, Series 2006-1-A5 | 6.16 % (b) | 06/25/2036 | 118970 |
| 2563343 | ChaseFlex Trust, Series 2006-2-A2B (1 Month LIBOR USD + 0.20%, 0.20% Floor, 11.50% Cap) | 4.17% | 09/25/2036 | 2093659 |
| 3207705 | ChaseFlex Trust, Series 2007-1-1A1 | 6.50% | 02/25/2037 | 1182353 |
| 487568 | CHL Mortgage Pass-Through Trust, Series 2003-60-4A1 | 2.21 % (b) | 02/25/2034 | 469439 |
| 12231801 | CHL Mortgage Pass-Through Trust, Series 2005-17-2A1 | 5.50% | 09/25/2035 | 6251534 |
| 2497849 | CHL Mortgage Pass-Through Trust, Series 2005-18-A1 | 5.50% | 10/25/2035 | 1467751 |
| 2063627 | CHL Mortgage Pass-Through Trust, Series 2005-20-A5 | 5.50% | 10/25/2035 | 1337470 |
| 1530284 | CHL Mortgage Pass-Through Trust, Series 2005-20-A8 | 5.25% | 10/25/2035 | 988624 |
| 6885146 | CHL Mortgage Pass-Through Trust, Series 2005-23-A1 | 5.50% | 11/25/2035 | 3957419 |
| 1377426 | CHL Mortgage Pass-Through Trust, Series 2005-24-A8 | 5.50% | 11/25/2035 | 787502 |
| 2242598 | CHL Mortgage Pass-Through Trust, Series 2005-26-1A12 | 5.50% | 11/25/2035 | 1386029 |
| 428439 | CHL Mortgage Pass-Through Trust, Series 2005-27-2A1 | 5.50% | 12/25/2035 | 192226 |
| 905239 | CHL Mortgage Pass-Through Trust, Series 2005-28-A7 | 5.25% | 11/01/2035 | 518087 |
| 7985164 | CHL Mortgage Pass-Through Trust, Series 2005-HYB1-4A1 | 3.01 % (b) | 03/25/2035 | 7278628 |
| 260127 | CHL Mortgage Pass-Through Trust, Series 2005-HYB8-1A1 | 3.53 % (b) | 12/20/2035 | 226157 |
| 7307639 | CHL Mortgage Pass-Through Trust, Series 2005-HYB8-4A1 | 3.87 % (b) | 12/20/2035 | 5940261 |
| 756881 | CHL Mortgage Pass-Through Trust, Series 2005-J3-2A4 | 4.50% | 09/25/2035 | 657636 |
| 797325 | CHL Mortgage Pass-Through Trust, Series 2005-J4-A5 | 5.50% | 11/25/2035 | 633765 |
| 4577070 | CHL Mortgage Pass-Through Trust, Series 2006-14-A5 | 6.25% | 09/25/2036 | 2180608 |
| 3243182 | CHL Mortgage Pass-Through Trust, Series 2006-16-2A1 | 6.50% | 11/25/2036 | 1282679 |
| 6661941 | CHL Mortgage Pass-Through Trust, Series 2006-1-A2 | 6.00% | 03/25/2036 | 3822095 |
| 1379156 | CHL Mortgage Pass-Through Trust, Series 2006-20-1A21 | 6.00% | 02/25/2037 | 723884 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 16875992 | CHL Mortgage Pass-Through Trust, Series 2006-8-1A3 | 6.00% | 05/25/2036 | 10756227 |
| 197308 | CHL Mortgage Pass-Through Trust, Series 2006-J3-A4 | 5.50% | 05/25/2036 | 189041 |
| 3842584 | CHL Mortgage Pass-Through Trust, Series 2007-10-A7 | 6.00% | 07/25/2037 | 1893004 |
| 13373792 | CHL Mortgage Pass-Through Trust, Series 2007-11-A1 | 6.00% | 08/25/2037 | 6646612 |
| 6644619 | CHL Mortgage Pass-Through Trust, Series 2007-12-A9 | 5.75% | 08/25/2037 | 3676671 |
| 2865620 | CHL Mortgage Pass-Through Trust, Series 2007-13-A1 | 6.00% | 08/25/2037 | 1534870 |
| 4695477 | CHL Mortgage Pass-Through Trust, Series 2007-13-A10 | 6.00% | 08/25/2037 | 2514969 |
| 3691549 | CHL Mortgage Pass-Through Trust, Series 2007-15-1A1 | 6.25% | 09/25/2037 | 2333154 |
| 515625 | CHL Mortgage Pass-Through Trust, Series 2007-15-1A16 | 6.25% | 09/25/2037 | 325888 |
| 1485179 | CHL Mortgage Pass-Through Trust, Series 2007-15-1A2 | 6.25% | 09/25/2037 | 937598 |
| 1813983 | CHL Mortgage Pass-Through Trust, Series 2007-15-1A29 | 6.25% | 09/25/2037 | 1147888 |
| 2769828 | CHL Mortgage Pass-Through Trust, Series 2007-17-1A2 | 6.00% | 10/25/2037 | 2100587 |
| 427810 | CHL Mortgage Pass-Through Trust, Series 2007-18-1A1 | 6.00% | 11/25/2037 | 239604 |
| 37981185 | CHL Mortgage Pass-Through Trust, Series 2007-21-1A1 | 6.25% | 02/25/2038 | 20096491 |
| 1348301 | CHL Mortgage Pass-Through Trust, Series 2007-2-A2 | 6.00% | 03/25/2037 | 666138 |
| 3587525 | CHL Mortgage Pass-Through Trust, Series 2007-3-A1 | 6.00% | 04/25/2037 | 1943101 |
| 1381683 | CHL Mortgage Pass-Through Trust, Series 2007-3-A12 | 6.00% | 04/25/2037 | 748357 |
| 3172817 | CHL Mortgage Pass-Through Trust, Series 2007-4-1A39 | 6.00% | 05/25/2037 | 1524345 |
| 1221135 | CHL Mortgage Pass-Through Trust, Series 2007-5-A2 | 5.75% | 05/25/2037 | 679690 |
| 4462625 | CHL Mortgage Pass-Through Trust, Series 2007-7-A1 | 6.00% | 06/25/2037 | 2474378 |
| 2005563 | CHL Mortgage Pass-Through Trust, Series 2007-7-A11 | 5.50% | 06/25/2037 | 1056783 |
| 1337743 | CHL Mortgage Pass-Through Trust, Series 2007-7-A2 | 5.75% | 06/25/2037 | 723312 |
| 4315524 | CHL Mortgage Pass-Through Trust, Series 2007-8-1A4 | 6.00% | 01/25/2038 | 2083609 |
| 2264771 | CHL Mortgage Pass-Through Trust, Series 2007-8-1A5 | 5.44% | 01/25/2038 | 1020920 |
| 3670704 | CHL Mortgage Pass-Through Trust, Series 2007-8-1A8 | 6.00% | 01/25/2038 | 1772279 |
| 5258322 | CHL Mortgage Pass-Through Trust, Series 2007-8-1A9 (1 Month LIBOR USD + 6.00%, 4.00% Floor, 6.00% Cap) | 6.00% | 01/25/2038 | 2638768 |
| 5456274 | CHL Mortgage Pass-Through Trust, Series 2007-9-A1 | 5.75% | 07/25/2037 | 2760564 |
| 718088 | CHL Mortgage Pass-Through Trust, Series 2007-9-A11 | 5.75% | 07/25/2037 | 363312 |
| 4030987 | CHL Mortgage Pass-Through Trust, Series 2007-HY1-1A1 | 2.87 % (b) | 04/25/2037 | 3570132 |
| 9193033 | CHL Mortgage Pass-Through Trust, Series 2007-HYB1-2A1 | 3.42 % (b) | 03/25/2037 | 7827050 |
| 15724080 | CHL Mortgage Pass-Through Trust, Series 2007-J1-2A1 | 6.00% | 02/25/2037 | 6475928 |
| 390843 | CHL Mortgage Pass-Through Trust, Series 2007-J3-A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap) | 4.89% | 07/25/2037 | 121514 |
| 1954214 | CHL Mortgage Pass-Through Trust, Series 2007-J3-A2 (-1 x 1 Month LIBOR USD + 5.50%, 0.00% Floor, 5.50% Cap) | 1.11 % (d)(f) | 07/25/2037 | 218635 |
| 636819 | Citicorp Mortgage Securities Trust, Series 2006-7-1A1 | 6.00% | 12/25/2036 | 530237 |
| 2154188 | Citicorp Mortgage Securities, Inc., Series 2005-1-1A4 | 5.50% | 02/25/2035 | 1970566 |
| 389440 | Citicorp Residential Mortgage Trust, Series 2006-2-A5 | 4.95% | 09/25/2036 | 387360 |
| 1287386 | Citigroup Mortgage Loan Trust, Inc., Series 2005-5-2A2 | 5.75% | 08/25/2035 | 883230 |
| 472948 | Citigroup Mortgage Loan Trust, Inc., Series 2005-9-21A1 | 5.50% | 11/25/2035 | 426885 |
| 1186356 | Citigroup Mortgage Loan Trust, Inc., Series 2006-4-2A1A | 6.00% | 12/25/2035 | 1114038 |
| 4604154 | Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3-1A1A | 3.42 % (b) | 06/25/2036 | 4222858 |
| 2342910 | Citigroup Mortgage Loan Trust, Inc., Series 2006-FX1-A6 | 5.85 % (k) | 10/25/2036 | 1535212 |
| 9325139 | Citigroup Mortgage Loan Trust, Inc., Series 2006-WF1-A2D | 4.64% | 03/25/2036 | 4508055 |
| 9334353 | Citigroup Mortgage Loan Trust, Inc., Series 2006-WF2-A2D | 6.66% | 05/25/2036 | 3463919 |
| 1680435 | Citigroup Mortgage Loan Trust, Inc., Series 2007-10-1A1A | 5.16 % (b) | 04/25/2037 | 1479344 |

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------

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 535876 | Citigroup Mortgage Loan Trust, Inc., Series 2007-12-2A1 | 6.50 % (a)(b) | 10/25/2036 | 297852 |
| 15005303 | Citigroup Mortgage Loan Trust, Inc., Series 2007-9-1A1 | 5.75 % (a) | 04/25/2047 | 8459894 |
| 667009 | Citigroup Mortgage Loan Trust, Inc., Series 2007-9-2A2 | 6.50 % (a)(b) | 05/25/2037 | 599418 |
| 44322697 | Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC2-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) | 4.53 % (a) | 01/25/2037 | 40250810 |
| 1580625 | Citigroup Mortgage Loan Trust, Inc., Series 2007-AMC3-A2D (1 Month LIBOR USD + 0.35%, 0.35% Floor) | 4.74% | 03/25/2037 | 1307006 |
| 407234 | Citigroup Mortgage Loan Trust, Inc., Series 2007-AR5-1A3A | 4.19 % (b) | 04/25/2037 | 394705 |
| 2043576 | Citigroup Mortgage Loan Trust, Inc., Series 2007-AR8-1A1A | 3.31 % (b) | 08/25/2047 | 1791203 |
| 3577942 | Citigroup Mortgage Loan Trust, Inc., Series 2007-OPX1-A3A | 5.97 % (k) | 01/25/2037 | 1758501 |
| 7887072 | Citigroup Mortgage Loan Trust, Inc., Series 2007-OPX1-A5A | 5.76 % (k) | 01/25/2037 | 3879194 |
| 3144593 | Citigroup Mortgage Loan Trust, Inc., Series 2010-7-9A4 | 6.00 % (a)(b) | 10/25/2037 | 2717401 |
| 16307193 | Citigroup Mortgage Loan Trust, Inc., Series 2010-8-7A4 | 6.00 % (a)(b)(c) | 06/25/2037 | 14343519 |
| 21515166 | Citigroup Mortgage Loan Trust, Inc., Series 2021-JL1-A | 2.75 % (a)(b) | 02/27/2062 | 19488070 |
| 3634910 | Citigroup Mortgage Loan Trust, Series 2007-OPX1-A2 (1 Month LIBOR USD + 0.20%, 0.20% Floor) | 4.59% | 01/25/2037 | 1708918 |
| 2908978 | Citigroup Mortgage Loan Trust, Series 2014-8-3A2 | 6.00 % (a)(b)(c) | 03/25/2037 | 2609638 |
| 115572485 | Citigroup Mortgage Loan Trust, Series 2019-A-PT1 | 3.92 % (a) | 10/25/2058 | 95900199 |
| 174488638 | Citigroup Mortgage Loan Trust, Series 2019-D-PT1 | 3.37 % (a)(b) | 04/25/2064 | 142043453 |
| 226348922 | Citigroup Mortgage Loan Trust, Series 2020-RP1-A1 | 1.50 % (a)(b) | 08/25/2064 | 199028403 |
| 26293400 | Citigroup Mortgage Loan Trust, Series 2020-RP1-M1 | 2.00 % (a)(b) | 08/25/2064 | 20256422 |
| 22116950 | Citigroup Mortgage Loan Trust, Series 2020-RP1-M2 | 2.50 % (a)(b) | 08/25/2064 | 16981045 |
| 18676200 | Citigroup Mortgage Loan Trust, Series 2020-RP1-M3 | 2.75 % (a)(b) | 08/25/2064 | 13824267 |
| 49066855 | Citigroup Mortgage Loan Trust, Series 2020-RP1-PT5 | 7.30 % (a)(b) | 08/25/2064 | 35820487 |
| 300195813 | Citigroup Mortgage Loan Trust, Series 2021-RP2-A1 | 1.75 % (a)(b) | 03/25/2065 | 271473918 |
| 34186100 | Citigroup Mortgage Loan Trust, Series 2021-RP2-M1 | 3.25 % (a)(b) | 03/25/2065 | 29588524 |
| 28635750 | Citigroup Mortgage Loan Trust, Series 2021-RP2-M2 | 3.40 % (a)(b) | 03/25/2065 | 23972072 |
| 26589300 | Citigroup Mortgage Loan Trust, Series 2021-RP2-M3 | 3.40 % (a)(b) | 03/25/2065 | 21233066 |
| 78062181 | Citigroup Mortgage Loan Trust, Series 2021-RP2-PT1 | 6.20 % (a)(b) | 03/25/2065 | 75272082 |
| 1647417 | CitiMortgage Alternative Loan Trust, Series 2006-A1-1A5 | 5.50% | 04/25/2036 | 1458444 |
| 1836239 | CitiMortgage Alternative Loan Trust, Series 2006-A2-A2 | 6.00% | 05/25/2036 | 1626765 |
| 1917925 | CitiMortgage Alternative Loan Trust, Series 2006-A3-1A13 | 6.00% | 07/25/2036 | 1694174 |
| 1441513 | CitiMortgage Alternative Loan Trust, Series 2006-A4-1A8 | 6.00% | 09/25/2036 | 1273351 |
| 428891 | CitiMortgage Alternative Loan Trust, Series 2006-A5-2A1 | 5.50% | 08/25/2044 | 410321 |
| 1627443 | CitiMortgage Alternative Loan Trust, Series 2006-A5-3A3 | 6.00% | 10/25/2036 | 1332337 |
| 4599035 | CitiMortgage Alternative Loan Trust, Series 2006-A6-1A2 (1 Month LIBOR USD + 0.50%, 6.00% Floor, 6.00% Cap) | 6.00% | 11/25/2036 | 3947183 |
| 2275615 | CitiMortgage Alternative Loan Trust, Series 2007-A1-1A5 | 6.00% | 01/25/2037 | 2009221 |
| 1109513 | CitiMortgage Alternative Loan Trust, Series 2007-A1-1A7 | 6.00% | 01/25/2037 | 979628 |
| 3008475 | CitiMortgage Alternative Loan Trust, Series 2007-A1-1A8 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) | 4.99% | 01/25/2037 | 2501414 |
| 2838831 | CitiMortgage Alternative Loan Trust, Series 2007-A1-1A9 (-1 x 1 Month LIBOR USD + 5.40%, 0.00% Floor, 5.40% Cap) | 1.01 % (d)(f) | 01/25/2037 | 108892 |
| 2330995 | CitiMortgage Alternative Loan Trust, Series 2007-A3-1A1 | 6.00 % (h) | 03/25/2037 | 2050657 |
| 5364365 | CitiMortgage Alternative Loan Trust, Series 2007-A3-1A3 (-1 x 1 Month LIBOR USD + 5.40%, 0.00% Floor, 5.40% Cap) | 1.01 % (d)(f) | 03/25/2037 | 287490 |
| 2102180 | CitiMortgage Alternative Loan Trust, Series 2007-A3-1A4 | 5.75% | 03/25/2037 | 1824537 |
| 3803578 | CitiMortgage Alternative Loan Trust, Series 2007-A4-1A3 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap) | 4.72% | 04/25/2037 | 3179524 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3803578 | CitiMortgage Alternative Loan Trust, Series 2007-A4-1A4 (-1 x 1 Month LIBOR USD + 6.67%, 0.00% Floor, 6.67% Cap) | 2.28 % (d)(f) | 04/25/2037 | 301015 |
| 4028185 | CitiMortgage Alternative Loan Trust, Series 2007-A4-1A5 | 5.75% | 04/25/2037 | 3597398 |
| 536528 | CitiMortgage Alternative Loan Trust, Series 2007-A5-1A11 | 6.00% | 05/25/2037 | 484129 |
| 7073735 | CitiMortgage Alternative Loan Trust, Series 2007-A5-1A8 | 6.00% | 05/25/2037 | 6382897 |
| 221940 | CitiMortgage Alternative Loan Trust, Series 2007-A8-A1 | 6.00% | 10/25/2037 | 193443 |
| 14812000 | COLT Mortgage Loan Trust, Series 2021-5-M1 | 3.26 % (a)(b) | 11/26/2066 | 9155510 |
| 4294000 | COLT Mortgage Loan Trust, Series 2021-HX1-B1 | 3.11 % (a)(b) | 10/25/2066 | 2645939 |
| 4130000 | COLT Mortgage Loan Trust, Series 2021-HX1-B2 | 3.86 % (a)(b) | 10/25/2066 | 2515329 |
| 6000000 | COLT Mortgage Loan Trust, Series 2021-HX1-M1 | 2.36 % (a)(b) | 10/25/2066 | 3718235 |
| 12731763 | COLT Mortgage Loan Trust, Series 2022-4-A1 | 4.30 % (a)(b) | 03/25/2067 | 12212402 |
| 9000000 | CoreVest American Finance Trust, Series 2020-3-D | 2.95 % (a)(b) | 08/15/2053 | 6689327 |
| 27014851 | Countrywide Alternative Loan Trust, Series 2004-36CB-1A1 | 6.00% | 02/25/2035 | 19967403 |
| 5740450 | Countrywide Alternative Loan Trust, Series 2005-13CB-A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap) | 4.89% | 05/25/2035 | 4712537 |
| 2622008 | Countrywide Alternative Loan Trust, Series 2005-13CB-A3 | 5.50% | 05/25/2035 | 2221386 |
| 2283867 | Countrywide Alternative Loan Trust, Series 2005-20CB-2A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap) | 4.89% | 07/25/2035 | 1399511 |
| 4662895 | Countrywide Alternative Loan Trust, Series 2005-20CB-2A2 (-1 x 1 Month LIBOR USD + 5.00%, 0.00% Floor, 5.00% Cap) | 0.61 % (d)(f) | 07/25/2035 | 171927 |
| 1514391 | Countrywide Alternative Loan Trust, Series 2005-26CB-A11 (-2 x 1 Month LIBOR USD + 13.05%, 0.00% Floor, 13.05% Cap) | 5.10 % (f) | 07/25/2035 | 1142100 |
| 2068418 | Countrywide Alternative Loan Trust, Series 2005-28CB-1A2 (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap) | 5.14% | 08/25/2035 | 1765413 |
| 991969 | Countrywide Alternative Loan Trust, Series 2005-28CB-3A6 | 6.00% | 08/25/2035 | 481801 |
| 5784592 | Countrywide Alternative Loan Trust, Series 2005-32T1-A9 | 5.50% | 08/25/2035 | 3407114 |
| 2200037 | Countrywide Alternative Loan Trust, Series 2005-46CB-A14 | 5.50% | 10/25/2035 | 1584880 |
| 1114580 | Countrywide Alternative Loan Trust, Series 2005-46CB-A20 | 5.50% | 10/25/2035 | 802930 |
| 3774786 | Countrywide Alternative Loan Trust, Series 2005-48T1-A2 | 5.50% | 11/25/2035 | 2377966 |
| 1359039 | Countrywide Alternative Loan Trust, Series 2005-54CB-3A4 | 5.50% | 11/25/2035 | 791871 |
| 29334897 | Countrywide Alternative Loan Trust, Series 2005-55CB-1A1 | 5.50% | 11/25/2035 | 20362502 |
| 12118737 | Countrywide Alternative Loan Trust, Series 2005-57CB-1A1 | 5.50% | 12/25/2035 | 8968154 |
| 297921 | Countrywide Alternative Loan Trust, Series 2005-60T1-A7 (-7 x 1 Month LIBOR USD + 35.93%, 0.00% Floor, 35.93% Cap) | 3.75 % (f) | 12/25/2035 | 201379 |
| 364451 | Countrywide Alternative Loan Trust, Series 2005-64CB-1A14 | 5.50% | 12/25/2035 | 320217 |
| 5289552 | Countrywide Alternative Loan Trust, Series 2005-64CB-1A4 | 5.50% | 12/25/2035 | 4647542 |
| 1005194 | Countrywide Alternative Loan Trust, Series 2005-73CB-1A5 (1 Month LIBOR USD + 0.80%, 0.80% Floor, 5.50% Cap) | 5.19% | 01/25/2036 | 945298 |
| 2528860 | Countrywide Alternative Loan Trust, Series 2005-73CB-1A6 (-1 x 1 Month LIBOR USD + 4.70%, 0.00% Floor, 4.70% Cap) | 0.31 % (d)(f) | 01/25/2036 | 75078 |
| 29549887 | Countrywide Alternative Loan Trust, Series 2005-77T1-1A1 | 6.00% | 02/25/2036 | 15217164 |
| 455677 | Countrywide Alternative Loan Trust, Series 2005-79CB-A5 | 5.50% | 01/25/2036 | 280069 |
| 17371339 | Countrywide Alternative Loan Trust, Series 2005-80CB-4A1 | 6.00% | 02/25/2036 | 9069599 |
| 19203947 | Countrywide Alternative Loan Trust, Series 2005-85CB-1A1 | 6.00% | 02/25/2036 | 9011838 |
| 1302204 | Countrywide Alternative Loan Trust, Series 2005-85CB-2A6 (-4 x 1 Month LIBOR USD + 21.63%, 0.00% Floor, 21.63% Cap) | 5.54 % (f) | 02/25/2036 | 1053369 |
| 891088 | Countrywide Alternative Loan Trust, Series 2005-86CB-A5 | 5.50% | 02/25/2036 | 570400 |
| 1298050 | Countrywide Alternative Loan Trust, Series 2005-J10-1A11 | 5.50% | 10/25/2035 | 932644 |
| 295406 | Countrywide Alternative Loan Trust, Series 2005-J10-1A13 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap) | 5.09% | 10/25/2035 | 202795 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 138381 | Countrywide Alternative Loan Trust, Series 2005-J10-1A15 | 5.50% | 10/25/2035 | 99426 |
| 364875 | Countrywide Alternative Loan Trust, Series 2005-J11-1A3 | 5.50% | 11/25/2035 | 219261 |
| 216667 | Countrywide Alternative Loan Trust, Series 2005-J11-6A1 | 6.50% | 09/25/2032 | 200979 |
| 454830 | Countrywide Alternative Loan Trust, Series 2005-J13-2A5 (1 Month LIBOR USD + 0.48%, 0.48% Floor, 5.50% Cap) | 4.87% | 11/25/2035 | 299444 |
| 909659 | Countrywide Alternative Loan Trust, Series 2005-J13-2A6 (-1 x 1 Month LIBOR USD + 5.02%, 0.00% Floor, 5.02% Cap) | 0.63 % (d)(f) | 11/25/2035 | 48295 |
| 3533863 | Countrywide Alternative Loan Trust, Series 2005-J1-5A3 | 5.50% | 02/25/2035 | 3230090 |
| 16614 | Countrywide Alternative Loan Trust, Series 2005-J1-7A1 | 5.50% | 12/25/2023 | 14617 |
| 476842 | Countrywide Alternative Loan Trust, Series 2005-J2-1A5 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 5.50% Cap) | 4.89% | 04/25/2035 | 375732 |
| 1467208 | Countrywide Alternative Loan Trust, Series 2005-J2-1A6 (-1 x 1 Month LIBOR USD + 5.00%, 0.00% Floor, 5.00% Cap) | 0.61 % (d)(f) | 04/25/2035 | 37853 |
| 2898278 | Countrywide Alternative Loan Trust, Series 2005-J3-2A8 (1 Month LIBOR USD + 0.30%, 0.30% Floor, 5.50% Cap) | 4.69% | 05/25/2035 | 2278488 |
| 2898278 | Countrywide Alternative Loan Trust, Series 2005-J3-2A9 (-1 x 1 Month LIBOR USD + 5.20%, 0.00% Floor, 5.20% Cap) | 0.81 % (d)(f) | 05/25/2035 | 131989 |
| 2652734 | Countrywide Alternative Loan Trust, Series 2006-12CB-A3 (1 Month LIBOR USD + 5.75%, 5.75% Floor) | 5.75% | 05/25/2036 | 1400517 |
| 3269427 | Countrywide Alternative Loan Trust, Series 2006-12CB-A8 | 6.00% | 05/25/2036 | 1777723 |
| 10749734 | Countrywide Alternative Loan Trust, Series 2006-13T1-A1 | 6.00% | 05/25/2036 | 5476898 |
| 27824093 | Countrywide Alternative Loan Trust, Series 2006-15CB-A1 | 6.50% | 06/25/2036 | 13956239 |
| 2761934 | Countrywide Alternative Loan Trust, Series 2006-16CB-A7 | 6.00% | 06/25/2036 | 1652592 |
| 725462 | Countrywide Alternative Loan Trust, Series 2006-18CB-A12 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) | 4.99% | 07/25/2036 | 328677 |
| 725462 | Countrywide Alternative Loan Trust, Series 2006-18CB-A13 (-1 x 1 Month LIBOR USD + 5.50%, 0.00% Floor, 5.50% Cap) | 1.11 % (d)(f) | 07/25/2036 | 60874 |
| 3531184 | Countrywide Alternative Loan Trust, Series 2006-19CB-A12 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.00% Cap) | 4.79% | 08/25/2036 | 1798663 |
| 4788497 | Countrywide Alternative Loan Trust, Series 2006-19CB-A13 (-1 x 1 Month LIBOR USD + 5.60%, 0.00% Floor, 5.60% Cap) | 1.21 % (d)(f) | 08/25/2036 | 442879 |
| 737095 | Countrywide Alternative Loan Trust, Series 2006-19CB-A15 | 6.00% | 08/25/2036 | 452595 |
| 4107431 | Countrywide Alternative Loan Trust, Series 2006-23CB-2A3 | 6.50% | 08/25/2036 | 1475120 |
| 1319036 | Countrywide Alternative Loan Trust, Series 2006-24CB-A11 | 5.75% | 08/25/2036 | 751183 |
| 3860658 | Countrywide Alternative Loan Trust, Series 2006-24CB-A14 (-1 x 1 Month LIBOR USD + 7.15%, 0.00% Floor, 7.15% Cap) | 2.76 % (d)(f) | 08/25/2036 | 685687 |
| 3095745 | Countrywide Alternative Loan Trust, Series 2006-24CB-A22 | 6.00% | 08/25/2036 | 1808563 |
| 3322664 | Countrywide Alternative Loan Trust, Series 2006-24CB-A5 (1 Month LIBOR USD + 0.60%, 0.06% Floor, 6.00% Cap) | 4.99% | 08/25/2036 | 1548815 |
| 1459191 | Countrywide Alternative Loan Trust, Series 2006-26CB-A17 | 6.25% | 09/25/2036 | 819386 |
| 1872996 | Countrywide Alternative Loan Trust, Series 2006-26CB-A9 | 6.50% | 09/25/2036 | 1076528 |
| 2682474 | Countrywide Alternative Loan Trust, Series 2006-29T1-1A2 | 6.25% | 10/25/2036 | 1615540 |
| 374914 | Countrywide Alternative Loan Trust, Series 2006-29T1-2A12 (-7 x 1 Month LIBOR USD + 46.15%, 0.00% Floor, 46.15% Cap) | 17.62 % (f) | 10/25/2036 | 521037 |
| 229643 | Countrywide Alternative Loan Trust, Series 2006-29T1-2A23 (-4 x 1 Month LIBOR USD + 33.37%, 0.00% Floor, 33.37% Cap) | 14.35 % (f) | 10/25/2036 | 256394 |
| 1946214 | Countrywide Alternative Loan Trust, Series 2006-2CB-A9 | 6.00% | 03/25/2036 | 920180 |
| 2681925 | Countrywide Alternative Loan Trust, Series 2006-30T1-1A2 | 6.25% | 11/25/2036 | 2004990 |
| 2106302 | Countrywide Alternative Loan Trust, Series 2006-32CB-A1 (1 Month LIBOR USD + 0.67%, 0.67% Floor, 6.00% Cap) | 5.06% | 11/25/2036 | 1117610 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3513311 | Countrywide Alternative Loan Trust, Series 2006-32CB-A2 (-1 x 1 Month LIBOR USD + 5.33%, 0.00% Floor, 5.33% Cap) | 0.94 % (d)(f) | 11/25/2036 | 287735 |
| 7743365 | Countrywide Alternative Loan Trust, Series 2006-36T2-2A1 | 6.25% | 12/25/2036 | 3534386 |
| 625027 | Countrywide Alternative Loan Trust, Series 2006-36T2-2A4 | 6.25% | 12/25/2036 | 285288 |
| 831700 | Countrywide Alternative Loan Trust, Series 2006-39CB-1A10 | 6.00% | 01/25/2037 | 675006 |
| 13283292 | Countrywide Alternative Loan Trust, Series 2006-39CB-2A2 (-1 x 1 Month LIBOR USD + 6.55%, 0.00% Floor, 6.55% Cap) | 2.16 % (d)(f) | 01/25/2037 | 999078 |
| 4523588 | Countrywide Alternative Loan Trust, Series 2006-39CB-2A4 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) | 4.84% | 01/25/2037 | 571851 |
| 1311624 | Countrywide Alternative Loan Trust, Series 2006-40T1-1A11 | 6.00% | 01/25/2037 | 909718 |
| 2232471 | Countrywide Alternative Loan Trust, Series 2006-40T1-1A4 (-1 x 1 Month LIBOR USD + 5.45%, 0.00% Floor, 5.45% Cap) | 1.06 % (d)(f) | 01/25/2037 | 131189 |
| 2895879 | Countrywide Alternative Loan Trust, Series 2006-41CB-1A10 | 6.00% | 01/25/2037 | 1678046 |
| 7082378 | Countrywide Alternative Loan Trust, Series 2006-41CB-1A15 (-1 x 1 Month LIBOR USD + 5.40%, 0.00% Floor, 5.40% Cap) | 1.01 % (d)(f) | 01/25/2037 | 808989 |
| 7082378 | Countrywide Alternative Loan Trust, Series 2006-41CB-1A2 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) | 4.99% | 01/25/2037 | 3266946 |
| 3049423 | Countrywide Alternative Loan Trust, Series 2006-41CB-1A9 | 6.00% | 01/25/2037 | 1767019 |
| 3635612 | Countrywide Alternative Loan Trust, Series 2006-42-1A1 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) | 4.99% | 01/25/2047 | 1535392 |
| 3635612 | Countrywide Alternative Loan Trust, Series 2006-42-1A2 (-1 x 1 Month LIBOR USD + 5.40%, 0.00% Floor, 5.40% Cap) | 1.01 % (d)(f) | 01/25/2047 | 453794 |
| 2421128 | Countrywide Alternative Loan Trust, Series 2006-42-1A3 | 6.00% | 01/25/2047 | 1462647 |
| 2781367 | Countrywide Alternative Loan Trust, Series 2006-43CB-1A12 | 5.75% | 02/25/2037 | 1561677 |
| 9622826 | Countrywide Alternative Loan Trust, Series 2006-43CB-1A6 | 6.00% | 02/25/2037 | 5531338 |
| 9821775 | Countrywide Alternative Loan Trust, Series 2006-45T1-1A1 (1 Month LIBOR USD + 0.50%, 6.00% Floor, 6.00% Cap) | 6.00% | 02/25/2037 | 3941353 |
| 3168314 | Countrywide Alternative Loan Trust, Series 2006-45T1-1A4 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 6.00% Cap) | 4.99% | 02/25/2037 | 745141 |
| 3168314 | Countrywide Alternative Loan Trust, Series 2006-45T1-1A5 (-1 x 1 Month LIBOR USD + 5.40%, 0.00% Floor, 5.40% Cap) | 1.01 % (d)(f) | 02/25/2037 | 310123 |
| 1335749 | Countrywide Alternative Loan Trust, Series 2006-45T1-2A2 | 6.00% | 02/25/2037 | 755388 |
| 5650860 | Countrywide Alternative Loan Trust, Series 2006-4CB-1A1 | 6.00% | 04/25/2036 | 3094975 |
| 653624 | Countrywide Alternative Loan Trust, Series 2006-6CB-1A4 | 5.50% | 05/25/2036 | 539848 |
| 4361619 | Countrywide Alternative Loan Trust, Series 2006-7CB-1A14 | 6.00% | 05/25/2036 | 2560751 |
| 7605877 | Countrywide Alternative Loan Trust, Series 2006-7CB-1A16 | 6.00% | 05/25/2036 | 4465488 |
| 2330441 | Countrywide Alternative Loan Trust, Series 2006-7CB-1A6 | 6.00% | 05/25/2036 | 1368225 |
| 2360297 | Countrywide Alternative Loan Trust, Series 2006-7CB-1A9 | 6.00% | 05/25/2036 | 1385755 |
| 815029 | Countrywide Alternative Loan Trust, Series 2006-9T1-A11 | 6.00% | 05/25/2036 | 376570 |
| 1968010 | Countrywide Alternative Loan Trust, Series 2006-J1-1A10 | 5.50% | 02/25/2036 | 1414845 |
| 3993017 | Countrywide Alternative Loan Trust, Series 2006-J1-1A3 | 5.50% | 02/25/2036 | 2870665 |
| 839465 | Countrywide Alternative Loan Trust, Series 2006-J4-2A2 | 6.00% | 07/25/2036 | 533619 |
| 1025006 | Countrywide Alternative Loan Trust, Series 2006-J7-1A1 | 6.25% | 11/25/2036 | 511453 |
| 31094874 | Countrywide Alternative Loan Trust, Series 2006-OA21-A1 (1 Month LIBOR USD + 0.19%, 0.19% Floor) | 4.54% | 03/20/2047 | 24689634 |
| 2925153 | Countrywide Alternative Loan Trust, Series 2006-OA7-1A2 (12 Month US Treasury Average + 0.94%, 0.94% Floor) | 2.99% | 06/25/2046 | 2402740 |
| 590772 | Countrywide Alternative Loan Trust, Series 2007-11T1-A24 (-6 x 1 Month LIBOR USD + 39.90%, 0.00% Floor, 39.90% Cap) | 13.57 % (f) | 05/25/2037 | 631941 |
| 9582111 | Countrywide Alternative Loan Trust, Series 2007-12T1-A11 | 6.00% | 06/25/2037 | 4768122 |

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------

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 8885904 | Countrywide Alternative Loan Trust, Series 2007-15CB-A1 | 6.00% | 07/25/2037 | 5783894 |
| 5299144 | Countrywide Alternative Loan Trust, Series 2007-15CB-A2 | 5.75% | 07/25/2037 | 3328505 |
| 6357054 | Countrywide Alternative Loan Trust, Series 2007-15CB-A5 | 5.75% | 07/25/2037 | 3993001 |
| 7421697 | Countrywide Alternative Loan Trust, Series 2007-16CB-2A1 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) | 4.84% | 08/25/2037 | 2349654 |
| 2149138 | Countrywide Alternative Loan Trust, Series 2007-16CB-2A2<br>(-8 x 1 Month LIBOR USD + 54.58%, 0.00% Floor, 54.58% Cap) | 18.01 % (f) | 08/25/2037 | 3087454 |
| 2685883 | Countrywide Alternative Loan Trust, Series 2007-16CB-4A7 | 6.00% | 08/25/2037 | 2124093 |
| 4982940 | Countrywide Alternative Loan Trust, Series 2007-17CB-1A10<br>(-5 x 1 Month LIBOR USD + 29.90%, 0.00% Floor, 29.90% Cap) | 9.71 % (f) | 08/25/2037 | 4805137 |
| 755059 | Countrywide Alternative Loan Trust, Series 2007-18CB-2A25 | 6.00% | 08/25/2037 | 464914 |
| 597792 | Countrywide Alternative Loan Trust, Series 2007-19-1A10<br>(-6 x 1 Month LIBOR USD + 39.00%, 0.00% Floor, 39.00% Cap) | 12.67 % (f) | 08/25/2037 | 683698 |
| 10714191 | Countrywide Alternative Loan Trust, Series 2007-19-1A34 | 6.00% | 08/25/2037 | 5586253 |
| 8786261 | Countrywide Alternative Loan Trust, Series 2007-19-1A4 | 6.00% | 08/25/2037 | 4581053 |
| 27008973 | Countrywide Alternative Loan Trust, Series 2007-19-2A1 | 6.50% | 08/25/2037 | 11914528 |
| 2706851 | Countrywide Alternative Loan Trust, Series 2007-21CB-2A2 (-4 x 1 Month LIBOR USD + 28.40%, 0.00% Floor, 28.40% Cap) | 10.85 % (f) | 09/25/2037 | 2437176 |
| 18051397 | Countrywide Alternative Loan Trust, Series 2007-22-2A16 | 6.50% | 09/25/2037 | 7652937 |
| 7030805 | Countrywide Alternative Loan Trust, Series 2007-23CB-A3 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap) | 4.89% | 09/25/2037 | 3188075 |
| 9978170 | Countrywide Alternative Loan Trust, Series 2007-23CB-A4 (-1 x 1 Month LIBOR USD + 6.50%, 0.00% Floor, 6.50% Cap) | 2.11 % (d)(f) | 09/25/2037 | 1749705 |
| 1004510 | Countrywide Alternative Loan Trust, Series 2007-24-A2 (-6 x 1 Month LIBOR USD + 41.70%, 0.00% Floor, 41.70% Cap) | 15.37 % (f) | 10/25/2037 | 1102839 |
| 2008595 | Countrywide Alternative Loan Trust, Series 2007-24-A3 (-1 x 1 Month LIBOR USD + 6.95%, 0.00% Floor, 6.95% Cap) | 2.56 % (d)(f) | 10/25/2037 | 396945 |
| 3295105 | Countrywide Alternative Loan Trust, Series 2007-24-A4 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 7.00% Cap) | 5.09% | 10/25/2037 | 788234 |
| 4358347 | Countrywide Alternative Loan Trust, Series 2007-24-A6 (1 Month LIBOR USD + 1.00%, 1.00% Floor, 7.00% Cap) | 5.39% | 10/25/2037 | 1119898 |
| 3297224 | Countrywide Alternative Loan Trust, Series 2007-2CB-1A4 (1 Month LIBOR USD + 1.00%, 5.75% Floor, 100.00% Cap) | 5.75% | 03/25/2037 | 1899042 |
| 15342616 | Countrywide Alternative Loan Trust, Series 2007-4CB-2A1 | 7.00% | 03/25/2037 | 1673614 |
| 3634012 | Countrywide Alternative Loan Trust, Series 2007-5CB-1A18 (-1 x 1 Month LIBOR USD + 5.65%, 0.00% Floor, 5.65% Cap) | 1.26 % (d)(f) | 04/25/2037 | 475194 |
| 3634012 | Countrywide Alternative Loan Trust, Series 2007-5CB-1A23 (1 Month LIBOR USD + 0.55%, 0.55% Floor, 6.00% Cap) | 4.94% | 04/25/2037 | 1692710 |
| 14474195 | Countrywide Alternative Loan Trust, Series 2007-5CB-1A31 | 5.50% | 04/25/2037 | 7997437 |
| 5816503 | Countrywide Alternative Loan Trust, Series 2007-5CB-2A1 | 6.00% | 04/25/2037 | 2770891 |
| 4853420 | Countrywide Alternative Loan Trust, Series 2007-6-A1 | 5.75% | 04/25/2047 | 2793063 |
| 5321814 | Countrywide Alternative Loan Trust, Series 2007-6-A4 | 5.75% | 04/25/2047 | 3062616 |
| 1341688 | Countrywide Alternative Loan Trust, Series 2007-7T2-A8 | 6.00% | 04/25/2037 | 632169 |
| 243252 | Countrywide Alternative Loan Trust, Series 2007-8CB-A12 (-6 x 1 Month LIBOR USD + 40.20%, 0.00% Floor, 40.20% Cap) | 13.87 % (f) | 05/25/2037 | 254514 |
| 259668 | Countrywide Alternative Loan Trust, Series 2007-8CB-A8 (-6 x 1 Month LIBOR USD + 40.08%, 0.00% Floor, 40.08% Cap) | 13.75 % (f) | 05/25/2037 | 270383 |
| 408389 | Countrywide Alternative Loan Trust, Series 2007-9T1-1A4 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap) | 4.89% | 05/25/2037 | 147996 |
| 408389 | Countrywide Alternative Loan Trust, Series 2007-9T1-1A5 (-1 x 1 Month LIBOR USD + 5.50%, 0.00% Floor, 5.50% Cap) | 1.11 % (d)(f) | 05/25/2037 | 38376 |

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---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 1411957 | Countrywide Alternative Loan Trust, Series 2007-9T1-2A1 | 6.00% | 05/25/2037 | 689214 |
| 21064977 | Countrywide Alternative Loan Trust, Series 2007-HY2-1A | 3.15 % (b) | 03/25/2047 | 17953878 |
| 20699149 | Countrywide Alternative Loan Trust, Series 2007-HY4-4A1 | 3.59 % (b) | 06/25/2037 | 17712937 |
| 20933490 | Countrywide Asset Backed Certificates, Series 2006-25-1A (1 Month LIBOR USD + 0.14%, 0.14% Floor) | 4.53% | 06/25/2047 | 19189150 |
| 5977965 | Countrywide Asset Backed Certificates, Series 2006-26-1A (1 Month LIBOR USD + 0.14%, 0.14% Floor) | 4.53% | 06/25/2037 | 5476779 |
| 21669347 | Countrywide Asset Backed Certificates, Series 2007-4-A5 | 4.48 % (k) | 04/25/2047 | 15538371 |
| 11502411 | Countrywide Asset Backed Certificates, Series 2007-BC1-1A (1 Month LIBOR USD + 0.14%, 0.14% Floor) | 4.53% | 05/25/2037 | 10546064 |
| 2046562 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A4 | 5.50% | 11/25/2035 | 1537916 |
| 430820 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-10-5A5 | 5.50% | 11/25/2035 | 323745 |
| 4177796 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-11-2A1 | 6.00% | 12/25/2035 | 3091867 |
| 5675069 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-5A1 | 5.25% | 01/25/2036 | 4854376 |
| 9670250 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-12-7A1 | 7.00% | 01/25/2036 | 1566303 |
| 2501082 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-3A10 | 5.50% | 09/25/2035 | 2122078 |
| 3585874 | Credit Suisse First Boston Mortgage Securities Corporation, Series 2005-8-7A1 | 7.00% | 09/25/2035 | 1801782 |
| 8303241 | Credit Suisse Mortgage Capital Certificates, Series 2009-11R-4A1 | 7.00 % (a)(b) | 09/26/2037 | 2542263 |
| 5788284 | Credit Suisse Mortgage Capital Certificates, Series 2009-12R-5A1 | 6.00 % (a)(c) | 06/27/2036 | 3342203 |
| 7522581 | Credit Suisse Mortgage Capital Certificates, Series 2012-10R-4A2 | 3.64 % (a)(b) | 08/26/2046 | 5255548 |
| 30843185 | Credit Suisse Mortgage Capital Certificates, Series 2021-RPL9-A1 | 2.44 % (a)(b) | 02/25/2061 | 28426782 |
| 71537511 | Credit Suisse Mortgage-Backed Trust, Series 2017-RPL2-CERT | 0.00 % (a)(b) | 02/25/2056 | 49571561 |
| 4227000 | Credit Suisse Mortgage-Backed Trust, Series 2020-AFC1-B1 | 3.45 % (a)(b) | 02/25/2050 | 2997085 |
| 9596334 | Credit Suisse Mortgage-Backed Trust, Series 2020-RPL1-CERT | 3.23 % (a)(b)(c) | 01/25/2046 | 7839625 |
| 8497927 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB4-AV3 (1 Month LIBOR USD + 0.30%, 0.30% Floor) | 2.80% | 05/25/2036 | 5590802 |
| 3983395 | CSAB Mortgage Backed Trust, Series 2006-3-A4B | 6.61% | 11/25/2036 | 713540 |
| 2314067 | CSAB Mortgage Backed Trust, Series 2006-4-A6A | 6.18% | 12/25/2036 | 506955 |
| 8470767 | CSAB Mortgage Backed Trust, Series 2007-1-1A1A | 5.90 % (b) | 05/25/2037 | 2214405 |
| 807181 | CSMC Mortgage-Backed Trust, Series 2005-1R-2A5 | 5.75 % (a) | 12/26/2035 | 585306 |
| 11281289 | CSMC Mortgage-Backed Trust, Series 2006-1-2A1 | 6.00% | 02/25/2036 | 3798082 |
| 2345148 | CSMC Mortgage-Backed Trust, Series 2006-2-5A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 6.00% Cap) | 5.09% | 03/25/2036 | 806453 |
| 13108301 | CSMC Mortgage-Backed Trust, Series 2006-2-5A2 (-1 x 1 Month LIBOR USD + 5.30%, 0.00% Floor, 5.30% Cap) | 0.91 % (d)(f) | 03/25/2036 | 1071737 |
| 2730441 | CSMC Mortgage-Backed Trust, Series 2006-2-5A3 | 6.25% | 03/25/2036 | 1250702 |
| 7389665 | CSMC Mortgage-Backed Trust, Series 2006-2-5A4 | 6.00% | 03/25/2036 | 3273235 |
| 1150801 | CSMC Mortgage-Backed Trust, Series 2006-3-4A3 | 5.50% | 04/25/2036 | 835945 |
| 695689 | CSMC Mortgage-Backed Trust, Series 2006-3-4A4 | 5.50% | 04/25/2036 | 505350 |
| 2431187 | CSMC Mortgage-Backed Trust, Series 2006-4-1A8 (1 Month LIBOR USD + 1.00%, 6.00% Floor, 6.00% Cap) | 6.00% | 05/25/2036 | 1440844 |
| 20280070 | CSMC Mortgage-Backed Trust, Series 2006-4-4A1 | 7.00% | 05/25/2036 | 5230897 |
| 7094686 | CSMC Mortgage-Backed Trust, Series 2006-4-6A1 | 6.00% | 05/25/2036 | 3094305 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 6937059 | CSMC Mortgage-Backed Trust, Series 2006-6-1A4 | 6.00% | 07/25/2036 | 3715163 |
| 10035754 | CSMC Mortgage-Backed Trust, Series 2006-6-3A1 | 7.00% | 07/25/2036 | 1603255 |
| 114122 | CSMC Mortgage-Backed Trust, Series 2006-7-3A11 | 6.00% | 08/25/2036 | 47459 |
| 1591641 | CSMC Mortgage-Backed Trust, Series 2006-7-7A5 | 6.00% | 08/25/2036 | 1247237 |
| 2521945 | CSMC Mortgage-Backed Trust, Series 2006-9-2A1 | 5.50% | 11/25/2036 | 2187278 |
| 10112243 | CSMC Mortgage-Backed Trust, Series 2006-9-3A1 | 6.00% | 11/25/2036 | 8266606 |
| 3593712 | CSMC Mortgage-Backed Trust, Series 2006-9-4A1 | 6.00% | 11/25/2036 | 2341796 |
| 1452747 | CSMC Mortgage-Backed Trust, Series 2006-9-6A14 | 6.00% | 11/25/2036 | 1239468 |
| 236027 | CSMC Mortgage-Backed Trust, Series 2006-9-6A15 (-6 x 1 Month LIBOR USD + 39.90%, 0.00% Floor, 39.90% Cap) | 15.80 % (f) | 11/25/2036 | 292717 |
| 8502801 | CSMC Mortgage-Backed Trust, Series 2007-1-1A4 | 6.13 % (b) | 02/25/2037 | 2218195 |
| 5453663 | CSMC Mortgage-Backed Trust, Series 2007-1-3A1 | 6.00% | 02/25/2057 | 962103 |
| 3054998 | CSMC Mortgage-Backed Trust, Series 2007-1-5A14 | 6.00% | 02/25/2037 | 1842884 |
| 27639 | CSMC Mortgage-Backed Trust, Series 2007-2-2A1 | 5.00% | 03/25/2037 | 21426 |
| 5172094 | CSMC Mortgage-Backed Trust, Series 2007-3-2A10 | 6.00% | 04/25/2037 | 2037857 |
| 2542114 | CSMC Mortgage-Backed Trust, Series 2007-5-2A5 | 5.00% | 08/25/2037 | 2068690 |
| 24821158 | CSMC Mortgage-Backed Trust, Series 2007-5-3A19 | 6.00% | 08/25/2037 | 19096272 |
| 10950270 | CSMC Mortgage-Backed Trust, Series 2007-5-3A9 | 6.00% | 08/25/2037 | 8425385 |
| 2527267 | CSMC Mortgage-Backed Trust, Series 2008-2R-1A1 | 6.00 % (a)(c) | 07/25/2037 | 1954316 |
| 24883 | CSMC Trust, Series 2009-1R-4A2 | 3.19 % (a)(b) | 07/20/2035 | 24874 |
| 1618776 | CSMC Trust, Series 2010-13R-1A2 | 5.50 % (a)(b) | 12/26/2035 | 1334458 |
| 23722185 | CSMC Trust, Series 2010-17R-6A1 | 3.24 % (a)(b) | 06/26/2037 | 22405034 |
| 7257533 | CSMC Trust, Series 2010-4R-3A17 | 6.00 % (a)(b)(c) | 06/26/2037 | 6349738 |
| 3583222 | CSMC Trust, Series 2010-4R-8A17 | 6.00 % (a)(b)(c) | 06/26/2037 | 3143032 |
| 8861467 | CSMC Trust, Series 2010-7R-1A17 | 6.00 % (a)(b) | 01/26/2037 | 5053922 |
| 9255696 | CSMC Trust, Series 2013-9R-A1 | 3.00 % (a)(b) | 05/27/2043 | 7920141 |
| 8020951 | CSMC Trust, Series 2019-RPL6-CERT | 0.00 % (a)(b) | 11/25/2058 | 6605186 |
| 189803108 | CSMC Trust, Series 2019-RPL6-PT1 | 3.81 % (a)(b) | 11/25/2058 | 162775278 |
| 181784906 | CSMC Trust, Series 2020-RPL1-PT1 | 3.35 % (a)(b) | 10/25/2069 | 144550358 |
| 17222406 | CSMC Trust, Series 2021-JR1-A1 | 2.47 % (a)(b) | 09/27/2066 | 16454494 |
| 15540806 | CSMC Trust, Series 2021-JR2-A1 | 2.22 % (a)(b) | 11/25/2061 | 14749533 |
| 7469850 | CSMC Trust, Series 2021-NQM1-B1 | 2.83 % (a)(b) | 05/25/2065 | 4777036 |
| 6225825 | CSMC Trust, Series 2021-NQM5-M1 | 2.17 % (a)(b) | 05/25/2066 | 3157291 |
| 3180040 | CSMC Trust, Series 2021-NQM6-B1 | 3.29 % (a)(b) | 07/25/2066 | 1647066 |
| 7445317 | CSMC Trust, Series 2021-NQM6-M1 | 2.58 % (a)(b) | 07/25/2066 | 3957243 |
| 17544000 | CWABS Asset-Backed Certificates Trust, Series 2005-11-MF1 | 5.35 % (b) | 02/25/2036 | 14559108 |
| 2405290 | CWABS Asset-Backed Certificates Trust, Series 2005-4-AF5B | 5.65% | 10/25/2035 | 2370914 |
| 8178942 | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-4-A5 | 5.50 % (b) | 09/25/2035 | 7064065 |
| 267454 | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-1A6 (-7 x 1 Month LIBOR USD + 35.93%, 0.00% Floor,<br>35.93% Cap) | 3.75 % (f) | 11/25/2035 | 373112 |
| 510775 | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-2A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 5.50% Cap) | 4.59% | 11/25/2035 | 245797 |
| 1541574 | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-5-2A2 (-1 x 1 Month LIBOR USD + 5.30%, 0.00% Floor,<br>5.30% Cap) | 0.91 % (d)(f) | 11/25/2035 | 54860 |
| 5266809 | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust,<br>Series 2005-6-2A1 | 5.50% | 12/25/2035 | 4474561 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 13379849 | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-2-2A1 (1 Month LIBOR USD + 0.30%, 0.30% Floor) | 4.69% | 09/25/2047 | 11311005 |
| 15993791 | Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2007-OA3-A2 (1 Month LIBOR USD + 0.25%, 0.25% Floor) | 4.64% | 07/25/2047 | 13812164 |
| 3366051 | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB1-A1C | 5.67 % (b) | 02/25/2036 | 3041177 |
| 428696 | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB2-A2 | 4.84 % (b) | 06/25/2036 | 354867 |
| 755835 | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A1A | 6.01 % (b) | 10/25/2036 | 660886 |
| 10554614 | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A2 | 5.65 % (b) | 10/25/2036 | 9231332 |
| 751889 | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A3 | 5.90 % (b) | 10/25/2036 | 657492 |
| 1097378 | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A3A1 | 5.90 % (b) | 10/25/2036 | 958294 |
| 2169255 | Deutsche ALT-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4-A6A1 | 6.37% | 10/25/2036 | 1892147 |
| 4007929 | Deutsche Mortgage & Asset Receiving Corporation, Series 2014-RS1-3A2 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.00% Cap) | 4.42 % (a)(c) | 10/27/2036 | 3645519 |
| 4673269 | Deutsche Mortgage Securities, Inc., Series 2006-PR1-3A1 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap) | 6.08 % (a)(f) | 04/15/2036 | 4242117 |
| 1741735 | Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI1 (-1 x 1 Month LIBOR USD + 12.11%, 12.11% Cap) | 6.06 % (a)(f) | 04/15/2036 | 1604326 |
| 2838325 | Deutsche Mortgage Securities, Inc., Series 2006-PR1-4AI2 (-2 x 1 Month LIBOR USD + 14.60%, 14.61% Cap) | 6.36 % (a)(f) | 04/15/2036 | 2590949 |
| 331467 | Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI1 (-3 x 1 Month LIBOR USD + 19.35%, 19.35% Cap) | 6.40 % (a)(f) | 04/15/2036 | 296864 |
| 2909945 | Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI3 (-1 x 1 Month LIBOR USD + 12.57%, 12.57% Cap) | 6.52 % (a)(f) | 04/15/2036 | 2549986 |
| 48202378 | Deutsche Mortgage Securities, Inc., Series 2006-PR1-5AI4 (-1 x 1 Month LIBOR USD + 12.12%, 12.12% Cap) | 6.08 % (a)(f) | 04/15/2036 | 42159525 |
| 10913077 | Equifirst Loan Securitization Trust, Series 2007-1-A2B (1 Month LIBOR USD + 0.19%, 0.19% Floor) | 4.58% | 04/25/2037 | 9306426 |
| 22750000 | FBR Securitization Trust, Series 2005-2-M4 (1 Month LIBOR USD + 0.93%, 0.93% Floor, 14.00% Cap) | 5.32% | 09/25/2035 | 19707981 |
| 5500000 | FBR Securitization Trust, Series 2005-5-M3 (1 Month LIBOR USD + 0.74%, 0.74% Floor, 14.00% Cap) | 5.12% | 11/25/2035 | 4928518 |
| 75600000 | Federal Home Loan Mortgage Corporation STACR REMIC Trust, Series 2022-DNA3-M1B (Secured Overnight Financing Rate 30 Day Average + 2.90%, 0.00% Floor) | 6.83 % (a) | 04/25/2042 | 74810449 |
| 3471493 | Fieldstone Mortgage Investment Trust, Series 2007-1-2A2 (1 Month LIBOR USD + 0.27%, 0.27% Floor, 12.25% Cap) | 4.56% | 04/25/2047 | 2457465 |
| 21977265 | Figure Line of Credit Trust, Series 2020-1-A | 4.04 % (a)(b) | 09/25/2049 | 21044478 |
| 7485652 | First Franklin Mortgage Loan Trust, Series 2006-FF8-M1 (1 Month LIBOR USD + 0.38%, 0.38% Floor) | 4.76% | 07/25/2036 | 6926791 |
| 4000000 | First Franklin Mortgage Loan Trust, Series 2006-FF9-2A4 (1 Month LIBOR USD + 0.50%, 0.50% Floor) | 4.89% | 06/25/2036 | 3511306 |
| 18551440 | First Franklin Mortgage Loan Trust, Series 2007-FF2-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) | 4.53% | 03/25/2037 | 10732125 |
| 22201466 | First Franklin Mortgage Loan Trust, Series 2007-FF2-A2C (1 Month LIBOR USD + 0.15%, 0.15% Floor) | 4.54% | 03/25/2037 | 11276293 |

---

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---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3090665 | First Horizon Alternative Mortgage Securities Trust, Series 2005-AA4-1A1 | 4.06 % (b) | 05/25/2035 | 1717721 |
| 3481630 | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8-1A4 | 5.50% | 11/25/2035 | 1849115 |
| 260899 | First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8-2A1 | 5.00% | 02/25/2050 | 259724 |
| 1235547 | First Horizon Alternative Mortgage Securities Trust, Series 2006-AA3-A1 | 4.44 % (b) | 06/25/2036 | 988423 |
| 1939023 | First Horizon Alternative Mortgage Securities Trust, Series 2006-FA1-1A12 | 6.00% | 04/25/2036 | 979131 |
| 6506629 | First Horizon Alternative Mortgage Securities Trust, Series 2006-FA1-1A3 | 5.75% | 04/25/2036 | 3162016 |
| 1255943 | First Horizon Alternative Mortgage Securities Trust, Series 2006-FA2-1A5 | 6.00% | 05/25/2036 | 573383 |
| 1961812 | First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8-1A5 | 6.00% | 02/25/2037 | 846912 |
| 2992111 | First Horizon Alternative Mortgage Securities Trust, Series 2006-RE1-A1 | 5.50 % (b) | 05/25/2035 | 2084719 |
| 10637943 | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA3-A3 | 6.00% | 06/25/2037 | 4426243 |
| 547377 | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA3-A4 | 6.00% | 06/25/2037 | 227753 |
| 614958 | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4-1A13 | 6.25% | 08/25/2037 | 265229 |
| 1898423 | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4-1A4 | 6.25% | 08/25/2037 | 818783 |
| 1079369 | First Horizon Alternative Mortgage Securities Trust, Series 2007-FA4-1A5 | 6.25% | 08/25/2037 | 465528 |
| 928299 | First Horizon Mortgage Pass-Through Trust, Series 2006-1-1A2 | 6.00% | 05/25/2036 | 459267 |
| 1532056 | First Horizon Mortgage Pass-Through Trust, Series 2007-4-1A1 | 6.00% | 08/25/2037 | 651316 |
| 9000000 | FirstKey Homes Trust, Series 2020-SFR1-E | 2.79 % (a) | 08/17/2037 | 8049296 |
| 18000000 | FirstKey Homes Trust, Series 2020-SFR2-D | 1.97 % (a) | 10/19/2037 | 15792565 |
| 26225000 | FirstKey Homes Trust, Series 2020-SFR2-E | 2.67 % (a) | 10/19/2037 | 23157706 |
| 16250000 | FirstKey Homes Trust, Series 2021-SFR1-E1 | 2.39 % (a) | 08/17/2038 | 13588583 |
| 11500000 | FirstKey Homes Trust, Series 2021-SFR1-E2 | 2.49 % (a) | 08/17/2038 | 9605458 |
| 8000000 | FirstKey Homes Trust, Series 2021-SFR2-D | 2.06 % (a) | 09/17/2038 | 6652687 |
| 8000000 | FirstKey Homes Trust, Series 2021-SFR2-E1 | 2.26 % (a) | 09/17/2038 | 6648154 |
| 8000000 | FirstKey Homes Trust, Series 2021-SFR2-E2 | 2.36 % (a) | 09/17/2038 | 6594106 |
| 34891000 | FirstKey Homes Trust, Series 2021-SFR3-B | 2.44 % (a) | 12/17/2038 | 30250567 |
| 29584000 | FirstKey Homes Trust, Series 2021-SFR3-C | 2.54 % (a) | 12/17/2038 | 25351784 |
| 22626000 | FirstKey Homes Trust, Series 2021-SFR3-D | 2.79 % (a) | 12/17/2038 | 19445472 |
| 45314000 | FirstKey Homes Trust, Series 2021-SFR3-E1 | 2.99 % (a) | 12/17/2038 | 38665548 |
| 25293000 | FirstKey Homes Trust, Series 2021-SFR3-E2 | 3.08 % (a) | 12/17/2038 | 21448203 |
| 10174000 | FirstKey Homes Trust, Series 2021-SFR3-F1 | 3.58 % (a) | 12/17/2038 | 8427400 |
| 62350000 | FMC GMSR Issuer Trust, Series 2020-GT1-A | 4.45 % (a)(b) | 01/25/2026 | 54626338 |
| 72500000 | FMC GMSR Issuer Trust, Series 2021-GT1-A | 3.62 % (a)(b) | 07/25/2026 | 59078546 |
| 64820000 | FMC GMSR Issuer Trust, Series 2021-GT2-A | 3.85 % (a)(b) | 10/25/2026 | 52166099 |
| 120329651 | Fremont Home Loan Trust, Series 2006-D-1A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) | 4.53% | 11/25/2036 | 72030641 |
| 7750000 | FRTKL, Series 2021-SFR1-E1 | 2.37 % (a) | 09/17/2038 | 6464281 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 6650000 | FRTKL, Series 2021-SFR1-E2 | 2.52 % (a) | 09/17/2038 | 5532442 |
| 2751000 | GCAT Trust, Series 2019-NQM3-M1 | 3.45 % (a)(b) | 11/25/2059 | 2124803 |
| 7096000 | GCAT Trust, Series 2021-NQM2-M1 | 2.54 % (a)(b) | 05/25/2066 | 4024390 |
| 8405000 | GCAT Trust, Series 2021-NQM6-B1 | 4.42 % (a)(b) | 08/25/2066 | 5323019 |
| 32889370 | GE-WMC Mortgage Securities Trust, Series 2006-1-A2B (1 Month LIBOR USD + 0.30%, 0.30% Floor) | 4.69% | 08/25/2036 | 14783709 |
| 1872663 | GMACM Mortgage Loan Trust, Series 2005-AR5-3A1 | 3.88 % (b) | 09/19/2035 | 1588150 |
| 21694001 | GreenPoint Mortgage Funding Trust, Series 2005-AR3-2A1 (1 Month LIBOR USD + 0.52%, 0.52% Floor, 10.50% Cap) | 4.91% | 08/25/2045 | 5674493 |
| 18566822 | GreenPoint Mortgage Funding Trust, Series 2007-AR2-1A3 (1 Month LIBOR USD + 0.24%, 0.24% Floor) | 4.63% | 04/25/2047 | 16155176 |
| 893507 | GS Mortgage Securities Corporation Trust, Series 2008-2R-1A1 | 3.77 % (a)(b) | 09/25/2036 | 328746 |
| 117178502 | GS Mortgage-Backed Securities Trust, Series 2020-RPL2-A1 | 1.75 % (a)(b) | 05/25/2060 | 101541019 |
| 12540000 | GS Mortgage-Backed Securities Trust, Series 2020-RPL2-M1 | 2.25 % (a)(b) | 05/25/2060 | 9499884 |
| 10237000 | GS Mortgage-Backed Securities Trust, Series 2020-RPL2-M2 | 2.75 % (a)(b) | 05/25/2060 | 7612771 |
| 9341000 | GS Mortgage-Backed Securities Trust, Series 2020-RPL2-M3 | 3.00 % (a)(b) | 05/25/2060 | 6751389 |
| 31830484 | GS Mortgage-Backed Securities Trust, Series 2020-RPL2-PT4 | 4.12 % (a)(h) | 05/25/2060 | 29354836 |
| 112843 | GSAA Home Equity Trust, Series 2005-12-AF3 | 5.07 % (b) | 09/25/2035 | 76173 |
| 7937260 | GSAA Home Equity Trust, Series 2006-10-AF3 | 5.98 % (b) | 06/25/2036 | 2119052 |
| 5680833 | GSAA Home Equity Trust, Series 2006-10-AF4 | 6.80% | 06/25/2036 | 1512921 |
| 10961769 | GSAA Home Equity Trust, Series 2006-15-AF4 | 6.46% | 09/25/2036 | 3136443 |
| 1687154 | GSAA Home Equity Trust, Series 2006-18-AF3A | 5.77 % (b) | 11/25/2036 | 516685 |
| 3932865 | GSAA Home Equity Trust, Series 2006-18-AF6 | 6.18% | 11/25/2036 | 1008379 |
| 7392121 | GSAA Home Equity Trust, Series 2006-19-A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor) | 4.57% | 12/25/2036 | 2083438 |
| 3983251 | GSAA Home Equity Trust, Series 2007-10-A1A | 6.00% | 11/25/2037 | 2464641 |
| 2522447 | GSAA Home Equity Trust, Series 2007-10-A2A | 6.50% | 11/25/2037 | 1151107 |
| 5751438 | GSAA Home Equity Trust, Series 2007-7-A5 (1 Month LIBOR USD + 0.56%, 0.56% Floor) | 4.95% | 07/25/2037 | 3001766 |
| 16450673 | GSAMP Trust, Series 2006-HE6-A3 (1 Month LIBOR USD + 0.30%, 0.30% Floor) | 4.54% | 08/25/2036 | 13198709 |
| 6981322 | GSAMP Trust, Series 2007-H1-A2B (1 Month LIBOR USD + 0.40%, 0.40% Floor) | 4.79% | 01/25/2047 | 3715613 |
| 6903007 | GSMPS Mortgage Loan Trust, Series 2005-RP2-1AF (1 Month LIBOR USD + 0.35%, 0.35% Floor) | 4.74 % (a) | 03/25/2035 | 6514456 |
| 6903007 | GSMPS Mortgage Loan Trust, Series 2005-RP2-1AS | 0.31 % (a)(b)(d) | 03/25/2035 | 87338 |
| 4436396 | GSMPS Mortgage Loan Trust, Series 2005-RP3-1AF (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.50% Cap) | 4.74 % (a) | 09/25/2035 | 3819698 |
| 4436396 | GSMPS Mortgage Loan Trust, Series 2005-RP3-1AS | 0.10 % (a)(b)(d) | 09/25/2035 | 51411 |
| 16910243 | GSMPS Mortgage Loan Trust, Series 2006-RP1-1AF1 (1 Month LIBOR USD + 0.35%, 0.35% Floor, 9.15% Cap) | 4.74 % (a) | 01/25/2036 | 14050276 |
| 16910243 | GSMPS Mortgage Loan Trust, Series 2006-RP1-1AS | 0.06 % (a)(b)(d) | 01/25/2036 | 215086 |
| 17412709 | GSMSC Resecuritization Trust, Series 2014-3R-2B (1 Month LIBOR USD + 0.18%, 0.18% Floor) | 4.20 % (a) | 09/26/2036 | 10429600 |
| 736335 | GSR Mortgage Loan Trust, Series 2005-1F-1A2 | 5.50% | 02/25/2035 | 683608 |
| 1720858 | GSR Mortgage Loan Trust, Series 2005-1F-3A3 | 6.00% | 01/25/2035 | 1525494 |
| 225942 | GSR Mortgage Loan Trust, Series 2005-6F-3A5 | 6.00% | 07/25/2035 | 211141 |
| 2388391 | GSR Mortgage Loan Trust, Series 2005-6F-3A9 (-1 x 1 Month LIBOR USD + 6.90%, 0.00% Floor, 6.90% Cap) | 2.51 % (d)(f) | 07/25/2035 | 196161 |

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---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 140978 | GSR Mortgage Loan Trust, Series 2005-6F-4A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap) | 4.89% | 07/25/2035 | 136422 |
| 115313 | GSR Mortgage Loan Trust, Series 2005-7F-3A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 6.00% Cap) | 4.89% | 09/25/2035 | 112828 |
| 6970484 | GSR Mortgage Loan Trust, Series 2005-8F-3A5 | 6.00% | 11/25/2035 | 3036827 |
| 1684555 | GSR Mortgage Loan Trust, Series 2005-8F-4A1 | 6.00% | 11/25/2035 | 798922 |
| 193063 | GSR Mortgage Loan Trust, Series 2006-1F-1A2 | 5.50% | 02/25/2036 | 310446 |
| 347571 | GSR Mortgage Loan Trust, Series 2006-2F-2A3 | 5.75% | 02/25/2036 | 305780 |
| 1565776 | GSR Mortgage Loan Trust, Series 2006-2F-3A3 | 6.00% | 02/25/2036 | 822726 |
| 1880490 | GSR Mortgage Loan Trust, Series 2006-2F-3A6 | 6.00% | 02/25/2036 | 988091 |
| 17212125 | GSR Mortgage Loan Trust, Series 2006-5F-3A1 | 6.50% | 06/25/2036 | 8477379 |
| 4412533 | GSR Mortgage Loan Trust, Series 2006-6F-2A3 | 6.00% | 07/25/2036 | 2670160 |
| 3711684 | GSR Mortgage Loan Trust, Series 2006-7F-3A4 | 6.25% | 08/25/2036 | 1360458 |
| 9711576 | GSR Mortgage Loan Trust, Series 2006-9F-4A1 | 6.50% | 10/25/2036 | 4622247 |
| 28008092 | GSR Mortgage Loan Trust, Series 2006-OA1-3A1 | 3.09 % (h) | 08/25/2046 | 6401591 |
| 215074 | GSR Mortgage Loan Trust, Series 2007-1F-2A2 | 5.50% | 01/25/2037 | 410961 |
| 611399 | GSR Mortgage Loan Trust, Series 2007-4F-1A1 | 5.00% | 07/25/2037 | 862188 |
| 12679043 | GSR Mortgage Loan Trust, Series 2007-4F-3A11 | 6.00% | 07/25/2037 | 8890835 |
| 42215561 | GSR Mortgage Loan Trust, Series 2007-OA1-1A1 (1 Month LIBOR USD + 0.23%, 0.23% Floor) | 4.62% | 05/25/2037 | 23552627 |
| 293512 | Harborview Mortgage Loan Trust, Series 2005-14-3A1A | 3.93 % (b) | 12/19/2035 | 275269 |
| 5236442 | Harborview Mortgage Loan Trust, Series 2005-2-1A (1 Month LIBOR USD + 0.52%, 0.52% Floor) | 4.86% | 05/19/2035 | 1793245 |
| 21799857 | Harborview Mortgage Loan Trust, Series 2005-8-1A1A (1 Month LIBOR USD + 0.62%, 0.62% Floor, 11.00% Cap) | 4.96% | 09/19/2035 | 11362114 |
| 41966611 | Harborview Mortgage Loan Trust, Series 2005-8-2A1A (12 Month US Treasury Average + 1.55%, 1.55% Floor) | 3.60% | 09/19/2035 | 20821314 |
| 4003761 | Harborview Mortgage Loan Trust, Series 2006-10-2A1A (1 Month LIBOR USD + 0.18%, 0.18% Floor) | 4.52% | 11/19/2036 | 3513986 |
| 4487590 | Harborview Mortgage Loan Trust, Series 2006-11-A1A (1 Month LIBOR USD + 0.34%, 0.34% Floor) | 4.68% | 12/19/2036 | 3866888 |
| 32741068 | Harborview Mortgage Loan Trust, Series 2006-14-1A1A (1 Month LIBOR USD + 0.36%, 0.36% Floor) | 4.70% | 01/25/2047 | 29365005 |
| 5597272 | Harborview Mortgage Loan Trust, Series 2006-4-1A2A (1 Month LIBOR USD + 0.38%, 0.38% Floor) | 4.72% | 05/19/2046 | 2768283 |
| 58399621 | Harborview Mortgage Loan Trust, Series 2006-8-1A1 (1 Month LIBOR USD + 0.40%, 0.00% Floor) | 4.55% | 07/21/2036 | 30239055 |
| 7361064 | Harborview Mortgage Loan Trust, Series 2006-BU1-1A1A (1 Month LIBOR USD + 0.42%, 0.42% Floor, 10.50% Cap) | 4.76% | 02/19/2046 | 6134830 |
| 14499425 | Harborview Mortgage Loan Trust, Series 2007-7-1A1 (1 Month LIBOR USD + 2.00%, 0.00% Floor, 10.50% Cap) | 5.39% | 10/25/2037 | 12150729 |
| 468859 | Home Equity Asset Trust, Series 2003-3-M1 (1 Month LIBOR USD + 1.29%, 1.29% Floor) | 5.68% | 08/25/2033 | 454876 |
| 202351 | Home Equity Asset Trust, Series 2004-7-M2 (1 Month LIBOR USD + 0.99%, 0.99% Floor) | 5.38% | 01/25/2035 | 202051 |
| 12182000 | Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-B-2A4 (1 Month LIBOR USD + 0.56%, 0.56% Floor) | 4.95% | 06/25/2036 | 10568941 |
| 8528139 | Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-D-2A4 (1 Month LIBOR USD + 0.24%, 0.24% Floor) | 4.63% | 11/25/2036 | 6834894 |
| 8122765 | Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-B-1A1 (1 Month LIBOR USD + 0.19%, 0.19% Floor) | 4.58% | 07/25/2037 | 3332693 |

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------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 8122765 | Home Equity Mortgage Loan Asset-Backed Trust, Series 2007-B-1A2 (1 Month LIBOR USD + 0.19%, 0.19% Floor) | 4.58% | 07/25/2037 | 3332693 |
| 3690645 | Home Partners of America Trust, Series 2019-2-C | 3.02 % (a) | 10/19/2039 | 3117731 |
| 3926217 | Home Partners of America Trust, Series 2019-2-D | 3.12 % (a) | 10/19/2039 | 3274632 |
| 7390527 | Home Partners of America Trust, Series 2019-2-E | 3.32 % (a) | 10/19/2039 | 6107854 |
| 415490 | HomeBanc Mortgage Trust, Series 2005-1-M2 (1 Month LIBOR USD + 0.74%, 0.74% Floor, 11.50% Cap) | 5.12% | 03/25/2035 | 338918 |
| 10350000 | HomeBanc Mortgage Trust, Series 2005-3-M5 (1 Month LIBOR USD + 1.85%, 1.85% Floor, 11.50% Cap) | 6.23% | 07/25/2035 | 8974856 |
| 13161000 | Homeward Opportunities Fund Trust, Series 2020-1-B1 | 5.74 % (a)(b) | 11/25/2059 | 12782061 |
| 13276000 | Homeward Opportunities Fund Trust, Series 2020-1-B2 | 5.91 % (a)(b) | 11/25/2059 | 12863484 |
| 28994000 | Homeward Opportunities Fund Trust, Series 2020-2-B2 | 5.49 % (a)(b) | 05/25/2065 | 25944840 |
| 31033211 | Homeward Opportunities Fund Trust, Series 2020-BPL1-A1 | 3.23 % (a)(k) | 08/25/2025 | 30972699 |
| 18928073 | HSI Asset Loan Obligation Trust, Series 2007-2-3A6 | 6.00% | 09/25/2037 | 6794457 |
| 13996426 | HSI Asset Loan Obligation Trust, Series 2007-WF1-A3 | 4.49% | 12/25/2036 | 4720864 |
| 28436770 | HSI Asset Securitization Corporation Trust, Series 2006-HE1-1A1 (1 Month LIBOR USD + 0.28%, 0.28% Floor) | 4.67% | 10/25/2036 | 9424236 |
| 14442652 | HSI Asset Securitization Corporation Trust, Series 2007-NC1-A2 (1 Month LIBOR USD + 0.14%, 0.14% Floor) | 4.18% | 04/25/2037 | 10018786 |
| 62613527 | HSI Asset Securitization Corporation Trust, Series 2007-NC1-A3 (1 Month LIBOR USD + 0.18%, 0.18% Floor) | 4.22% | 04/25/2037 | 43558033 |
| 246612 | Impac CMB Trust, Series 2002-9F-A1 | 5.22% | 12/25/2032 | 234646 |
| 10644401 | Impac Secured Assets Trust, Series 2007-3-A1B (1 Month LIBOR USD + 0.48%, 0.48% Floor, 11.50% Cap) | 4.87% | 09/25/2037 | 8682833 |
| 27630975 | Imperial Fund Mortgage Trust, Series 2021-NQM4-A1 | 2.09 % (a)(b) | 01/25/2057 | 22891309 |
| 14287056 | Imperial Fund Mortgage Trust, Series 2021-NQM4-A2 | 2.30 % (a)(b) | 01/25/2057 | 11680701 |
| 10888446 | Imperial Fund Mortgage Trust, Series 2021-NQM4-A3 | 2.45 % (a)(b) | 01/25/2057 | 8838610 |
| 3202295 | IndyMac IMJA Mortgage Loan Trust, Series 2007-A1-A1 | 6.00% | 08/25/2037 | 1380846 |
| 2344330 | IndyMac IMJA Mortgage Loan Trust, Series 2007-A1-A7 | 6.00% | 08/25/2037 | 1010887 |
| 7339746 | IndyMac IMJA Mortgage Loan Trust, Series 2007-A2-1A1 | 6.00% | 10/25/2037 | 3770128 |
| 11143892 | IndyMac IMJA Mortgage Loan Trust, Series 2007-A2-2A3 | 6.50% | 10/25/2037 | 6237458 |
| 18077843 | IndyMac IMJA Mortgage Loan Trust, Series 2007-A2-3A1 | 7.00% | 10/25/2037 | 5700833 |
| 15418841 | IndyMac IMJA Mortgage Loan Trust, Series 2007-A3-A1 | 6.25% | 11/25/2037 | 7250208 |
| 12548611 | IndyMac IMJA Mortgage Loan Trust, Series 2007-A4-A1 | 6.25% | 02/25/2038 | 4509205 |
| 29350943 | IndyMac IMSC Mortgage Loan Trust, Series 2007-F1-2A1 | 6.50% | 06/25/2037 | 8291189 |
| 261311 | IndyMac IMSC Mortgage Loan Trust, Series 2007-F2-1A2 | 6.00% | 07/25/2037 | 193909 |
| 25080901 | IndyMac IMSC Mortgage Loan Trust, Series 2007-F2-2A1 | 6.50% | 07/25/2037 | 8142838 |
| 3080873 | IndyMac IMSC Mortgage Loan Trust, Series 2007-HOA1-A11 (1 Month LIBOR USD + 0.36%, 0.36% Floor) | 4.75% | 07/25/2047 | 2124328 |
| 826826 | IndyMac INDA Mortgage Loan Trust, Series 2006-AR2-1A1 | 3.53 % (b) | 09/25/2036 | 569010 |
| 909514 | IndyMac INDA Mortgage Loan Trust, Series 2006-AR2-4A1 | 3.27 % (b) | 09/25/2036 | 769925 |
| 8574458 | IndyMac INDA Mortgage Loan Trust, Series 2006-AR3-1A1 | 3.64 % (b) | 12/25/2036 | 7290115 |
| 3154977 | IndyMac INDA Mortgage Loan Trust, Series 2007-AR1-3A1 | 2.83 % (b) | 03/25/2037 | 2652510 |
| 2351962 | IndyMac INDA Mortgage Loan Trust, Series 2007-AR3-3A1 | 3.10 % (b) | 07/25/2037 | 2060570 |
| 5813644 | IndyMac INDX Mortgage Loan Trust, Series 2005-AR15-A1 | 3.23 % (b) | 09/25/2035 | 4798641 |
| 2305158 | IndyMac INDX Mortgage Loan Trust, Series 2006-AR7-3A1 | 2.97 % (b) | 05/25/2036 | 1891384 |
| 2504303 | IndyMac INDX Mortgage Loan Trust, Series 2007-AR13-2A1 | 3.48 % (b) | 07/25/2037 | 1925370 |
| 5056550 | IndyMac INDX Mortgage Loan Trust, Series 2007-AR21-8A1 | 3.44 % (b) | 09/25/2037 | 4697365 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 5199227 | JP Morgan Alternative Loan Trust, Series 2005-S1-2A11 | 6.00% | 12/25/2035 | 3779208 |
| 1666761 | JP Morgan Alternative Loan Trust, Series 2005-S1-2A9 | 6.00% | 12/25/2035 | 1211533 |
| 3439970 | JP Morgan Alternative Loan Trust, Series 2006-A2-1A1 (1 Month LIBOR USD + 0.36%, 0.36% Floor, 11.50% Cap) | 4.75% | 05/25/2036 | 2865065 |
| 2236758 | JP Morgan Alternative Loan Trust, Series 2006-S1-1A8 | 5.75% | 03/25/2036 | 1261794 |
| 3217600 | JP Morgan Alternative Loan Trust, Series 2006-S2-A4 | 6.69% | 05/25/2036 | 3185182 |
| 7037760 | JP Morgan Alternative Loan Trust, Series 2006-S4-A4 | 6.46% | 12/25/2036 | 6679385 |
| 2179200 | JP Morgan Mortgage Acquisition Corporation, Series 2005-WMC1-M4 (1 Month LIBOR USD + 0.90%, 0.90% Floor) | 5.29% | 09/25/2035 | 1766650 |
| 5939011 | JP Morgan Mortgage Acquisition Trust, Series 2006-CH2-AF3 | 5.46 % (k) | 09/25/2029 | 3777376 |
| 11036125 | JP Morgan Mortgage Acquisition Trust, Series 2006-HE3-A1 (1 Month LIBOR USD + 0.28%, 0.28% Floor) | 3.89% | 11/25/2036 | 9794099 |
| 22976478 | JP Morgan Mortgage Acquisition Trust, Series 2006-RM1-A3 (1 Month LIBOR USD + 0.24%, 0.24% Floor) | 4.63% | 08/25/2036 | 10459162 |
| 21235885 | JP Morgan Mortgage Acquisition Trust, Series 2006-RM1-A4 (1 Month LIBOR USD + 0.36%, 0.36% Floor) | 4.75% | 08/25/2036 | 9714218 |
| 3020955 | JP Morgan Mortgage Acquisition Trust, Series 2006-WF1-A5 | 6.91% | 07/25/2036 | 913088 |
| 4458223 | JP Morgan Mortgage Acquisition Trust, Series 2006-WMC4-A1A (1 Month LIBOR USD + 0.13%, 0.13% Floor) | 4.52% | 12/25/2036 | 2685697 |
| 35550679 | JP Morgan Mortgage Acquisition Trust, Series 2006-WMC4-A1B (1 Month LIBOR USD + 0.23%, 0.23% Floor) | 4.62% | 12/25/2036 | 2816136 |
| 16215091 | JP Morgan Mortgage Acquisition Trust, Series 2007-CH1-AF5 | 4.60% | 11/25/2036 | 15566159 |
| 9690000 | JP Morgan Mortgage Acquisition Trust, Series 2007-CH3-M2 (1 Month LIBOR USD + 0.32%, 0.32% Floor) | 4.71% | 03/25/2037 | 8077020 |
| 132206 | JP Morgan Mortgage Trust, Series 2005-A6-5A1 | 3.61 % (b) | 08/25/2035 | 129924 |
| 3766461 | JP Morgan Mortgage Trust, Series 2005-S1-1A2 | 6.50% | 01/25/2035 | 3733587 |
| 376766 | JP Morgan Mortgage Trust, Series 2005-S2-2A13 | 5.50% | 09/25/2035 | 304870 |
| 1051629 | JP Morgan Mortgage Trust, Series 2006-S2-3A3 | 6.00% | 07/25/2036 | 458693 |
| 3397507 | JP Morgan Mortgage Trust, Series 2006-S2-3A5 | 6.25% | 07/25/2036 | 1627248 |
| 1786086 | JP Morgan Mortgage Trust, Series 2006-S3-1A2 | 6.00% | 08/25/2036 | 788328 |
| 7423570 | JP Morgan Mortgage Trust, Series 2006-S3-1A21 (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.50% Cap) | 4.77% | 08/25/2036 | 1081810 |
| 7423570 | JP Morgan Mortgage Trust, Series 2006-S3-1A22 (-1 x 1 Month LIBOR USD + 7.12%, 0.00% Floor, 7.12% Cap) | 2.73 % (d)(f) | 08/25/2036 | 1257741 |
| 832270 | JP Morgan Mortgage Trust, Series 2006-S3-1A9 | 6.00% | 08/25/2036 | 367341 |
| 5697542 | JP Morgan Mortgage Trust, Series 2006-S4-A3 | 6.00% | 01/25/2037 | 2442844 |
| 2372738 | JP Morgan Mortgage Trust, Series 2006-S4-A5 | 6.00% | 01/25/2037 | 1024850 |
| 5560342 | JP Morgan Mortgage Trust, Series 2006-S4-A8 (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.00% Cap) | 4.77% | 01/25/2037 | 1730614 |
| 5560342 | JP Morgan Mortgage Trust, Series 2006-S4-A9 (-1 x 1 Month LIBOR USD + 6.62%, 0.00% Floor, 6.62% Cap) | 2.23 % (d)(f) | 01/25/2037 | 1001496 |
| 656558 | JP Morgan Mortgage Trust, Series 2007-A2-2A1 | 3.48 % (b) | 04/25/2037 | 485392 |
| 2577414 | JP Morgan Mortgage Trust, Series 2007-A3-3A2M | 3.28 % (b) | 05/25/2037 | 2296526 |
| 6178560 | JP Morgan Mortgage Trust, Series 2007-S1-2A6 | 6.00% | 03/25/2037 | 2787637 |
| 1784235 | JP Morgan Mortgage Trust, Series 2007-S3-1A1 | 5.50% | 08/25/2037 | 948029 |
| 4016403 | JP Morgan Mortgage Trust, Series 2007-S3-1A35 | 6.00% | 08/25/2037 | 2259874 |
| 1703822 | JP Morgan Mortgage Trust, Series 2007-S3-1A64 | 7.50% | 08/25/2037 | 700870 |
| 675961 | JP Morgan Mortgage Trust, Series 2007-S3-1A9 | 6.00% | 08/25/2037 | 375192 |
| 3703315 | JP Morgan Mortgage Trust, Series 2007-S3-1A96 | 6.00% | 08/25/2037 | 2055838 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 4221445 | JP Morgan Mortgage Trust, Series 2007-S3-1A97 | 6.00% | 08/25/2037 | 2343516 |
| 5070960 | JP Morgan Resecuritization Trust, Series 2009-4-3A2 | 6.00 % (a)(b) | 02/26/2037 | 2660037 |
| 16378412 | JP Morgan Resecuritization Trust, Series 2009-7-7A1 | 7.00 % (a)(b) | 09/27/2037 | 7383376 |
| 8099106 | JP Morgan Resecuritization Trust, Series 2010-1-1A4 | 6.00 % (a) | 02/26/2037 | 4080697 |
| 5115515 | JP Morgan Resecuritization Trust, Series 2010-1-2A11 | 7.00 % (a)(b) | 01/26/2037 | 2513041 |
| 127141158 | Legacy Mortgage Asset Trust, Series 2019-RPL3-PT1 | 0.00 % (a) | 06/25/2058 | 107029919 |
| 26545000 | Legacy Mortgage Asset Trust, Series 2020-GS1-A2 | 4.00 % (a)(k) | 10/25/2059 | 22404142 |
| 26264000 | Legacy Mortgage Asset Trust, Series 2020-GS2-A2 | 4.00 % (a)(k) | 03/25/2060 | 23025423 |
| 24000000 | Legacy Mortgage Asset Trust, Series 2021-GS4-A2 | 3.55 % (a)(k) | 11/25/2060 | 20070900 |
| 4982494 | Lehman Mortgage Trust, Series 2005-2-2A3B | 5.94% | 08/25/2035 | 4346832 |
| 1676750 | Lehman Mortgage Trust, Series 2005-2-3A5 | 5.50% | 12/25/2035 | 950066 |
| 1046098 | Lehman Mortgage Trust, Series 2005-2-5A5 | 5.75% | 12/25/2035 | 735497 |
| 1861778 | Lehman Mortgage Trust, Series 2005-3-2A1 | 6.00% | 01/25/2036 | 1463732 |
| 158389 | Lehman Mortgage Trust, Series 2005-3-2A3 | 5.50% | 01/25/2036 | 119005 |
| 850892 | Lehman Mortgage Trust, Series 2005-3-2A7 | 6.00% | 01/25/2036 | 668912 |
| 925376 | Lehman Mortgage Trust, Series 2005-4-2A3A | 5.50% | 10/25/2035 | 987601 |
| 7396780 | Lehman Mortgage Trust, Series 2005-9N-2A1 (12 Month US Treasury Average + 1.06%, 1.06% Floor) | 3.11% | 02/25/2036 | 6289087 |
| 955088 | Lehman Mortgage Trust, Series 2006-1-1A1 (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap) | 5.14% | 02/25/2036 | 413536 |
| 2865264 | Lehman Mortgage Trust, Series 2006-1-1A2 (-1 x 1 Month LIBOR USD + 4.75%, 0.00% Floor, 4.75% Cap) | 0.36 % (d)(f) | 02/25/2036 | 191936 |
| 2098905 | Lehman Mortgage Trust, Series 2006-1-3A1 (1 Month LIBOR USD + 0.75%, 0.75% Floor, 5.50% Cap) | 5.14% | 02/25/2036 | 1525469 |
| 2098905 | Lehman Mortgage Trust, Series 2006-1-3A2 (-1 x 1 Month LIBOR USD + 4.75%, 0.00% Floor, 4.75% Cap) | 0.36 % (c)(d)(f) | 02/25/2036 | 58338 |
| 1352307 | Lehman Mortgage Trust, Series 2006-1-3A4 | 5.50% | 02/25/2036 | 994378 |
| 886 | Lehman Mortgage Trust, Series 2006-17-1A2 (1 Month LIBOR USD + 0.34%, 0.34% Floor) | 4.73% | 08/25/2046 | 140475 |
| 6190754 | Lehman Mortgage Trust, Series 2006-3-A3 (1 Month LIBOR USD + 0.60%, 0.60% Floor) | 4.99% | 03/25/2036 | 5902759 |
| 1540532 | Lehman Mortgage Trust, Series 2006-4-1A3 (-1 x 1 Month LIBOR USD + 5.40%, 0.00% Floor, 5.40% Cap) | 1.01 % (d)(f) | 08/25/2036 | 98686 |
| 979129 | Lehman Mortgage Trust, Series 2006-4-1A4 | 6.00% | 08/25/2036 | 790914 |
| 6883360 | Lehman Mortgage Trust, Series 2006-5-1A1A (1 Month LIBOR USD + 0.42%, 0.42% Floor) | 4.81% | 04/25/2036 | 5950172 |
| 5457086 | Lehman Mortgage Trust, Series 2006-5-2A1 (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.50% Cap) | 4.74% | 09/25/2036 | 822315 |
| 11367051 | Lehman Mortgage Trust, Series 2006-5-2A2 (-1 x 1 Month LIBOR USD + 7.15%, 0.00% Floor, 7.15% Cap) | 2.76 % (d)(f) | 09/25/2036 | 1499097 |
| 41940 | Lehman Mortgage Trust, Series 2006-5-2A4A | 6.39% | 04/25/2036 | 53497 |
| 6084073 | Lehman Mortgage Trust, Series 2006-6-3A9 | 5.50% | 10/25/2036 | 4242340 |
| 272207 | Lehman Mortgage Trust, Series 2006-6-4A5 | 6.00% | 12/25/2036 | 262913 |
| 2778866 | Lehman Mortgage Trust, Series 2006-7-2A2 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) | 4.84% | 11/25/2036 | 653961 |
| 10311301 | Lehman Mortgage Trust, Series 2006-7-2A5 (-1 x 1 Month LIBOR USD + 6.55%, 6.55% Cap) | 2.16 % (d)(f) | 11/25/2036 | 1163231 |
| 1727034 | Lehman Mortgage Trust, Series 2006-9-1A19 (-5 x 1 Month LIBOR USD + 30.68%, 0.00% Floor, 30.68% Cap) | 10.49 % (f) | 01/25/2037 | 1680646 |
| 1876892 | Lehman Mortgage Trust, Series 2006-9-1A5 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 5.75% Cap) | 4.99% | 01/25/2037 | 1068511 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 5610880 | Lehman Mortgage Trust, Series 2006-9-1A6 (-1 x 1 Month LIBOR USD + 5.15%, 0.00% Floor, 5.15% Cap) | 0.76 % (d)(f) | 01/25/2037 | 322439 |
| 3437088 | Lehman Mortgage Trust, Series 2006-9-2A1 (1 Month LIBOR USD + 0.38%, 0.38% Floor, 7.00% Cap) | 4.77% | 01/25/2037 | 736470 |
| 6193853 | Lehman Mortgage Trust, Series 2006-9-2A2 (-1 x 1 Month LIBOR USD + 6.62%, 0.00% Floor, 6.62% Cap) | 2.23 % (d)(f) | 01/25/2037 | 634028 |
| 8452140 | Lehman Mortgage Trust, Series 2006-GP3-1A1 (1 Month LIBOR USD + 0.40%, 0.40% Floor) | 4.79% | 06/25/2046 | 7561568 |
| 6006718 | Lehman Mortgage Trust, Series 2007-10-2A1 | 6.50% | 01/25/2038 | 2013633 |
| 19927499 | Lehman Mortgage Trust, Series 2007-1-1A1 (1 Month LIBOR USD + 0.21%, 0.21% Floor) | 4.60 % (a) | 06/25/2037 | 14665569 |
| 5710787 | Lehman Mortgage Trust, Series 2007-1-2A1 | 7.00 % (b) | 02/25/2037 | 5928183 |
| 5923650 | Lehman Mortgage Trust, Series 2007-1-2A4 (1 Month LIBOR USD + 0.30%, 0.30% Floor) | 4.69 % (a) | 06/25/2037 | 4215111 |
| 10189703 | Lehman Mortgage Trust, Series 2007-12N-1A3A (1 Month LIBOR USD + 0.40%, 0.40% Floor) | 4.79% | 07/25/2047 | 9577482 |
| 10522683 | Lehman Mortgage Trust, Series 2007-15N-4A1 (1 Month LIBOR USD + 0.90%, 0.90% Floor) | 4.94% | 08/25/2047 | 9039030 |
| 1471028 | Lehman Mortgage Trust, Series 2007-2-1A1 | 5.75% | 02/25/2037 | 1017686 |
| 2520517 | Lehman Mortgage Trust, Series 2007-4-2A11 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap) | 4.72% | 05/25/2037 | 736686 |
| 10910354 | Lehman Mortgage Trust, Series 2007-4-2A8 (-1 x 1 Month LIBOR USD + 6.67%, 0.00% Floor, 6.67% Cap) | 2.28 % (d)(f) | 05/25/2037 | 1274334 |
| 743640 | Lehman Mortgage Trust, Series 2007-4-2A9 (1 Month LIBOR USD + 0.33%, 0.33% Floor, 7.00% Cap) | 4.72% | 05/25/2037 | 162807 |
| 6753591 | Lehman Mortgage Trust, Series 2007-5-11A1 | 4.69 % (b) | 06/25/2037 | 4198707 |
| 693734 | Lehman Mortgage Trust, Series 2007-5-4A3 (-6 x 1 Month LIBOR USD + 40.08%, 0.00% Floor, 40.08% Cap) | 13.75 % (f) | 08/25/2036 | 872089 |
| 635997 | Lehman Mortgage Trust, Series 2007-5-7A3 | 7.50% | 10/25/2036 | 292100 |
| 99597 | Lehman Mortgage Trust, Series 2007-6-1A8 | 6.00% | 07/25/2037 | 80604 |
| 5546470 | Lehman Mortgage Trust, Series 2007-9-2A2 | 6.50% | 10/25/2037 | 1811235 |
| 3268147 | Lehman Mortgage Trust, Series 2008-2-1A6 | 6.00% | 03/25/2038 | 1145933 |
| 9300000 | LHOME Mortgage Trust, Series 2021-RTL1-A2 | 2.86 % (a)(b) | 02/25/2026 | 8283459 |
| 92000000 | LHOME Mortgage Trust, Series 2021-RTL2-A1 | 2.09 % (a)(k) | 06/25/2026 | 86893890 |
| 13698013 | Long Beach Mortgage Loan Trust, Series 2006-2-2A4 (1 Month LIBOR USD + 0.58%, 0.58% Floor) | 4.97% | 03/25/2046 | 5066396 |
| 48407900 | Long Beach Mortgage Loan Trust, Series 2006-3-2A3 (1 Month LIBOR USD + 0.36%, 0.36% Floor) | 4.75% | 05/25/2046 | 16372302 |
| 4934625 | Long Beach Mortgage Loan Trust, Series 2006-3-2A4 (1 Month LIBOR USD + 0.54%, 0.54% Floor) | 4.93% | 05/25/2046 | 1669406 |
| 15658029 | Long Beach Mortgage Loan Trust, Series 2006-5-2A4 (1 Month LIBOR USD + 0.48%, 0.48% Floor) | 4.87% | 06/25/2036 | 7851975 |
| 26862176 | Long Beach Mortgage Loan Trust, Series 2006-6-1A (1 Month LIBOR USD + 0.29%, 0.29% Floor) | 4.68% | 07/25/2036 | 19423376 |
| 11639107 | Long Beach Mortgage Loan Trust, Series 2006-WL1-M2 (1 Month LIBOR USD + 0.68%, 0.68% Floor) | 5.06% | 01/25/2046 | 10135020 |
| 2757476 | Luminent Mortgage Trust, Series 2005-1-A1 (1 Month LIBOR USD + 0.52%, 0.52% Floor, 11.50% Cap) | 4.91% | 11/25/2035 | 2612397 |
| 2489796 | MASTR Adjustable Rate Mortgages Trust, Series 2005-2-2A1 | 3.08 % (b) | 03/25/2035 | 2183907 |
| 763621 | MASTR Adjustable Rate Mortgages Trust, Series 2005-6-5A1 | 2.87 % (b) | 07/25/2035 | 657834 |
| 5308995 | MASTR Adjustable Rate Mortgages Trust, Series 2007-1-2A1 | 3.78 % (b) | 11/25/2036 | 3138679 |
| 6651000 | MASTR Alternative Loans Trust, Series 2004-9-M2 | 6.26% | 08/25/2034 | 5140944 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 1111612 | MASTR Alternative Loans Trust, Series 2005-2-3A1 | 6.00% | 03/25/2035 | 948562 |
| 74967 | MASTR Alternative Loans Trust, Series 2005-5-2A3 | 5.50% | 07/25/2025 | 70347 |
| 6724913 | MASTR Alternative Loans Trust, Series 2005-5-3A1 | 5.75% | 08/25/2035 | 3546995 |
| 1572122 | MASTR Alternative Loans Trust, Series 2005-6-1A5 | 5.50% | 12/25/2035 | 1122438 |
| 1290887 | MASTR Alternative Loans Trust, Series 2006-3-1A2 | 6.25% | 07/25/2036 | 759743 |
| 795194 | MASTR Alternative Loans Trust, Series 2007-1-1A5 | 5.75% | 10/25/2036 | 726398 |
| 3780851 | MASTR Alternative Loans Trust, Series 2007-1-2A7 | 6.00% | 10/25/2036 | 1195698 |
| 2429690 | MASTR Asset Backed Securities Trust, Series 2003-OPT1-M3 (1 Month LIBOR USD + 4.13%, 4.13% Floor) | 8.51% | 12/25/2032 | 2251420 |
| 6794600 | MASTR Asset Backed Securities Trust, Series 2006-AM2-A3 (1 Month LIBOR USD + 0.34%, 0.34% Floor) | 4.73% | 06/25/2036 | 6074303 |
| 10796726 | MASTR Asset Backed Securities Trust, Series 2007-HE1-A3 (1 Month LIBOR USD + 0.21%, 0.21% Floor) | 4.60% | 05/25/2037 | 10171219 |
| 13570026 | MASTR Asset Backed Securities Trust, Series 2007-WMC1-A1 (1 Month LIBOR USD + 0.15%, 0.15% Floor) | 4.53% | 01/25/2037 | 4014748 |
| 1668643 | MASTR Asset Securitization Trust, Series 2006-1-1A4 | 5.75% | 05/25/2036 | 1147818 |
| 1103936 | MASTR Asset Securitization Trust, Series 2006-2-1A11 (1 Month LIBOR USD + 6.00%, 6.00% Floor) | 6.00% | 06/25/2036 | 735692 |
| 2693230 | MASTR Asset Securitization Trust, Series 2007-1-1A3 | 6.25% | 11/25/2037 | 1228394 |
| 13668725 | MASTR Resecuritization Trust, Series 2008-1-A1 | 6.00 % (a)(b)(c) | 09/27/2037 | 10218717 |
| 7252486 | MASTR Resecuritization Trust, Series 2008-4-A1 | 6.00 % (a)(b) | 06/27/2036 | 5734543 |
| 1250896 | MASTR Seasoned Securitization Trust, Series 2005-2-1A4 | 6.00% | 10/25/2032 | 1198974 |
| 499180 | MASTR Seasoned Securitization Trust, Series 2005-2-2A1 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 7.50% Cap) | 4.79% | 10/25/2032 | 464460 |
| 20587602 | Merrill Lynch Alternative Note Asset Trust, Series 2007-A3-A2A (1 Month LIBOR USD + 0.22%, 0.22% Floor) | 4.61% | 04/25/2037 | 8429155 |
| 10557714 | Merrill Lynch Alternative Note Asset Trust, Series 2007-A3-A2B (1 Month LIBOR USD + 0.42%, 0.42% Floor) | 4.81% | 04/25/2037 | 4405529 |
| 14633117 | Merrill Lynch Alternative Note Asset Trust, Series 2007-A3-A2C (1 Month LIBOR USD + 0.64%, 0.64% Floor) | 5.03% | 04/25/2037 | 6193136 |
| 13039104 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A4 (1 Month LIBOR USD + 0.32%, 0.32% Floor, 7.00% Cap) | 4.71% | 03/25/2037 | 3428541 |
| 13039104 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1-2A5 (-1 x 1 Month LIBOR USD + 6.68%, 0.00% Floor, 6.68% Cap) | 2.29 % (d)(f) | 03/25/2037 | 1911432 |
| 29098372 | Merrill Lynch Alternative Note Asset Trust, Series<br>2007-OAR5-1A1 | 3.04 % (b) | 10/25/2047 | 9825487 |
| 2443840 | Merrill Lynch First Franklin Mortgage Loan Trust, Series<br>2007-H1-1A2 (1 Month LIBOR USD + 3.50%, 3.50% Floor) | 7.89% | 10/25/2037 | 2204140 |
| 18713749 | Merrill Lynch Mortgage Investors Trust, Series 2005-AR1-M2 (1 Month LIBOR USD + 1.01%, 1.01% Floor) | 5.39% | 06/25/2036 | 16025378 |
| 586860 | Merrill Lynch Mortgage Investors Trust, Series 2006-3-1A | 3.85 % (b) | 10/25/2036 | 560889 |
| 8113482 | Merrill Lynch Mortgage Investors Trust, Series 2006-AR1-A2C (1 Month LIBOR USD + 0.32%, 0.32% Floor) | 4.71 % (a) | 03/25/2037 | 2604495 |
| 772112 | Merrill Lynch Mortgage Investors Trust, Series 2006-F1-1A2 | 6.00% | 04/25/2036 | 391530 |
| 23671902 | Merrill Lynch Mortgage Investors Trust, Series 2006-FM1-A1 (1 Month LIBOR USD + 0.30%, 0.30% Floor) | 3.81% | 04/25/2037 | 14986094 |
| 10603915 | Merrill Lynch Mortgage Investors Trust, Series 2006-HE3-A4 (1 Month LIBOR USD + 0.50%, 0.50% Floor) | 4.89% | 06/25/2037 | 2936684 |
| 7666393 | Merrill Lynch Mortgage Investors Trust, Series 2006-HE4-A2B (1 Month LIBOR USD + 0.20%, 0.20% Floor) | 4.59% | 07/25/2037 | 1957786 |
| 81203518 | Merrill Lynch Mortgage Investors Trust, Series 2007-HE2-A1 (1 Month LIBOR USD + 0.50%, 0.50% Floor) | 4.89% | 02/25/2037 | 40238252 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 8799135 | Merrill Lynch Mortgage Investors Trust, Series 2007-HE3-A1 (1 Month LIBOR USD + 0.14%, 0.14% Floor) | 4.53% | 04/25/2047 | 3922655 |
| 7507001 | Merrill Lynch Mortgage Investors Trust, Series 2007-HE3-A3 (1 Month LIBOR USD + 0.38%, 0.38% Floor) | 4.77% | 04/25/2047 | 3346470 |
| 3144378 | Merrill Lynch Mortgage Investors Trust, Series 2007-HE3-A4 (1 Month LIBOR USD + 0.54%, 0.54% Floor) | 4.93% | 04/25/2047 | 1401658 |
| 54330062 | Merrill Lynch Mortgage Investors Trust, Series 2007-MLN1-A1 (1 Month LIBOR USD + 0.25%, 0.25% Floor) | 4.64% | 03/25/2037 | 43414800 |
| 23632455 | MFA Trust, Series 2021-NPL1-A1 | 2.36 % (a)(k) | 03/25/2060 | 22291377 |
| 17178185 | Morgan Stanley Capital Trust, Series 2006-HE7-A2C (1 Month LIBOR USD + 0.32%, 0.32% Floor) | 4.71% | 09/25/2036 | 7768479 |
| 22794897 | Morgan Stanley Capital Trust, Series 2006-HE7-A2D (1 Month LIBOR USD + 0.46%, 0.46% Floor) | 4.85% | 09/25/2036 | 10322861 |
| 13128594 | Morgan Stanley Capital Trust, Series 2006-NC2-M1 (1 Month LIBOR USD + 0.54%, 0.54% Floor) | 4.93% | 02/25/2036 | 11270500 |
| 5949294 | Morgan Stanley Capital Trust, Series 2007-HE4-A1 (1 Month LIBOR USD + 0.13%, 0.13% Floor) | 4.52 % (a) | 02/25/2037 | 2677370 |
| 26255659 | Morgan Stanley Home Equity Loan Trust, Series 2007-1-A4 (1 Month LIBOR USD + 0.22%, 0.22% Floor) | 4.61% | 12/25/2036 | 13368308 |
| 5185082 | Morgan Stanley IXIS Real Estate Capital Trust, Series<br>2006-2-AFPT (1 Month LIBOR USD + 0.07%, 0.07% Floor) | 4.46% | 11/25/2036 | 1811654 |
| 677539 | Morgan Stanley Mortgage Loan Trust, Series 2005-10-1A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.75% Cap) | 5.09% | 12/25/2035 | 435048 |
| 1697548 | Morgan Stanley Mortgage Loan Trust, Series 2005-10-1A6 | 5.75% | 12/25/2035 | 1215207 |
| 1978623 | Morgan Stanley Mortgage Loan Trust, Series 2005-10-2A1 | 5.32 % (b) | 12/25/2035 | 1780256 |
| 4622611 | Morgan Stanley Mortgage Loan Trust, Series 2006-11-1A6 | 6.73% | 08/25/2036 | 939639 |
| 6813880 | Morgan Stanley Mortgage Loan Trust, Series 2006-11-2A1 | 6.00% | 08/25/2036 | 3207097 |
| 6849043 | Morgan Stanley Mortgage Loan Trust, Series 2006-16AX-2A2 (1 Month LIBOR USD + 0.34%, 0.34% Floor) | 4.73% | 11/25/2036 | 2126324 |
| 5333460 | Morgan Stanley Mortgage Loan Trust, Series 2006-17XS-A3A | 6.15% | 10/25/2046 | 1632308 |
| 1825526 | Morgan Stanley Mortgage Loan Trust, Series 2006-17XS-A6 | 6.08% | 10/25/2046 | 455663 |
| 1875286 | Morgan Stanley Mortgage Loan Trust, Series 2006-2-2A3 | 5.75% | 02/25/2036 | 1655752 |
| 16145850 | Morgan Stanley Mortgage Loan Trust, Series 2006-7-3A | 5.14 % (b) | 06/25/2036 | 10725422 |
| 1620586 | Morgan Stanley Mortgage Loan Trust, Series 2006-7-4A4 | 6.00% | 06/25/2036 | 903607 |
| 1640563 | Morgan Stanley Mortgage Loan Trust, Series 2006-7-4A7 | 6.00% | 06/25/2036 | 914746 |
| 2874170 | Morgan Stanley Mortgage Loan Trust, Series 2007-13-6A1 | 6.00% | 10/25/2037 | 1691084 |
| 3989260 | Morgan Stanley Mortgage Loan Trust, Series 2007-14AR-2A3 | 3.20 % (b) | 10/25/2037 | 2573407 |
| 2961790 | Morgan Stanley Mortgage Loan Trust, Series 2007-1XS-2A3 | 6.42% | 09/25/2046 | 713365 |
| 1982180 | Morgan Stanley Mortgage Loan Trust, Series 2007-1XS-2A4A | 6.58% | 09/25/2046 | 570156 |
| 315661 | Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-1A2A | 6.12% | 01/25/2047 | 293989 |
| 5374857 | Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-2A3S | 6.36% | 01/25/2047 | 2071565 |
| 3143784 | Morgan Stanley Mortgage Loan Trust, Series 2007-3XS-2A4S | 6.46% | 01/25/2047 | 1211402 |
| 4252696 | Morgan Stanley Re-Remic Trust, Series 2010-R5-4B | 2.18 % (a)(k) | 06/26/2036 | 3647411 |
| 6827453 | Morgan Stanley Re-Remic Trust, Series 2010-R5-5B | 2.49 % (a)(k) | 01/26/2037 | 5761160 |
| 9921531 | Morgan Stanley Re-Remic Trust, Series 2010-R9-3C | 6.00 % (a)(b) | 11/26/2036 | 7544795 |
| 318160 | Morgan Stanley Re-Remic Trust, Series 2011-R1-1A | 5.94 % (a)(b) | 02/26/2037 | 317087 |
| 7679950 | Morgan Stanley Re-Remic Trust, Series 2012-R4-1B (1 Month LIBOR USD, 0.00% Floor) | 2.86 % (a) | 08/26/2036 | 6450816 |
| 6680009 | Morgan Stanley Re-Remic Trust, Series 2013-R2-1B | 3.37 % (a)(b)(c) | 10/26/2036 | 5491119 |
| 2693560 | Morgan Stanley Resecuritization Trust, Series 2014-R7-B1 | 3.93 % (a)(b) | 01/26/2051 | 2647311 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 4770762 | Morgan Stanley Resecuritization Trust, Series 2014-R7-B2 | 3.93 % (a)(b)(g) | 01/26/2051 | 4382887 |
| 23352114 | Morgan Stanley Residential Mortgage Loan Trust, Series<br>2020-RPL1-A1 | 2.69 % (a)(b) | 10/25/2060 | 22482021 |
| 9748367 | New Century Alternative Mortgage Loan Trust, Series<br>2006-ALT1-AF3 | 6.17 % (b) | 07/25/2036 | 2312070 |
| 12318861 | New Century Alternative Mortgage Loan Trust, Series<br>2006-ALT2-AF5 | 4.64% | 10/25/2036 | 2602973 |
| 17829000 | New Century Home Equity Loan Trust, Series 2005-4-M5 (1 Month LIBOR USD + 1.02%, 1.02% Floor, 12.50% Cap) | 5.41% | 09/25/2035 | 16469779 |
| 12500000 | New Century Home Equity Loan Trust, Series 2006-1-A2C (1 Month LIBOR USD + 0.56%, 0.56% Floor, 12.50% Cap) | 4.95% | 05/25/2036 | 11047735 |
| 62504400 | New Residential Mortgage Loan Trust, Series 2020-RPL1-M1 | 3.25 % (a)(b) | 11/25/2059 | 48746263 |
| 16345550 | New Residential Mortgage Loan Trust, Series 2020-RPL1-M2 | 3.50 % (a)(b) | 11/25/2059 | 12292295 |
| 243381 | New York Mortgage Trust, Series 2005-2-A (1 Month LIBOR USD + 0.66%, 0.66% Floor, 10.50% Cap) | 4.72% | 08/25/2035 | 214969 |
| 28879 | Nomura Asset Acceptance Corporation, Series 2005-AP1-2A5 | 5.36% | 02/25/2035 | 27487 |
| 13057735 | Nomura Asset Acceptance Corporation, Series 2006-AF1-1A2 | 6.16 % (b) | 05/25/2036 | 2953623 |
| 2653565 | Nomura Asset Acceptance Corporation, Series 2006-AF1-1A3 | 6.41 % (b) | 05/25/2036 | 599695 |
| 14424919 | Nomura Asset Acceptance Corporation, Series 2006-AP1-A2 | 5.52 % (b) | 01/25/2036 | 4448669 |
| 2438115 | Nomura Asset Acceptance Corporation, Series 2006-AP1-A3 | 5.65 % (b) | 01/25/2036 | 751645 |
| 1165926 | Nomura Asset Acceptance Corporation, Series 2006-WF1-A2 | 5.76 % (b) | 06/25/2036 | 332014 |
| 15245307 | Nomura Home Equity Loan, Inc., Series 2006-AF1-A2 | 5.80 % (k) | 10/25/2036 | 3844046 |
| 2619598 | Nomura Home Equity Loan, Inc., Series 2007-1-1A1 | 6.06 % (k) | 02/25/2037 | 757941 |
| 13056681 | Nomura Home Equity Loan, Inc., Series 2007-1-1A3 | 5.99 % (k) | 02/25/2037 | 3778455 |
| 2880139 | Nomura Resecuritization Trust, Series 2014-1R-6A7 | 6.65 % (a)(b) | 08/26/2036 | 2220283 |
| 4587510 | Nomura Resecuritization Trust, Series 2014-2R-4A9 | 4.13 % (a)(k) | 07/26/2036 | 3911598 |
| 7155856 | Nomura Resecuritization Trust, Series 2015-4R-5A2 (1 Month LIBOR USD + 0.43%, 0.43% Floor) | 2.22 % (a)(c)(g) | 03/26/2036 | 5371987 |
| 13867662 | NovaStar Mortgage Funding Trust, Series 2005-3-M4 (1 Month LIBOR USD + 0.89%, 0.89% Floor, 11.00% Cap) | 5.27% | 01/25/2036 | 11910702 |
| 7737350 | NovaStar Mortgage Funding Trust, Series 2006-3-A2C (1 Month LIBOR USD + 0.32%, 0.32% Floor, 11.00% Cap) | 4.71% | 10/25/2036 | 4373994 |
| 55762219 | NRZ Excess Spread-Collateralized Notes, Series 2020-PLS1-A | 3.84 % (a) | 12/25/2025 | 50887391 |
| 56925607 | NRZ Excess Spread-Collateralized Notes, Series 2021-FHT1-A | 3.10 % (a) | 07/25/2026 | 49771618 |
| 9694000 | OBX Trust, Series 2021-NQM3-M1 | 2.33 % (a)(b) | 07/25/2061 | 5082522 |
| 809936 | Option One Mortgage Loan Trust, Series 2004-3-M3 (1 Month LIBOR USD + 0.98%, 0.98% Floor) | 5.36% | 11/25/2034 | 778465 |
| 5895964 | Option One Mortgage Loan Trust, Series 2007-1-2A3 (1 Month LIBOR USD + 0.14%, 0.14% Floor) | 4.53% | 01/25/2037 | 3514812 |
| 57060594 | Option One Mortgage Loan Trust, Series 2007-6-1A1 (1 Month LIBOR USD + 0.19%, 0.19% Floor) | 4.58% | 07/25/2037 | 45919588 |
| 10080000 | People's Choice Home Loan Securities Trust, Series 2005-1-M5 (1 Month LIBOR USD + 1.50%, 1.50% Floor, 15.00% Cap) | 5.52% | 01/25/2035 | 7219681 |
| 3249030 | PHH Alternative Mortgage Trust, Series 2007-1-1A1 (1 Month LIBOR USD + 0.32%, 0.32% Floor, 10.10% Cap) | 4.71% | 02/25/2037 | 2272701 |
| 7328972 | PHH Alternative Mortgage Trust, Series 2007-2-2A1 | 6.00% | 05/25/2037 | 6143125 |
| 3419817 | PHH Alternative Mortgage Trust, Series 2007-2-2A2 | 6.00% | 05/25/2037 | 2866482 |
| 209491 | PHH Alternative Mortgage Trust, Series 2007-2-3A1 | 6.00% | 05/25/2037 | 178474 |
| 37831406 | PMT Credit Risk Transfer Trust, Series 2019-2R-A (1 Month LIBOR USD + 2.75%, 2.75% Floor) | 7.14 % (a) | 05/27/2023 | 36344026 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 9763702 | PMT Credit Risk Transfer Trust, Series 2019-3R-A (1 Month LIBOR USD + 3.70%, 2.70% Floor) | 8.09 % (a) | 11/27/2031 | 9374344 |
| 29064188 | PMT Credit Risk Transfer Trust, Series 2020-1R-A (1 Month LIBOR USD + 2.35%, 2.35% Floor) | 6.74 % (a) | 02/27/2023 | 27615722 |
| 72357896 | PMT Credit Risk Transfer Trust, Series 2021-1R-A (1 Month LIBOR USD + 2.90%, 2.90% Floor) | 7.29 % (a) | 02/27/2024 | 69384001 |
| 67663000 | PMT Credit Risk Transfer Trust, Series 2021-FT1-A (1 Month LIBOR USD + 3.00%, 3.00% Floor) | 7.39 % (a) | 03/25/2026 | 65775798 |
| 17500000 | PNMAC GMSR Issuer Trust, Series 2018-FT1-A (1 Month LIBOR USD + 2.35%, 0.00% Floor) | 6.74 % (a) | 04/25/2023 | 16516106 |
| 1200000 | PNMAC GMSR Issuer Trust, Series 2018-GT1-A (1 Month LIBOR USD + 2.85%, 2.85% Floor) | 7.24 % (a) | 02/25/2023 | 1177617 |
| 128057136 | PR Mortgage Loan Trust, Series 2014-1-APT | 5.87 % (a)(b) | 10/25/2049 | 115800531 |
| 57909041 | Pretium Mortgage Credit Partners LLC, Series 2021-NPL1-A1 | 2.24 % (a)(k) | 09/27/2060 | 53024749 |
| 28495610 | Pretium Mortgage Credit Partners LLC, Series 2021-NPL5-A1 | 2.49 % (a)(k) | 10/25/2051 | 25870398 |
| 19070283 | Pretium Mortgage Credit Partners LLC, Series 2021-RN2-A1 | 1.74 % (a)(k) | 07/25/2051 | 17310706 |
| 34202273 | Pretium Mortgage Credit Partners LLC, Series 2021-RN4-A1 | 2.49 % (a)(b) | 10/25/2051 | 30084870 |
| 5439694 | Prime Mortgage Trust, Series 2006-DR1-2A1 | 5.50 % (a) | 05/25/2035 | 4678345 |
| 2895660 | Prime Mortgage Trust, Series 2006-DR1-2A2 | 6.00 % (a) | 05/25/2035 | 2352612 |
| 57818574 | Progress Residential Trust, Series 2021-SFR10-E1 | 3.57 % (a) | 12/17/2040 | 46533047 |
| 23994428 | Progress Residential Trust, Series 2021-SFR10-E2 | 3.67 % (a) | 12/17/2040 | 19088789 |
| 12996982 | Progress Residential Trust, Series 2021-SFR10-F | 4.61 % (a) | 12/17/2040 | 10679825 |
| 29000000 | Progress Residential Trust, Series 2021-SFR2-E1 | 2.55 % (a) | 04/19/2038 | 24603040 |
| 20000000 | Progress Residential Trust, Series 2021-SFR2-E2 | 2.65 % (a) | 04/19/2038 | 16949366 |
| 62271000 | Progress Residential Trust, Series 2021-SFR2-F | 3.40 % (a) | 04/19/2038 | 52776248 |
| 7000000 | Progress Residential Trust, Series 2021-SFR5-E1 | 2.21 % (a) | 07/17/2038 | 5845328 |
| 25000000 | Progress Residential Trust, Series 2021-SFR8-E1 | 2.38 % (a) | 10/17/2038 | 20625492 |
| 23900000 | Progress Residential Trust, Series 2021-SFR8-E2 | 2.53 % (a) | 10/17/2038 | 19633597 |
| 19900000 | Progress Residential Trust, Series 2021-SFR8-F | 3.18 % (a) | 10/17/2038 | 16437008 |
| 5500000 | PRPM LLC, Series 2020-4-A2 | 3.44 % (a)(k) | 10/25/2025 | 5318826 |
| 201446734 | PRPM LLC, Series 2021-10-A1 | 2.49 % (a)(k) | 10/25/2026 | 187218692 |
| 107292089 | PRPM LLC, Series 2021-11-A1 | 2.49 % (a)(k) | 11/25/2026 | 96826776 |
| 90463599 | PRPM LLC, Series 2021-2-A1 | 2.12 % (a)(b) | 03/25/2026 | 83720298 |
| 7100000 | PRPM LLC, Series 2021-2-A2 | 3.77 % (a)(b) | 03/25/2026 | 6111914 |
| 54245198 | PRPM LLC, Series 2021-6-A1 | 1.79 % (a)(k) | 07/25/2026 | 49243145 |
| 46032385 | PRPM LLC, Series 2021-7-A1 | 1.87 % (a)(k) | 08/25/2026 | 41957465 |
| 1620065 | RAMP Trust, Series 2004-RS7-A3 | 3.93 % (b) | 07/25/2034 | 1474831 |
| 9510881 | RAMP Trust, Series 2006-RS2-A3A (1 Month LIBOR USD + 0.30%, 0.30% Floor, 14.00% Cap) | 4.99% | 03/25/2036 | 9156409 |
| 13129178 | RAMP Trust, Series 2006-RS3-A4 (1 Month LIBOR USD + 0.30%, 0.30% Floor, 14.00% Cap) | 4.99% | 05/25/2036 | 11864071 |
| 12806831 | RAMP Trust, Series 2006-RS6-A4 (1 Month LIBOR USD + 0.54%, 0.54% Floor) | 4.93% | 11/25/2036 | 10739331 |
| 12833713 | RBSGC Structured Trust, Series 2008-B-A1 | 6.00 % (a) | 06/25/2037 | 10983233 |
| 1765983 | RBSSP Resecuritization Trust, Series 2009-12-17A2 | 3.46 % (a)(b) | 10/25/2035 | 1680075 |
| 14625086 | RBSSP Resecuritization Trust, Series 2009-12-20A2 | 3.51 % (a)(b) | 12/25/2035 | 12038297 |
| 2920974 | RBSSP Resecuritization Trust, Series 2010-4-7A2 | 6.00 % (a) | 07/26/2037 | 1477283 |
| 57188944 | Redwood Funding Trust, Series 2019-1-PT | 4.47 % (a)(k) | 09/27/2024 | 55930210 |
| 5378046 | Renaissance Home Equity Loan Trust, Series 2006-1-AF6 | 5.75 % (k) | 05/25/2036 | 2569421 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 2062139 | Renaissance Home Equity Loan Trust, Series 2006-2-AF5 | 6.25 % (k) | 08/25/2036 | 901290 |
| 17385181 | Renaissance Home Equity Loan Trust, Series 2006-3-AF3 | 5.59 % (k) | 11/25/2036 | 6509624 |
| 18049871 | Renaissance Home Equity Loan Trust, Series 2006-3-AF4 | 5.81 % (k) | 11/25/2036 | 7017512 |
| 2933947 | Renaissance Home Equity Loan Trust, Series 2006-3-AF5 | 6.12 % (k) | 11/25/2036 | 1198114 |
| 10257172 | Renaissance Home Equity Loan Trust, Series 2006-4-AF4 | 5.47 % (k) | 01/25/2037 | 3458509 |
| 20198460 | Renaissance Home Equity Loan Trust, Series 2006-4-AF5 | 5.69 % (k) | 01/25/2037 | 7073032 |
| 8192822 | Renaissance Home Equity Loan Trust, Series 2007-1-AF1 | 5.74 % (k) | 04/25/2037 | 2533316 |
| 5779950 | Renaissance Home Equity Loan Trust, Series 2007-1-AF1Z | 5.35 % (k) | 04/25/2037 | 1687914 |
| 3486895 | Renaissance Home Equity Loan Trust, Series 2007-1-AF2 | 5.51 % (k) | 04/25/2037 | 1036200 |
| 5072268 | Renaissance Home Equity Loan Trust, Series 2007-1-AF3 | 5.61 % (k) | 04/25/2037 | 1533867 |
| 2781357 | Renaissance Home Equity Loan Trust, Series 2007-1-AF4 | 5.76 % (k) | 04/25/2037 | 862797 |
| 8232817 | Renaissance Home Equity Loan Trust, Series 2007-1-AF5 | 5.91 % (k) | 04/25/2037 | 2617783 |
| 17696892 | Renaissance Home Equity Loan Trust, Series 2007-2-AF2 | 5.68 % (k) | 06/25/2037 | 5460597 |
| 22755581 | Renaissance Home Equity Loan Trust, Series 2007-2-AF5 | 6.20 % (k) | 06/25/2037 | 7762447 |
| 942486 | Reperforming Loan REMIC Trust, Series 2004-R2-1AF1 (1 Month LIBOR USD + 0.42%, 0.42% Floor, 9.50% Cap) | 4.54 % (a) | 11/25/2034 | 891050 |
| 917037 | Reperforming Loan REMIC Trust, Series 2004-R2-1AS | 2.15 % (a)(b)(d) | 11/25/2034 | 45271 |
| 290532 | Reperforming Loan REMIC Trust, Series 2005-R1-1AF1 (1 Month LIBOR USD + 0.36%, 0.36% Floor, 9.50% Cap) | 4.75 % (a) | 03/25/2035 | 275355 |
| 288477 | Reperforming Loan REMIC Trust, Series 2005-R1-1AS | 2.21 % (a)(b)(d) | 03/25/2035 | 14786 |
| 15541782 | Residential Accredit Loans, Inc., Series 2005-QA11-4A1 | 4.54 % (b) | 10/25/2035 | 11264270 |
| 8425960 | Residential Accredit Loans, Inc., Series 2005-QA13-2A1 | 4.51 % (b) | 12/25/2035 | 6732660 |
| 6159022 | Residential Accredit Loans, Inc., Series 2005-QA3-CB1 | 3.67 % (b) | 03/25/2035 | 2495527 |
| 202153 | Residential Accredit Loans, Inc., Series 2005-QS12-A11 (-11 x 1 Month LIBOR USD + 51.15%, 0.00% Floor, 51.15% Cap) | 2.87 % (f) | 08/25/2035 | 184073 |
| 788483 | Residential Accredit Loans, Inc., Series 2005-QS13-1A6 | 5.50% | 09/25/2035 | 634436 |
| 1623739 | Residential Accredit Loans, Inc., Series 2005-QS13-2A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.75% Cap) | 5.09% | 09/25/2035 | 1282105 |
| 6657329 | Residential Accredit Loans, Inc., Series 2005-QS13-2A2 (-1 x 1 Month LIBOR USD + 5.05%, 0.00% Floor, 5.05% Cap) | 0.66 % (d)(f) | 09/25/2035 | 218831 |
| 5008180 | Residential Accredit Loans, Inc., Series 2005-QS14-2A1 | 6.00% | 09/25/2035 | 1849269 |
| 1307785 | Residential Accredit Loans, Inc., Series 2005-QS15-2A | 6.00% | 10/25/2035 | 1080006 |
| 1574714 | Residential Accredit Loans, Inc., Series 2005-QS15-3A | 6.00% | 10/25/2035 | 1341551 |
| 1486975 | Residential Accredit Loans, Inc., Series 2005-QS16-A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 5.50% Cap) | 5.09% | 11/25/2035 | 1196394 |
| 1486718 | Residential Accredit Loans, Inc., Series 2005-QS16-A2 (-1 x 1 Month LIBOR USD + 4.80%, 0.00% Floor, 4.80% Cap) | 0.41 % (d)(f) | 11/25/2035 | 41337 |
| 854193 | Residential Accredit Loans, Inc., Series 2005-QS17-A1 | 6.00% | 12/25/2035 | 719885 |
| 883865 | Residential Accredit Loans, Inc., Series 2005-QS17-A10 | 6.00% | 12/25/2035 | 744892 |
| 2475631 | Residential Accredit Loans, Inc., Series 2005-QS17-A11 | 6.00% | 12/25/2035 | 2086378 |
| 1759600 | Residential Accredit Loans, Inc., Series 2005-QS17-A2 (1 Month LIBOR USD + 0.85%, 0.85% Floor, 6.00% Cap) | 5.24% | 12/25/2035 | 1392570 |
| 1759600 | Residential Accredit Loans, Inc., Series 2005-QS17-A4 (-1 x 1 Month LIBOR USD + 5.15%, 0.00% Floor, 5.15% Cap) | 0.76 % (d)(f) | 12/25/2035 | 64832 |
| 1415829 | Residential Accredit Loans, Inc., Series 2005-QS17-A6 | 6.00% | 12/25/2035 | 1193212 |
| 617329 | Residential Accredit Loans, Inc., Series 2005-QS5-A3 | 5.70% | 04/25/2035 | 494378 |
| 2134665 | Residential Accredit Loans, Inc., Series 2006-QS10-A1 | 6.00% | 08/25/2036 | 1785433 |
| 656431 | Residential Accredit Loans, Inc., Series 2006-QS10-A4 | 5.75% | 08/25/2036 | 541353 |
| 4839124 | Residential Accredit Loans, Inc., Series 2006-QS11-1A1 | 6.50% | 08/25/2036 | 3835867 |

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------

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 1124930 | Residential Accredit Loans, Inc., Series 2006-QS12-1A1 | 6.50% | 09/25/2036 | 534332 |
| 1887777 | Residential Accredit Loans, Inc., Series 2006-QS12-2A18 | 5.75% | 09/25/2036 | 1467843 |
| 2980906 | Residential Accredit Loans, Inc., Series 2006-QS14-A18 | 6.25% | 11/25/2036 | 2357338 |
| 1334253 | Residential Accredit Loans, Inc., Series 2006-QS15-A1 | 6.50% | 10/25/2036 | 1120757 |
| 541865 | Residential Accredit Loans, Inc., Series 2006-QS16-A10 | 6.00% | 11/25/2036 | 437665 |
| 1926785 | Residential Accredit Loans, Inc., Series 2006-QS16-A11 | 6.00% | 11/25/2036 | 1560294 |
| 1535830 | Residential Accredit Loans, Inc., Series 2006-QS16-A7 | 6.00% | 11/25/2036 | 1240493 |
| 607794 | Residential Accredit Loans, Inc., Series 2006-QS16-A8 | 6.00% | 11/25/2036 | 490916 |
| 240515 | Residential Accredit Loans, Inc., Series 2006-QS16-A9 | 6.00% | 11/25/2036 | 194265 |
| 1107453 | Residential Accredit Loans, Inc., Series 2006-QS17-A4 | 6.00% | 12/25/2036 | 875489 |
| 6152532 | Residential Accredit Loans, Inc., Series 2006-QS17-A5 | 6.00% | 12/25/2036 | 4863840 |
| 667865 | Residential Accredit Loans, Inc., Series 2006-QS1-A6 (-8 x 1 Month LIBOR USD + 42.86%, 0.00% Floor, 42.86% Cap) | 9.21 % (f) | 01/25/2036 | 642997 |
| 4438649 | Residential Accredit Loans, Inc., Series 2006-QS3-1A11 | 6.00% | 03/25/2036 | 3706945 |
| 1063281 | Residential Accredit Loans, Inc., Series 2006-QS4-A8 (-790 x 1 Month LIBOR USD + 5143.00%, 0.10% Floor, 8.00% Cap) | 8.00 % (f) | 04/25/2036 | 915374 |
| 4205512 | Residential Accredit Loans, Inc., Series 2006-QS4-A9 | 6.00% | 04/25/2036 | 3253556 |
| 2634889 | Residential Accredit Loans, Inc., Series 2006-QS5-A3 | 6.00% | 05/25/2036 | 2110837 |
| 7852960 | Residential Accredit Loans, Inc., Series 2006-QS5-A4 | 6.00% | 05/25/2036 | 6291088 |
| 1344064 | Residential Accredit Loans, Inc., Series 2006-QS6-1A16 | 6.00% | 06/25/2036 | 1086990 |
| 1949945 | Residential Accredit Loans, Inc., Series 2006-QS6-1A2 | 6.00% | 06/25/2036 | 1576987 |
| 3776362 | Residential Accredit Loans, Inc., Series 2006-QS8-A1 | 6.00% | 08/25/2036 | 2960079 |
| 6548763 | Residential Accredit Loans, Inc., Series 2006-QS8-A5 (-1 x 1 Month LIBOR USD + 5.55%, 0.00% Floor, 5.55% Cap) | 1.16 % (d)(f) | 08/25/2036 | 478014 |
| 2433046 | Residential Accredit Loans, Inc., Series 2006-QS9-1A6 (-1 x 1 Month LIBOR USD + 5.30%, 0.00% Floor, 5.30% Cap) | 0.91 % (d)(f) | 07/25/2036 | 128095 |
| 23293063 | Residential Accredit Loans, Inc., Series 2007-QA5-1A1 | 5.54 % (b) | 09/25/2037 | 16187142 |
| 24988482 | Residential Accredit Loans, Inc., Series 2007-QH5-AII (1 Month LIBOR USD + 0.46%, 0.46% Floor) | 4.85% | 06/25/2037 | 9981916 |
| 10119928 | Residential Accredit Loans, Inc., Series 2007-QH7-2A1 (1 Month LIBOR USD + 0.60%, 0.60% Floor) | 4.99% | 08/25/2037 | 8659713 |
| 24116894 | Residential Accredit Loans, Inc., Series 2007-QS10-A1 | 6.50% | 09/25/2037 | 19063572 |
| 2506104 | Residential Accredit Loans, Inc., Series 2007-QS11-A1 | 7.00% | 10/25/2037 | 1924114 |
| 8150944 | Residential Accredit Loans, Inc., Series 2007-QS1-1A2 (-1 x 1 Month LIBOR USD + 5.45%, 0.00% Floor, 5.45% Cap) | 1.06 % (d)(f) | 01/25/2037 | 451005 |
| 820479 | Residential Accredit Loans, Inc., Series 2007-QS1-1A4 | 6.00% | 01/25/2037 | 625305 |
| 1999899 | Residential Accredit Loans, Inc., Series 2007-QS1-2A10 | 6.00% | 01/25/2037 | 1495379 |
| 2756944 | Residential Accredit Loans, Inc., Series 2007-QS2-A6 | 6.25% | 01/25/2037 | 2198050 |
| 13817943 | Residential Accredit Loans, Inc., Series 2007-QS3-A1 | 6.50% | 02/25/2037 | 10915292 |
| 2203357 | Residential Accredit Loans, Inc., Series 2007-QS3-A4 | 6.25% | 02/25/2037 | 1713893 |
| 3607138 | Residential Accredit Loans, Inc., Series 2007-QS4-3A3 | 6.00% | 03/25/2037 | 2978907 |
| 1462084 | Residential Accredit Loans, Inc., Series 2007-QS5-A1 | 5.50% | 03/25/2037 | 1131742 |
| 603169 | Residential Accredit Loans, Inc., Series 2007-QS5-A5 (1 Month LIBOR USD + 0.30%, 0.30% Floor, 7.00% Cap) | 4.69% | 03/25/2037 | 439487 |
| 2003263 | Residential Accredit Loans, Inc., Series 2007-QS5-A8 (-1 x 1 Month LIBOR USD + 6.70%, 0.00% Floor, 6.70% Cap) | 2.31 % (d)(f) | 03/25/2037 | 181639 |
| 1608312 | Residential Accredit Loans, Inc., Series 2007-QS6-A102 | 5.75% | 04/25/2037 | 1246454 |
| 517119 | Residential Accredit Loans, Inc., Series 2007-QS6-A13 (-8 x 1 Month LIBOR USD + 55.00%, 0.00% Floor, 55.00% Cap) | 18.43 % (f) | 04/25/2037 | 534454 |

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------

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 2302976 | Residential Accredit Loans, Inc., Series 2007-QS6-A45 | 5.75% | 04/25/2037 | 1784824 |
| 3670233 | Residential Accredit Loans, Inc., Series 2007-QS6-A6 | 6.25% | 04/25/2037 | 2928765 |
| 253491 | Residential Accredit Loans, Inc., Series 2007-QS6-A77 (-8 x 1 Month LIBOR USD + 55.83%, 0.00% Floor, 55.83% Cap) | 19.26 % (f) | 04/25/2037 | 268030 |
| 5415303 | Residential Accredit Loans, Inc., Series 2007-QS7-2A1 | 6.75% | 06/25/2037 | 2283150 |
| 14268127 | Residential Accredit Loans, Inc., Series 2007-QS9-A33 | 6.50% | 07/25/2037 | 11425504 |
| 3860296 | Residential Asset Securities Corporation, Series 2005-KS4-M5 (1 Month LIBOR USD + 1.20%, 1.80% Floor) | 6.19% | 05/25/2035 | 3613342 |
| 8561086 | Residential Asset Securities Corporation, Series 2007-EMX1-A13 (1 Month LIBOR USD + 0.20%, 0.20% Floor, 14.00% Cap) | 4.59% | 01/25/2037 | 8360496 |
| 4544457 | Residential Asset Securitization Trust, Series 2005-A11-2A4 | 6.00% | 10/25/2035 | 2390792 |
| 1543098 | Residential Asset Securitization Trust, Series 2005-A12-A7 (-1 x 1 Month LIBOR USD + 5.00%, 0.00% Floor, 5.00% Cap) | 0.61 % (d)(f) | 11/25/2035 | 90884 |
| 1569341 | Residential Asset Securitization Trust, Series 2005-A12-A8 (1 Month LIBOR USD + 0.55%, 0.55% Floor, 5.50% Cap) | 4.94% | 11/25/2035 | 739137 |
| 1732024 | Residential Asset Securitization Trust, Series 2005-A15-1A7 | 6.00% | 02/25/2036 | 1592687 |
| 6965603 | Residential Asset Securitization Trust, Series 2005-A15-5A3 | 5.75% | 02/25/2036 | 2711007 |
| 7075052 | Residential Asset Securitization Trust, Series 2005-A16-A1 | 5.00% | 02/25/2036 | 2890713 |
| 2971414 | Residential Asset Securitization Trust, Series 2005-A8CB-A11 | 6.00% | 07/25/2035 | 1919300 |
| 3003788 | Residential Asset Securitization Trust, Series 2005-A8CB-A2 (-1 x 1 Month LIBOR USD + 5.00%, 0.00% Floor, 5.00% Cap) | 0.61 % (d)(f) | 07/25/2035 | 137302 |
| 4909525 | Residential Asset Securitization Trust, Series 2006-A10-A5 | 6.50% | 09/25/2036 | 1898795 |
| 647090 | Residential Asset Securitization Trust, Series 2006-A1-1A3 | 6.00% | 04/25/2036 | 314279 |
| 6980990 | Residential Asset Securitization Trust, Series 2006-A12-A1 | 6.25% | 11/25/2036 | 2769792 |
| 7270120 | Residential Asset Securitization Trust, Series 2006-A13-A1 | 6.25% | 12/25/2036 | 2766589 |
| 10289850 | Residential Asset Securitization Trust, Series 2006-A1-3A2 | 6.00% | 04/25/2036 | 5060863 |
| 14017479 | Residential Asset Securitization Trust, Series 2006-A14C-2A6 (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) | 4.84% | 12/25/2036 | 2770507 |
| 30934473 | Residential Asset Securitization Trust, Series 2006-A14C-2A7 (-1 x 1 Month LIBOR USD + 6.55%, 0.00% Floor, 6.55% Cap) | 2.16 % (d)(f) | 12/25/2036 | 4965620 |
| 5462973 | Residential Asset Securitization Trust, Series 2006-A2-A11 | 6.00% | 01/25/2046 | 2360321 |
| 3803897 | Residential Asset Securitization Trust, Series 2006-A2-A4 | 6.00% | 01/25/2046 | 1635845 |
| 3161396 | Residential Asset Securitization Trust, Series 2006-A2-A9 | 6.00% | 01/25/2046 | 1359542 |
| 2269459 | Residential Asset Securitization Trust, Series 2006-A8-1A1 | 6.00% | 08/25/2036 | 1493291 |
| 4547655 | Residential Asset Securitization Trust, Series 2006-R1-A1 (-4 x 1 Month LIBOR USD + 28.40%, 0.00% Floor, 28.40% Cap) | 10.85 % (c)(f) | 01/25/2046 | 5363413 |
| 19261945 | Residential Asset Securitization Trust, Series 2007-A2-1A2 | 6.00% | 04/25/2037 | 11140980 |
| 722570 | Residential Asset Securitization Trust, Series 2007-A3-1A2 (-8 x 1 Month LIBOR USD + 46.38%, 0.00% Floor, 46.38% Cap) | 12.74 % (f) | 04/25/2037 | 846267 |
| 22787711 | Residential Asset Securitization Trust, Series 2007-A5-1A4 (-1 x 1 Month LIBOR USD + 6.10%, 0.00% Floor, 6.10% Cap) | 1.71 % (d)(f) | 05/25/2037 | 1330784 |
| 5860164 | Residential Asset Securitization Trust, Series 2007-A5-1A6 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 6.50% Cap) | 4.79% | 05/25/2037 | 481813 |
| 4164429 | Residential Asset Securitization Trust, Series 2007-A5-2A3 | 6.00% | 05/25/2037 | 2419828 |
| 1825057 | Residential Asset Securitization Trust, Series 2007-A5-2A5 | 6.00% | 05/25/2037 | 1060487 |
| 7626110 | Residential Asset Securitization Trust, Series 2007-A6-1A2 | 6.00% | 06/25/2037 | 4564666 |
| 7740930 | Residential Asset Securitization Trust, Series 2007-A7-A1 | 6.00% | 07/25/2037 | 3128781 |
| 34049582 | Residential Asset Securitization Trust, Series 2007-A7-A2 | 6.00% | 07/25/2037 | 13762388 |
| 15086651 | Residential Asset Securitization Trust, Series 2007-A7-A6 | 6.00% | 07/25/2037 | 6097824 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3883156 | Residential Funding Mortgage Securities Trust, Series 2006-S10-1A1 | 6.00% | 10/25/2036 | 3091510 |
| 1196424 | Residential Funding Mortgage Securities Trust, Series 2006-S5-A12 | 6.00% | 06/25/2036 | 997014 |
| 81912 | Residential Funding Mortgage Securities Trust, Series 2006-S5-A15 | 6.00% | 06/25/2036 | 68260 |
| 2435481 | Residential Funding Mortgage Securities Trust, Series 2006-S9-A1 | 6.25% | 09/25/2036 | 1946576 |
| 2936824 | Residential Funding Mortgage Securities Trust, Series 2007-S1-A7 | 6.00% | 01/25/2037 | 2347354 |
| 1474090 | Residential Funding Mortgage Securities Trust, Series 2007-S2-A1 | 6.00% | 02/25/2037 | 1164847 |
| 1660725 | Residential Funding Mortgage Securities Trust, Series 2007-S2-A4 | 6.00% | 02/25/2037 | 1312329 |
| 3100383 | Residential Funding Mortgage Securities Trust, Series 2007-S2-A5 | 6.00% | 02/25/2037 | 2449967 |
| 484487 | Residential Funding Mortgage Securities Trust, Series 2007-S2-A9 | 6.00% | 02/25/2037 | 382848 |
| 1647529 | Residential Funding Mortgage Securities Trust, Series 2007-S3-1A4 | 6.00% | 03/25/2037 | 1169051 |
| 1558604 | Residential Funding Mortgage Securities Trust, Series 2007-S4-A1 | 6.00% | 04/25/2037 | 1187530 |
| 872864 | Residential Funding Mortgage Securities Trust, Series 2007-S4-A2 | 6.00% | 04/25/2037 | 665049 |
| 11178860 | Residential Funding Mortgage Securities Trust, Series 2007-S5-A1 | 6.00% | 05/25/2037 | 9124143 |
| 3239678 | Residential Funding Mortgage Securities Trust, Series 2007-S5-A8 | 6.00% | 05/25/2037 | 2645125 |
| 1339355 | Residential Funding Mortgage Securities Trust, Series 2007-S6-2A4 | 6.00% | 06/25/2037 | 992217 |
| 8443959 | Residential Funding Mortgage Securities Trust, Series 2007-S7-A20 | 6.00% | 07/25/2037 | 6462073 |
| 4220387 | Residential Funding Mortgage Securities Trust, Series 2007-S8-1A1 | 6.00% | 09/25/2037 | 2935417 |
| 333942 | Residential Funding Mortgage Securities Trust, Series<br>2007-SA1-4A | 4.51 % (b) | 02/25/2037 | 317853 |
| 2800269 | Residential Funding Mortgage Securities Trust, Series<br>2007-SA2-2A1 | 3.73 % (b) | 04/25/2037 | 2176512 |
| 6300000 | Residential Mortgage Loan Trust, Series 2020-2-M1 | 3.57 % (a)(b) | 05/25/2060 | 5274620 |
| 38115744 | RSFR, Series 2020-1-PT | 4.21 % (a)(k) | 02/17/2025 | 33651171 |
| 68994994 | RSFR, Series 2021-1-PT | 4.75 % (a)(k) | 06/19/2026 | 58790428 |
| 3684699 | Securitized Asset Backed Receivables LLC Trust, Series<br>2006-NC3-A2B (1 Month LIBOR USD + 0.30%, 0.30% Floor) | 4.69% | 09/25/2036 | 1374103 |
| 5781215 | Securitized Asset Backed Receivables LLC Trust, Series<br>2007-BR3-A2A (1 Month LIBOR USD + 0.07%, 0.07% Floor) | 4.46% | 04/25/2037 | 3879299 |
| 5650235 | Securitized Asset Backed Receivables LLC Trust, Series<br>2007-BR3-A2B (1 Month LIBOR USD + 0.22%, 0.22% Floor) | 4.61% | 04/25/2037 | 3791338 |
| 15417532 | Securitized Asset Backed Receivables LLC Trust, Series<br>2007-BR4-A2B (1 Month LIBOR USD + 0.20%, 0.20% Floor) | 4.59% | 05/25/2037 | 9407855 |
| 198729699 | Securitized Mortgage Asset Loan Trust, Series 2015-1-PC | 2.32 % (a)(b) | 02/25/2054 | 170089351 |
| 69273 | Sequoia Mortgage Trust, Series 2003-4-2A1 (1 Month LIBOR USD + 0.70%, 0.70% Floor, 11.50% Cap) | 5.05% | 07/20/2033 | 63116 |
| 4706247 | SG Mortgage Securities Trust, Series 2006-FRE1-A1A (1 Month LIBOR USD + 0.34%, 0.34% Floor) | 4.73% | 02/25/2036 | 4582941 |
| 2511852 | SG Mortgage Securities Trust, Series 2006-FRE1-A2C (1 Month LIBOR USD + 0.54%, 0.54% Floor) | 4.93% | 02/25/2036 | 1485868 |
| 11174023 | Soundview Home Loan Trust, Series 2007-NS1-M1 (1 Month LIBOR USD + 0.35%, 0.35% Floor) | 4.74% | 01/25/2037 | 9914590 |
| 3477034 | Soundview Home Loan Trust, Series 2007-OPT1-2A2 (1 Month LIBOR USD + 0.15%, 0.15% Floor) | 4.54% | 06/25/2037 | 2490673 |
| 6226897 | Soundview Home Loan Trust, Series 2007-OPT3-1A1 (1 Month LIBOR USD + 0.17%, 0.17% Floor) | 4.56% | 08/25/2037 | 5351458 |
| 19197224 | Soundview Home Loan Trust, Series 2007-OPT4-1A1 (1 Month LIBOR USD + 1.00%, 1.00% Floor) | 5.39% | 09/25/2037 | 13433482 |
| 43017881 | Soundview Home Loan Trust, Series 2007-WM1W-2A1 (1 Month LIBOR USD + 0.18%, 0.18% Floor) | 3.88 % (c) | 02/25/2037 | 33347475 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3961580 | Specialty Underwriting & Residential Finance Trust, Series<br>2006-BC2-A2B | 3.59% | 02/25/2037 | 1582555 |
| 13857170 | Specialty Underwriting & Residential Finance Trust, Series<br>2007-AB1-A2C (1 Month LIBOR USD + 0.25%, 0.25% Floor) | 4.64% | 03/25/2037 | 8342116 |
| 9826000 | Spruce Hill Mortgage Loan Trust, Series 2020-SH1-M1 | 3.22 % (a)(b) | 01/28/2050 | 9246912 |
| 3696647 | STARM Mortgage Loan Trust, Series 2007-2-1A1 | 2.26 % (b) | 04/25/2037 | 1671016 |
| 1494003 | STARM Mortgage Loan Trust, Series 2007-3-1A1 | 3.10 % (b) | 06/25/2037 | 1025919 |
| 6329000 | Starwood Mortgage Residential Trust, Series 2021-1-B2 | 4.52 % (a)(b) | 05/25/2065 | 4477682 |
| 5000000 | Starwood Mortgage Residential Trust, Series 2021-2-B1 | 2.75 % (a)(b) | 05/25/2065 | 3429783 |
| 7110000 | Starwood Mortgage Residential Trust, Series 2021-2-B2 | 3.00 % (a)(b) | 05/25/2065 | 4351236 |
| 9103000 | Starwood Mortgage Residential Trust, Series 2021-5-M1 | 3.25 % (a)(b) | 09/25/2066 | 5520377 |
| 98208 | Structured Adjustable Rate Mortgage Loan Trust, Series<br>2004-12-8A | 4.21 % (b) | 09/25/2034 | 97702 |
| 1372006 | Structured Adjustable Rate Mortgage Loan Trust, Series<br>2005-22-4A1 | 4.26 % (b) | 12/25/2035 | 1214690 |
| 2413055 | Structured Adjustable Rate Mortgage Loan Trust, Series<br>2006-12-2A1 | 4.15 % (b) | 01/25/2037 | 1860000 |
| 7444087 | Structured Adjustable Rate Mortgage Loan Trust, Series<br>2006-1-8A1 | 3.72 % (b) | 02/25/2036 | 4623921 |
| 1944960 | Structured Adjustable Rate Mortgage Loan Trust, Series<br>2006-8-4A4 | 3.94 % (b) | 09/25/2036 | 1769240 |
| 7679580 | Structured Adjustable Rate Mortgage Loan Trust, Series<br>2007-7-1A1 (1 Month LIBOR USD + 0.60%, 0.60% Floor) | 4.99% | 08/25/2037 | 6404164 |
| 74701567 | Structured Asset Investment Loan Trust, Series 2006-3-A1 (1 Month LIBOR USD + 0.16%, 0.16% Floor) | 4.55% | 06/25/2036 | 49452116 |
| 8407948 | Structured Asset Investment Loan Trust, Series 2006-4-A1 (1 Month LIBOR USD + 0.17%, 0.17% Floor) | 4.56% | 07/25/2036 | 4987658 |
| 20800000 | Structured Asset Investment Loan Trust, Series 2006-4-A5 (1 Month LIBOR USD + 0.31%, 0.31% Floor) | 4.70% | 07/25/2036 | 6878121 |
| 9109086 | Structured Asset Mortgage Investments Trust, Series 2006-AR3-12A2 (1 Month LIBOR USD + 0.40%, 0.40% Floor, 10.50% Cap) | 4.79% | 05/25/2036 | 6969643 |
| 826311 | Structured Asset Securities Corporation, Series 2003-24A-1A3 | 3.94 % (b) | 07/25/2033 | 798313 |
| 8618574 | Structured Asset Securities Corporation, Series 2005-5-3A1 | 6.00% | 04/25/2035 | 4911474 |
| 69010245 | Structured Asset Securities Corporation, Series 2006-BC4-A1 (1 Month LIBOR USD + 0.32%, 0.32% Floor) | 4.71% | 12/25/2036 | 42465951 |
| 13355091 | Structured Asset Securities Corporation, Series 2006-BC4-A4 (1 Month LIBOR USD + 0.34%, 0.34% Floor) | 4.73% | 12/25/2036 | 12965167 |
| 53669027 | Structured Asset Securities Corporation, Series 2007-4-1A3 (-1 x 1 Month LIBOR USD + 6.25%, 0.00% Floor, 6.25% Cap) | 1.86 % (a)(c)(d)(f) | 03/28/2045 | 3282752 |
| 20127500 | Structured Asset Securities Corporation, Series 2007-BC4-M1 (1 Month LIBOR USD + 0.50%, 0.50% Floor) | 4.89% | 11/25/2037 | 14682015 |
| 13751766 | Structured Asset Securities Corporation, Series 2007-MN1A-A4 (1 Month LIBOR USD + 0.24%, 0.24% Floor) | 4.63 % (a) | 01/25/2037 | 8834921 |
| 16124349 | Structured Asset Securities Corporation, Series 2007-RF1-1A (1 Month LIBOR USD + 0.19%, 0.19% Floor) | 4.58 % (a) | 03/25/2037 | 13207771 |
| 234808 | SunTrust Alternative Loan Trust, Series 2005-1F-2A3 | 5.75% | 12/25/2035 | 206436 |
| 455749 | SunTrust Alternative Loan Trust, Series 2006-1F-1A3 | 6.00% | 04/25/2036 | 221816 |
| 11080773 | Terwin Mortgage Trust, Series 2006-7-2A3 (1 Month LIBOR USD + 0.54%, 0.54% Floor) | 4.93 % (a) | 08/25/2037 | 5288729 |
| 157445 | Thornburg Mortgage Securities Trust, Series 2003-6-A2 (1 Month LIBOR USD + 1.00%, 1.00% Floor, 11.50% Cap) | 5.02% | 12/25/2033 | 147623 |
| 3101848 | Thornburg Mortgage Securities Trust, Series 2004-4-5A | 2.62 % (b) | 12/25/2044 | 2607686 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 4355704 | Thornburg Mortgage Securities Trust, Series 2007-1-A1 (12 Month LIBOR USD + 1.30%, 0.11% Floor, 10.75% Cap) | 6.72% | 03/25/2037 | 3932732 |
| 1599642 | Thornburg Mortgage Securities Trust, Series 2007-1-A2A (12 Month LIBOR USD + 1.30%, 0.11% Floor, 10.75% Cap) | 6.72% | 03/25/2037 | 1350620 |
| 4100000 | Toorak Mortgage Corporation Ltd., Series 2020-1-A2 | 3.23 % (a)(k) | 03/25/2023 | 3905032 |
| 30000000 | Toorak Mortgage Corporation Ltd., Series 2021-1-A1 | 2.24 % (a)(k) | 06/25/2024 | 28498812 |
| 5000000 | Tricon American Homes Trust, Series 2019-SFR1-E | 3.40 % (a) | 03/17/2038 | 4477526 |
| 8900000 | Tricon American Homes Trust, Series 2020-SFR1-D | 2.55 % (a) | 07/17/2038 | 7736074 |
| 1600000 | Tricon American Homes Trust, Series 2020-SFR1-E | 3.54 % (a) | 07/17/2038 | 1422083 |
| 16000000 | Tricon Residential Trust, Series 2021-SFR1-B | 2.24 % (a) | 07/17/2038 | 13822954 |
| 13250000 | Tricon Residential Trust, Series 2021-SFR1-C | 2.34 % (a) | 07/17/2038 | 11396582 |
| 5250000 | Tricon Residential Trust, Series 2021-SFR1-D | 2.59 % (a) | 07/17/2038 | 4477123 |
| 10000000 | Tricon Residential Trust, Series 2021-SFR1-E2 | 2.89 % (a) | 07/17/2038 | 8365228 |
| 11300000 | Tricon Residential Trust, Series 2021-SFR1-F | 3.69 % (a) | 07/17/2038 | 9590655 |
| 6089893 | TVC Mortgage Trust, Series 2020-RTL1-A1 | 3.47 % (a) | 09/25/2024 | 6075379 |
| 5115756 | VCAT LLC, Series 2021-NPL3-A1 | 1.74 % (a)(k) | 05/25/2051 | 4457103 |
| 23382684 | VCAT LLC, Series 2021-NPL4-A1 | 1.87 % (a)(k) | 08/25/2051 | 21286424 |
| 36746899 | VCAT LLC, Series 2021-NPL5-A1 | 1.87 % (a)(k) | 08/25/2051 | 32385016 |
| 15706957 | VCAT LLC, Series 2021-NPL6-A1 | 1.92 % (a)(k) | 09/25/2051 | 13756412 |
| 9178810 | Velocity Commercial Capital Loan Trust, Series 2017-2-AFX | 3.07 % (a)(b) | 11/25/2047 | 8569414 |
| 11042980 | Velocity Commercial Capital Loan Trust, Series 2018-2-A | 4.05 % (a)(b) | 10/26/2048 | 10592448 |
| 29125502 | Velocity Commercial Capital Loan Trust, Series 2019-1-A | 3.76 % (a)(b) | 03/25/2049 | 27198317 |
| 2851597 | Velocity Commercial Capital Loan Trust, Series 2019-1-M4 | 4.61 % (a)(b) | 03/25/2049 | 2315453 |
| 10697436 | Velocity Commercial Capital Loan Trust, Series 2019-2-A | 3.13 % (a)(b) | 07/25/2049 | 10098682 |
| 3913594 | Velocity Commercial Capital Loan Trust, Series 2019-2-M1 | 3.26 % (a)(b) | 07/25/2049 | 3543377 |
| 2497239 | Velocity Commercial Capital Loan Trust, Series 2020-1-M4 | 3.54 % (a)(b) | 02/25/2050 | 2036795 |
| 6100000 | Verus Securitization Trust, Series 2021-3-M1 | 2.40 % (a)(b) | 06/25/2066 | 3782343 |
| 4588000 | Verus Securitization Trust, Series 2021-4-B1 | 3.05 % (a)(b) | 07/25/2066 | 2461731 |
| 2300000 | Verus Securitization Trust, Series 2021-4-B2 | 3.81 % (a)(b) | 07/25/2066 | 1220129 |
| 2500000 | Verus Securitization Trust, Series 2021-4-M1 | 2.20 % (a)(b) | 07/25/2066 | 1384633 |
| 6651000 | Verus Securitization Trust, Series 2021-5-B1 | 3.04 % (a)(b) | 09/25/2066 | 3463729 |
| 9255000 | Verus Securitization Trust, Series 2021-5-M1 | 2.33 % (a)(b) | 09/25/2066 | 5067262 |
| 17089455 | VOLT LLC, Series 2021-CF1-A1 | 1.99 % (a)(k) | 08/25/2051 | 15362981 |
| 13516825 | VOLT LLC, Series 2021-CF2-A1 | 2.49 % (a)(k) | 11/27/2051 | 11936404 |
| 25398649 | VOLT LLC, Series 2021-NPL1-A1 | 1.89 % (a)(k) | 02/27/2051 | 22051152 |
| 7926061 | VOLT LLC, Series 2021-NPL2-A1 | 1.89 % (a)(k) | 02/27/2051 | 7169822 |
| 67963110 | VOLT LLC, Series 2021-NPL3-A1 | 2.24 % (a)(k) | 02/27/2051 | 61774872 |
| 9458088 | VOLT LLC, Series 2021-NPL5-A1 | 2.12 % (a)(k) | 03/27/2051 | 8620705 |
| 29414656 | VOLT LLC, Series 2021-NPL6-A1 | 2.24 % (a)(k) | 04/25/2051 | 26025576 |
| 2184759 | VOLT LLC, Series 2021-NPL9-A1 | 1.99 % (a)(k) | 05/25/2051 | 1961752 |
| 6380460 | Voyager Trust, Series 2009-1-SAC3 | 18.69 % (a)(b) | 02/25/2038 | 4603284 |
| 1255196 | Washington Mutual Asset-Backed Certificates Trust, Series 2006-HE2-A4 (1 Month LIBOR USD + 0.48%, 0.48% Floor) | 4.87% | 05/25/2036 | 971332 |
| 19592965 | Washington Mutual Asset-Backed Certificates Trust, Series 2007-HE2-2A2 (1 Month LIBOR USD + 0.22%, 0.22% Floor) | 4.61% | 02/25/2037 | 6592992 |
| 3896572 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-1-2A | 6.00% | 03/25/2035 | 3182738 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 1075651 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-4-5A1 | 5.50% | 06/25/2035 | 900623 |
| 423713 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-5-CB12 (-11 x 1 Month LIBOR USD + 50.60%, 0.00% Floor, 50.60% Cap) | 2.32 % (f) | 07/25/2035 | 392174 |
| 1372088 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-5-CB6 (1 Month LIBOR USD + 0.60%, 0.60% Floor, 7.50% Cap) | 4.99% | 07/25/2035 | 1238071 |
| 311631 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-6-2A7 | 5.50% | 08/25/2035 | 261938 |
| 4126792 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-7-2CB6 (1 Month LIBOR USD + 1.45%, 1.45% Floor, 6.00% Cap) | 5.84% | 08/25/2035 | 3955006 |
| 375163 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-7-2CB7 (-11 x 1 Month LIBOR USD + 50.05%, 0.00% Floor, 50.05% Cap) | 1.77 % (f) | 08/25/2035 | 343902 |
| 2312099 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-7-3CB | 6.50% | 08/25/2035 | 1821236 |
| 5211207 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-8-1A2 | 5.50% | 10/25/2035 | 4826054 |
| 4590284 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9-2A2 | 5.50% | 11/25/2035 | 4105809 |
| 1244661 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-9-CX | 5.50 % (d) | 11/25/2035 | 219624 |
| 4854705 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2005-AR19-B1 (1 Month LIBOR USD + 1.05%, 1.05% Floor, 10.50% Cap) | 5.44% | 12/25/2045 | 4084047 |
| 4424315 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-1-2CB1 | 7.00% | 02/25/2036 | 3308415 |
| 1548492 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-1-3A1 | 5.75% | 02/25/2036 | 1353141 |
| 782769 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-1-3A2 | 5.75% | 02/25/2036 | 701415 |
| 665234 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-1-3A7 | 5.75% | 02/25/2036 | 596487 |
| 2052545 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-3-3CB4 | 6.00% | 04/25/2036 | 1734027 |
| 1181527 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-5-1A8 | 5.75% | 07/25/2036 | 846015 |
| 2603785 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-5-2CB1 | 6.00% | 07/25/2036 | 1784939 |
| 4729569 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-5-2CB6 | 6.00% | 07/25/2036 | 3242200 |
| 13303337 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-5-3A3 | 6.72% | 07/25/2036 | 3389418 |
| 5543825 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-5-3A5 | 6.95% | 07/25/2036 | 1411432 |
| 7933044 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-8-A4 | 4.17% | 10/25/2036 | 2926862 |
| 2900814 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-9-A7 | 4.28% | 10/25/2036 | 935808 |
| 6184678 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR10-1A1 | 3.74 % (b) | 09/25/2036 | 5581275 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3932931 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR10-A1 (1 Month LIBOR USD + 0.20%, 0.20% Floor) | 4.59% | 12/25/2036 | 1961009 |
| 6004512 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR15-1A (12 Month US Treasury Average + 0.84%, 0.84% Floor) | 2.89% | 11/25/2046 | 5127983 |
| 5839969 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR4-2A (12 Month US Treasury Average + 0.95%, 0.95% Floor) | 3.00% | 06/25/2046 | 4262615 |
| 5018855 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR5-4A (12 Month US Treasury Average + 0.99%, 0.99% Floor) | 3.04% | 06/25/2046 | 3875912 |
| 3414280 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR5-A12B (12 Month US Treasury Average + 0.98%, 0.98% Floor) | 3.03% | 06/25/2046 | 3058002 |
| 484222 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-AR6-2A3 | 3.56 % (b) | 08/25/2036 | 406545 |
| 7542416 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-2-1A6 | 6.00% | 04/25/2037 | 6046348 |
| 2483465 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-3-A2 | 6.00% | 04/25/2037 | 2122958 |
| 3426719 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-3-A3 | 6.00% | 04/25/2037 | 2929018 |
| 2409004 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-4-1A1 | 5.50% | 06/25/2037 | 2196550 |
| 170347 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-5-A11 (-6 x 1 Month LIBOR USD + 39.48%, 0.00% Floor, 39.48% Cap) | 13.15 % (f) | 06/25/2037 | 205722 |
| 4258677 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-5-A6 | 6.00% | 06/25/2037 | 4128130 |
| 8004950 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HE1-2A2 (1 Month LIBOR USD + 0.11%, 0.11% Floor) | 4.50% | 01/25/2037 | 3669344 |
| 15099094 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HE4-1A (1 Month LIBOR USD + 0.17%, 0.17% Floor) | 4.56% | 07/25/2047 | 10836294 |
| 5033355 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY3-4A1 | 3.29 % (b) | 03/25/2037 | 4543066 |
| 7851105 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-HY5-1A1 | 2.98 % (b) | 05/25/2037 | 6692297 |
| 5858508 | Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2007-OC1-A2 (1 Month LIBOR USD + 0.24%, 0.24% Floor) | 4.63% | 01/25/2047 | 5102920 |
| 538364 | Wells Fargo Alternative Loan Trust, Series 2007-PA1-A10 | 6.00% | 03/25/2037 | 461394 |
| 2363837 | Wells Fargo Alternative Loan Trust, Series 2007-PA1-A3 | 6.00% | 03/25/2037 | 2025881 |
| 2038144 | Wells Fargo Alternative Loan Trust, Series 2007-PA1-A5 | 6.00% | 03/25/2037 | 1746752 |
| 3340416 | Wells Fargo Alternative Loan Trust, Series 2007-PA1-A6 | 6.00% | 03/25/2037 | 2862840 |
| 13469219 | Wells Fargo Alternative Loan Trust, Series 2007-PA2-1A1 | 6.00% | 06/25/2037 | 11922997 |
| 2287348 | Wells Fargo Alternative Loan Trust, Series 2007-PA2-3A1 (1 Month LIBOR USD + 0.35%, 0.35% Floor, 7.00% Cap) | 4.74% | 06/25/2037 | 1623993 |
| 3369618 | Wells Fargo Alternative Loan Trust, Series 2007-PA2-3A2<br>(-1 x 1 Month LIBOR USD + 6.65%, 0.00% Floor, 6.65% Cap) | 2.26 % (d)(f) | 06/25/2037 | 198076 |
| 271100 | Wells Fargo Alternative Loan Trust, Series 2007-PA3-1A4 | 5.75% | 07/25/2037 | 216727 |
| 4490758 | Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A1 | 6.00% | 07/25/2037 | 3779415 |
| 1784207 | Wells Fargo Alternative Loan Trust, Series 2007-PA3-2A4 | 6.00% | 07/25/2037 | 1501586 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3173278 | Wells Fargo Alternative Loan Trust, Series 2007-PA3-3A1 | 6.25% | 07/25/2037 | 2657176 |
| 24615304 | Wells Fargo Alternative Loan Trust, Series 2007-PA5-1A1 | 6.25% | 11/25/2037 | 20800742 |
| 4897296 | Wells Fargo Alternative Loan Trust, Series 2007-PA6-A1 | 4.80 % (b) | 12/28/2037 | 4450089 |
| 1688649 | Wells Fargo Mortgage Backed Securities Trust, Series<br>2006-AR12-1A1 | 4.09 % (b) | 09/25/2036 | 1507321 |
| 831752 | Wells Fargo Mortgage Backed Securities Trust, Series<br>2006-AR13-A2 | 4.20 % (b) | 09/25/2036 | 770979 |
| 869904 | Wells Fargo Mortgage Backed Securities Trust, Series<br>2006-AR4-2A1 | 2.88 % (b) | 04/25/2036 | 812205 |
| 1295851 | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A1 | 6.00% | 06/25/2037 | 1087771 |
| 90124 | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A32 | 5.75% | 06/25/2037 | 75093 |
| 2918161 | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A34 | 6.00% | 06/25/2037 | 2458854 |
| 790380 | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A36 | 6.00% | 06/25/2037 | 663450 |
| 268796 | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A43 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap) | 4.89% | 06/25/2037 | 216636 |
| 734344 | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A49 | 6.00% | 06/25/2037 | 618761 |
| 310883 | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A8 (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap) | 4.89% | 06/25/2037 | 250556 |
| 140245 | Wells Fargo Mortgage Backed Securities Trust, Series 2007-7-A9 (-6 x 1 Month LIBOR USD + 39.00%, 0.00% Floor, 39.00% Cap) | 12.67 % (f) | 06/25/2037 | 153079 |
| 11519266 | Wells Fargo Mortgage Backed Securities Trust, Series<br>2007-AR9-A1 | 4.50 % (b) | 12/28/2037 | 9997366 |
|  **Total Non-Agency Residential Collateralized Mortgage Obligations** (Cost $11,384,249,072) | **Total Non-Agency Residential Collateralized Mortgage Obligations** (Cost $11,384,249,072) | **Total Non-Agency Residential Collateralized Mortgage Obligations** (Cost $11,384,249,072) | **Total Non-Agency Residential Collateralized Mortgage Obligations** (Cost $11,384,249,072) | 9182566822 |
|  **US Government and Agency Mortgage Backed Obligations - 44.7%** | **US Government and Agency Mortgage Backed Obligations - 44.7%** | **US Government and Agency Mortgage Backed Obligations - 44.7%** | **US Government and Agency Mortgage Backed Obligations - 44.7%** | **US Government and Agency Mortgage Backed Obligations - 44.7%** |
| 2142906 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool C03490 | 4.50% | 08/01/2040 | 2128731 |
| 16184195 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool C91388 | 3.50% | 02/01/2032 | 15705045 |
| 8297473 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool C91403 | 3.50% | 03/01/2032 | 8051769 |
| 8384222 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool C91413 | 3.50% | 12/01/2031 | 8136017 |
| 4277014 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool C91417 | 3.50% | 01/01/2032 | 4150388 |
| 17114742 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool C91447 | 3.50% | 05/01/2032 | 16607849 |
| 21195784 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool C91594 | 3.00% | 01/01/2033 | 19972003 |
| 6416351 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool C91596 | 3.00% | 02/01/2033 | 6045854 |
| 3038351 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool D98901 | 3.50% | 01/01/2032 | 2948401 |
| 6870956 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool D98923 | 3.50% | 01/01/2032 | 6667545 |
| 8364373 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool D99724 | 3.00% | 11/01/2032 | 7881513 |
| 7390555 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G01840 | 5.00% | 07/01/2035 | 7562676 |
| 1468652 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G04817 | 5.00% | 09/01/2038 | 1500210 |
| 5757310 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G07801 | 4.00% | 10/01/2044 | 5526191 |
| 12235711 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G07862 | 4.00% | 01/01/2044 | 11744575 |
| 13363255 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G07905 | 4.00% | 01/01/2042 | 12860234 |
| 26707287 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08534 | 3.00% | 06/01/2043 | 24356113 |
| 8672811 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08537 | 3.00% | 07/01/2043 | 7909294 |
| 15981369 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08614 | 3.00% | 11/01/2044 | 14453549 |
| 18160772 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08619 | 3.00% | 12/01/2044 | 16409548 |
| 23640674 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08622 | 3.00% | 01/01/2045 | 21351235 |
| 44999682 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08626 | 3.00% | 02/01/2045 | 40660450 |
| 22550803 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08631 | 3.00% | 03/01/2045 | 20348314 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 63745505 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08635 | 3.00% | 04/01/2045 | 57493241 |
| 19052584 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08640 | 3.00% | 05/01/2045 | 17175979 |
| 102033526 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08648 | 3.00% | 06/01/2045 | 91941394 |
| 19477068 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08653 | 3.00% | 07/01/2045 | 17534433 |
| 11344929 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08658 | 3.00% | 08/01/2045 | 10213373 |
| 12803841 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08670 | 3.00% | 10/01/2045 | 11519450 |
| 150493778 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08675 | 3.00% | 11/01/2045 | 135397447 |
| 62046161 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08680 | 3.00% | 12/01/2045 | 55793138 |
| 26281615 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08686 | 3.00% | 01/01/2046 | 23633620 |
| 58489698 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08692 | 3.00% | 02/01/2046 | 52596469 |
| 18439045 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08705 | 3.00% | 05/01/2046 | 16563965 |
| 21330790 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08715 | 3.00% | 08/01/2046 | 19148355 |
| 1132352 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G08800 | 3.50% | 02/01/2048 | 1050805 |
| 12907197 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G16072 | 3.00% | 02/01/2032 | 12359902 |
| 25281740 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G60251 | 3.50% | 10/01/2045 | 23568704 |
| 66754970 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool G60393 | 3.50% | 01/01/2046 | 62191806 |
| 10321781 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool J22834 | 2.50% | 03/01/2028 | 9840543 |
| 23224902 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Q13637 | 3.00% | 11/01/2042 | 21180853 |
| 23345297 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Q13638 | 3.00% | 11/01/2042 | 21290605 |
| 40507481 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Q16672 | 3.00% | 03/01/2043 | 36941578 |
| 2663112 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Q23595 | 4.00% | 12/01/2043 | 2571454 |
| 3172594 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Q24052 | 4.00% | 01/01/2044 | 3063406 |
| 2683193 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Q24172 | 4.00% | 01/01/2044 | 2590852 |
| 2781587 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Q24979 | 4.00% | 02/01/2044 | 2678736 |
| 10726239 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Q31596 | 3.50% | 02/01/2045 | 10006091 |
| 4567449 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Q32861 | 3.50% | 04/01/2045 | 4258911 |
| 11005096 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Q32921 | 3.50% | 04/01/2045 | 10257108 |
| 11939549 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Q39502 | 3.50% | 03/01/2046 | 11119670 |
| 26410676 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Q44073 | 3.00% | 09/01/2046 | 23692020 |
| 16126785 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool QU7965 | 2.00% | 09/01/2051 | 12687348 |
| 14589221 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool QU7970 | 2.00% | 09/01/2051 | 11477521 |
| 52967295 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool RA3515 | 2.50% | 09/01/2050 | 45085272 |
| 22430432 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool RA4218 | 2.50% | 12/01/2050 | 19080767 |
| 16901825 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool RA4968 | 2.50% | 04/01/2046 | 14588250 |
| 64615153 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool RA5267 | 3.00% | 05/01/2051 | 56853073 |
| 193007060 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool RA7642 | 4.50% | 08/01/2052 | 186008242 |
| 145176182 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool RA7784 | 4.50% | 08/01/2052 | 140010986 |
| 61289839 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool RB0714 | 2.00% | 12/01/2041 | 51213094 |
| 80266345 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool RB5089 | 1.50% | 12/01/2040 | 65478051 |
| 8992612 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool RB5106 | 2.50% | 03/01/2041 | 7918544 |
| 91466261 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool RB5110 | 1.50% | 05/01/2041 | 74935104 |
| 59195441 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool RB5131 | 2.00% | 10/01/2041 | 49968829 |
| 17278951 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool SD0035 | 3.00% | 04/01/2047 | 15581775 |
| 35788187 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool SD0699 | 2.00% | 11/01/2050 | 29731514 |
| 49759103 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool SD0715 | 2.00% | 09/01/2051 | 41314084 |

---

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 218149759 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool SD7534 | 2.50% | 02/01/2051 | 189200675 |
| 90707279 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool SD8152 | 3.00% | 06/01/2051 | 79806687 |
| 3456430 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool SD8168 | 3.00% | 09/01/2051 | 3040240 |
| 10029565 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool SD8169 | 3.50% | 09/01/2051 | 9125039 |
| 42313913 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool SD8214 | 3.50% | 05/01/2052 | 38524718 |
| 42201598 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool SE9043 | 2.00% | 09/01/2051 | 33200936 |
| 1002711 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool T60392 | 4.00% | 10/01/2041 | 937412 |
| 1692985 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool T60681 | 4.00% | 05/01/2042 | 1585699 |
| 6123821 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool T60782 | 3.50% | 07/01/2042 | 5548583 |
| 6809403 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool T60853 | 3.50% | 09/01/2042 | 6169765 |
| 7052436 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool T60854 | 3.50% | 09/01/2042 | 6394173 |
| 1078504 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool T65110 | 3.50% | 10/01/2042 | 977854 |
| 7046555 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool T65492 | 3.00% | 06/01/2048 | 6151489 |
| 568348 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool T69016 | 5.00% | 06/01/2041 | 559603 |
| 12476433 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool T69050 | 3.50% | 05/01/2046 | 11403102 |
| 139101 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool U60299 | 4.00% | 11/01/2040 | 133066 |
| 1419455 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool U99125 | 3.00% | 01/01/2043 | 1285167 |
| 24061088 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool U99193 | 3.50% | 03/01/2044 | 22526904 |
| 54774038 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool V81821 | 3.00% | 08/01/2045 | 49379055 |
| 15866878 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool V82117 | 3.00% | 12/01/2045 | 14272763 |
| 13241129 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool V82209 | 3.50% | 02/01/2046 | 12327736 |
| 7137490 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool V82248 | 3.50% | 03/01/2046 | 6645884 |
| 85502067 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool Z40117 | 3.00% | 04/01/2045 | 77497762 |
| 7118197 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool ZS4750 | 3.00% | 01/01/2048 | 6342311 |
| 15626021 | Federal Home Loan Mortgage Corporation Pass-Thru, Pool ZT1827 | 3.00% | 07/01/2047 | 13991834 |
| 472206 | Federal Home Loan Mortgage Corporation REMICS, Series 2519-ZD | 5.50% | 11/15/2032 | 474065 |
| 250439 | Federal Home Loan Mortgage Corporation REMICS, Series 2596-ZL | 5.00% | 04/15/2033 | 251019 |
| 168591 | Federal Home Loan Mortgage Corporation REMICS, Series 2684-ZN | 4.00% | 10/15/2033 | 162947 |
| 1142729 | Federal Home Loan Mortgage Corporation REMICS, Series 2750-ZT | 5.00% | 02/15/2034 | 1146067 |
| 2979723 | Federal Home Loan Mortgage Corporation REMICS, Series 2825-PZ | 5.50% | 07/15/2034 | 3023496 |
| 1793274 | Federal Home Loan Mortgage Corporation REMICS, Series 2898-JZ | 5.00% | 12/15/2034 | 1794495 |
| 4462419 | Federal Home Loan Mortgage Corporation REMICS, Series 2899-AZ | 5.00% | 12/15/2034 | 4442221 |
| 2317593 | Federal Home Loan Mortgage Corporation REMICS, Series 2909-Z | 5.00% | 12/15/2034 | 2307806 |
| 4708326 | Federal Home Loan Mortgage Corporation REMICS, Series 2932-Z | 5.00% | 02/15/2035 | 4691870 |
| 101122 | Federal Home Loan Mortgage Corporation REMICS, Series 2990-JL (-1 x 1 Month LIBOR USD + 6.65%, 0.00% Floor, 6.65% Cap) | 2.33 % (d)(f) | 03/15/2035 | 491 |
| 1956103 | Federal Home Loan Mortgage Corporation REMICS, Series 3002-SN (-1 x 1 Month LIBOR USD + 6.50%, 0.00% Floor, 6.50% Cap) | 2.18 % (d)(f) | 07/15/2035 | 137477 |
| 1208670 | Federal Home Loan Mortgage Corporation REMICS, Series 3030-SL (-1 x 1 Month LIBOR USD + 6.10%, 0.00% Floor, 6.10% Cap) | 1.78 % (d)(f) | 09/15/2035 | 74903 |
| 432737 | Federal Home Loan Mortgage Corporation REMICS, Series 3045-DI (-1 x 1 Month LIBOR USD + 6.73%, 0.00% Floor, 6.73% Cap) | 2.41 % (d)(f) | 10/15/2035 | 36168 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3078478 | Federal Home Loan Mortgage Corporation REMICS, Series 3116-Z | 5.50% | 02/15/2036 | 3123071 |
| 497730 | Federal Home Loan Mortgage Corporation REMICS, Series 3117-ZN | 4.50% | 02/15/2036 | 472891 |
| 1496156 | Federal Home Loan Mortgage Corporation REMICS, Series 3174-PZ | 5.00% | 01/15/2036 | 1502934 |
| 398322 | Federal Home Loan Mortgage Corporation REMICS, Series 3187-JZ | 5.00% | 07/15/2036 | 400261 |
| 1081908 | Federal Home Loan Mortgage Corporation REMICS, Series 3188-ZK | 5.00% | 07/15/2036 | 1077852 |
| 1674909 | Federal Home Loan Mortgage Corporation REMICS, Series 3203-SE (-1 x 1 Month LIBOR USD + 6.50%, 0.00% Floor, 6.50% Cap) | 2.18 % (d)(f) | 08/15/2036 | 120033 |
| 2195880 | Federal Home Loan Mortgage Corporation REMICS, Series 3203-Z | 5.00% | 07/15/2036 | 2191772 |
| 3479387 | Federal Home Loan Mortgage Corporation REMICS, Series 3203-ZC | 5.00% | 07/15/2036 | 3472878 |
| 2287081 | Federal Home Loan Mortgage Corporation REMICS, Series 3261-SA (-1 x 1 Month LIBOR USD + 6.43%, 0.00% Floor, 6.43% Cap) | 2.11 % (d)(f) | 01/15/2037 | 173345 |
| 2071836 | Federal Home Loan Mortgage Corporation REMICS, Series 3275-SC (-1 x 1 Month LIBOR USD + 6.08%, 0.00% Floor, 6.08% Cap) | 1.76 % (d)(f) | 02/15/2037 | 132968 |
| 414418 | Federal Home Loan Mortgage Corporation REMICS, Series 3315-HZ | 6.00% | 05/15/2037 | 417600 |
| 1596542 | Federal Home Loan Mortgage Corporation REMICS, Series 3326-GS (-1 x 1 Month LIBOR USD + 6.65%, 0.00% Floor, 6.65% Cap) | 2.33 % (d)(f) | 06/15/2037 | 130221 |
| 377446 | Federal Home Loan Mortgage Corporation REMICS, Series 3351-ZC | 5.50% | 07/15/2037 | 377000 |
| 4837793 | Federal Home Loan Mortgage Corporation REMICS, Series 3355-BI (-1 x 1 Month LIBOR USD + 6.05%, 0.00% Floor, 6.05% Cap) | 1.73 % (d)(f) | 08/15/2037 | 327749 |
| 199495 | Federal Home Loan Mortgage Corporation REMICS, Series 3369-Z | 6.00% | 09/15/2037 | 202634 |
| 554871 | Federal Home Loan Mortgage Corporation REMICS, Series 3405-ZG | 5.50% | 01/15/2038 | 551230 |
| 331168 | Federal Home Loan Mortgage Corporation REMICS, Series 3417-SI (-1 x 1 Month LIBOR USD + 6.18%, 0.00% Floor, 6.18% Cap) | 1.86 % (d)(f) | 02/15/2038 | 21974 |
| 1044188 | Federal Home Loan Mortgage Corporation REMICS, Series 3423-GS (-1 x 1 Month LIBOR USD + 5.65%, 0.00% Floor, 5.65% Cap) | 1.33 % (d)(f) | 03/15/2038 | 54440 |
| 171467 | Federal Home Loan Mortgage Corporation REMICS, Series 3423-SG (-1 x 1 Month LIBOR USD + 5.65%, 0.00% Floor, 5.65% Cap) | 1.33 % (d)(f) | 03/15/2038 | 8622 |
| 233186 | Federal Home Loan Mortgage Corporation REMICS, Series 3451-S (-1 x 1 Month LIBOR USD + 6.03%, 0.00% Floor, 6.03% Cap) | 1.71 % (d)(f) | 02/15/2037 | 15651 |
| 242544 | Federal Home Loan Mortgage Corporation REMICS, Series 3455-SC (-1 x 1 Month LIBOR USD + 6.06%, 0.00% Floor, 6.06% Cap) | 1.74 % (d)(f) | 06/15/2038 | 12753 |
| 100612 | Federal Home Loan Mortgage Corporation REMICS, Series 3473-SM (-1 x 1 Month LIBOR USD + 6.07%, 0.00% Floor, 6.07% Cap) | 1.75 % (d)(f) | 07/15/2038 | 5511 |
| 1834440 | Federal Home Loan Mortgage Corporation REMICS, Series 3484-SE (-1 x 1 Month LIBOR USD + 5.85%, 0.00% Floor, 5.85% Cap) | 1.53 % (d)(f) | 08/15/2038 | 93614 |
| 2551327 | Federal Home Loan Mortgage Corporation REMICS, Series 3519-SD (-1 x 1 Month LIBOR USD + 5.55%, 0.00% Floor, 5.55% Cap) | 1.23 % (d)(f) | 02/15/2038 | 114363 |
| 775570 | Federal Home Loan Mortgage Corporation REMICS, Series 3524-LB | 3.27 % (b)(d)(i) | 06/15/2038 | 729577 |
| 67039 | Federal Home Loan Mortgage Corporation REMICS, Series 3530-GZ | 4.50 % (g) | 05/15/2039 | 60495 |
| 2327485 | Federal Home Loan Mortgage Corporation REMICS, Series 3541-EI (-1 x 1 Month LIBOR USD + 6.75%, 0.00% Floor, 6.75% Cap) | 2.43 % (d)(f) | 06/15/2039 | 212477 |
| 155047 | Federal Home Loan Mortgage Corporation REMICS, Series 3545-SA (-1 x 1 Month LIBOR USD + 6.15%, 0.00% Floor, 6.15% Cap) | 1.83 % (d)(f) | 06/15/2039 | 10855 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 64499 | Federal Home Loan Mortgage Corporation REMICS, Series 3549-SA (-1 x 1 Month LIBOR USD + 5.80%, 0.00% Floor, 5.80% Cap) | 1.48 % (d)(f) | 07/15/2039 | 4370 |
| 2861510 | Federal Home Loan Mortgage Corporation REMICS, Series 3577-LS (-1 x 1 Month LIBOR USD + 7.20%, 0.00% Floor, 7.20% Cap) | 2.88 % (d)(f) | 08/15/2035 | 227841 |
| 869567 | Federal Home Loan Mortgage Corporation REMICS, Series 3582-SA (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | 1.68 % (d)(f) | 10/15/2049 | 50854 |
| 902192 | Federal Home Loan Mortgage Corporation REMICS, Series 3583-GB | 4.50% | 10/15/2039 | 883221 |
| 1685488 | Federal Home Loan Mortgage Corporation REMICS, Series 3616-SG (-1 x 1 Month LIBOR USD + 6.35%, 0.00% Floor, 6.35% Cap) | 2.03 % (d)(f) | 03/15/2032 | 88953 |
| 2567209 | Federal Home Loan Mortgage Corporation REMICS, Series 3626-AZ | 5.50% | 08/15/2036 | 2612891 |
| 3778597 | Federal Home Loan Mortgage Corporation REMICS, Series 3641-Z | 5.50% | 02/15/2036 | 3845730 |
| 3485188 | Federal Home Loan Mortgage Corporation REMICS, Series 3654-ZB | 5.50% | 11/15/2037 | 3546987 |
| 8301375 | Federal Home Loan Mortgage Corporation REMICS, Series 3666-VZ | 5.50% | 08/15/2036 | 8447891 |
| 409081 | Federal Home Loan Mortgage Corporation REMICS, Series 3667-SB (-1 x 1 Month LIBOR USD + 6.45%, 0.00% Floor, 6.45% Cap) | 2.13 % (d)(f) | 05/15/2040 | 29528 |
| 3182583 | Federal Home Loan Mortgage Corporation REMICS, Series 3702-SG (-1 x 1 Month LIBOR USD + 6.05%, 0.00% Floor, 6.05% Cap) | 1.73 % (d)(f) | 08/15/2032 | 121055 |
| 1387322 | Federal Home Loan Mortgage Corporation REMICS, Series 3704-EI | 5.00 % (d) | 12/15/2036 | 217837 |
| 1512646 | Federal Home Loan Mortgage Corporation REMICS, Series 3712-SG (-5 x 1 Month LIBOR USD + 25.00%, 0.00% Floor, 25.00% Cap) | 4.40 % (f) | 08/15/2040 | 1491705 |
| 2044097 | Federal Home Loan Mortgage Corporation REMICS, Series 3724-CM | 5.50% | 06/15/2037 | 2040965 |
| 6560389 | Federal Home Loan Mortgage Corporation REMICS, Series 3726-SA (-1 x 1 Month LIBOR USD + 6.05%, 0.00% Floor, 6.05% Cap) | 1.73 % (d)(f) | 09/15/2040 | 555209 |
| 186682 | Federal Home Loan Mortgage Corporation REMICS, Series 3741-SC (-2 x 1 Month LIBOR USD + 10.00%, 0.00% Floor, 10.00% Cap) | 1.36 % (f) | 10/15/2040 | 138183 |
| 4674509 | Federal Home Loan Mortgage Corporation REMICS, Series 3752-BS (-2 x 1 Month LIBOR USD + 10.00%, 0.00% Floor, 10.00% Cap) | 1.76 % (f) | 11/15/2040 | 3364173 |
| 14479556 | Federal Home Loan Mortgage Corporation REMICS, Series 3768-ZX | 5.00% | 12/15/2040 | 14307590 |
| 2099759 | Federal Home Loan Mortgage Corporation REMICS, Series 3771-AL | 4.00% | 12/15/2030 | 2054576 |
| 5598620 | Federal Home Loan Mortgage Corporation REMICS, Series 3779-BY | 3.50% | 12/15/2030 | 5401492 |
| 13865761 | Federal Home Loan Mortgage Corporation REMICS, Series 3779-DZ | 4.50% | 12/15/2040 | 13331422 |
| 6243115 | Federal Home Loan Mortgage Corporation REMICS, Series 3779-LB | 4.00% | 12/15/2030 | 6108767 |
| 1514737 | Federal Home Loan Mortgage Corporation REMICS, Series 3779-YA | 3.50% | 12/15/2030 | 1461403 |
| 5170293 | Federal Home Loan Mortgage Corporation REMICS, Series 3783-AC | 4.00% | 01/15/2031 | 5059092 |
| 2984617 | Federal Home Loan Mortgage Corporation REMICS, Series 3786-SG (-2 x 1 Month LIBOR USD + 9.50%, 0.00% Floor, 9.50% Cap) | 0.86 % (f) | 01/15/2041 | 2169175 |
| 4409938 | Federal Home Loan Mortgage Corporation REMICS, Series 3788-AY | 3.50% | 01/15/2031 | 4252986 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 494570 | Federal Home Loan Mortgage Corporation REMICS, Series 3790-Z | 4.00% | 01/15/2041 | 465690 |
| 11040863 | Federal Home Loan Mortgage Corporation REMICS, Series 3800-VZ | 4.50% | 02/15/2041 | 10792311 |
| 1391345 | Federal Home Loan Mortgage Corporation REMICS, Series 3803-ZM | 4.00% | 02/15/2041 | 1315947 |
| 17913855 | Federal Home Loan Mortgage Corporation REMICS, Series 3806-CZ | 5.50% | 07/15/2034 | 18158844 |
| 6090921 | Federal Home Loan Mortgage Corporation REMICS, Series 3808-DB | 3.50% | 02/15/2031 | 5873266 |
| 5142626 | Federal Home Loan Mortgage Corporation REMICS, Series 3812-EY | 3.50% | 02/15/2031 | 4959084 |
| 1481950 | Federal Home Loan Mortgage Corporation REMICS, Series 3818-CZ | 4.50% | 03/15/2041 | 1460658 |
| 52020 | Federal Home Loan Mortgage Corporation REMICS, Series 3819-MS (-1 x 1 Month LIBOR USD + 6.47%, 0.00% Floor, 6.47% Cap) | 2.15 % (d)(f) | 06/15/2040 | 69 |
| 3816727 | Federal Home Loan Mortgage Corporation REMICS, Series 3819-ZU | 5.50% | 07/15/2034 | 3869629 |
| 12479568 | Federal Home Loan Mortgage Corporation REMICS, Series 3824-EY | 3.50% | 03/15/2031 | 12032386 |
| 3350433 | Federal Home Loan Mortgage Corporation REMICS, Series 3828-SW (-3 x 1 Month LIBOR USD + 13.20%, 0.00% Floor, 13.20% Cap) | 0.25 % (f) | 02/15/2041 | 2042207 |
| 4468222 | Federal Home Loan Mortgage Corporation REMICS, Series 3829-VZ | 4.00% | 03/15/2041 | 4198218 |
| 8386823 | Federal Home Loan Mortgage Corporation REMICS, Series 3843-PZ | 5.00% | 04/15/2041 | 8451048 |
| 12243985 | Federal Home Loan Mortgage Corporation REMICS, Series 3863-ZA | 5.50% | 08/15/2034 | 12413945 |
| 4059196 | Federal Home Loan Mortgage Corporation REMICS, Series 3870-PB | 4.50% | 06/15/2041 | 3969949 |
| 18628800 | Federal Home Loan Mortgage Corporation REMICS, Series 3871-LZ | 5.50% | 06/15/2041 | 18963656 |
| 5594139 | Federal Home Loan Mortgage Corporation REMICS, Series 3872-BA | 4.00% | 06/15/2041 | 5247228 |
| 2814349 | Federal Home Loan Mortgage Corporation REMICS, Series 3877-EY | 4.50% | 06/15/2041 | 2595421 |
| 916642 | Federal Home Loan Mortgage Corporation REMICS, Series 3877-GY | 4.50% | 06/15/2041 | 834717 |
| 7908754 | Federal Home Loan Mortgage Corporation REMICS, Series 3877-ZU | 4.50% | 06/15/2041 | 7730835 |
| 2505034 | Federal Home Loan Mortgage Corporation REMICS, Series 3900-SB (-1 x 1 Month LIBOR USD + 5.97%, 0.00% Floor, 5.97% Cap) | 1.65 % (d)(f) | 07/15/2041 | 124994 |
| 10286927 | Federal Home Loan Mortgage Corporation REMICS, Series 3901-VZ | 4.00% | 07/15/2041 | 9683990 |
| 17330064 | Federal Home Loan Mortgage Corporation REMICS, Series 3910-GZ | 5.00% | 08/15/2041 | 17494557 |
| 2476329 | Federal Home Loan Mortgage Corporation REMICS, Series 3910-ZE | 5.00% | 10/15/2034 | 2464656 |
| 3521527 | Federal Home Loan Mortgage Corporation REMICS, Series 3919-KL | 4.50% | 09/15/2041 | 3442436 |
| 11947259 | Federal Home Loan Mortgage Corporation REMICS, Series 3919-ZJ | 4.00% | 09/15/2041 | 11545536 |
| 900523 | Federal Home Loan Mortgage Corporation REMICS, Series 3942-JZ | 4.00% | 10/15/2041 | 846688 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3728009 | Federal Home Loan Mortgage Corporation REMICS, Series 3944-AZ | 4.00% | 10/15/2041 | 3505881 |
| 1454946 | Federal Home Loan Mortgage Corporation REMICS, Series 3946-SM (-3 x 1 Month LIBOR USD + 14.70%, 0.00% Floor, 14.70% Cap) | 1.75 % (f) | 10/15/2041 | 1096511 |
| 11096794 | Federal Home Loan Mortgage Corporation REMICS, Series 3969-AB | 4.00% | 10/15/2033 | 10724778 |
| 2001888 | Federal Home Loan Mortgage Corporation REMICS, Series 3982-AZ | 3.50% | 01/15/2042 | 1792114 |
| 47027298 | Federal Home Loan Mortgage Corporation REMICS, Series 3990-ZA | 3.50% | 01/15/2042 | 43361868 |
| 2855076 | Federal Home Loan Mortgage Corporation REMICS, Series 3999-EZ | 4.00% | 02/15/2042 | 2681924 |
| 19986380 | Federal Home Loan Mortgage Corporation REMICS, Series 3999-ZB | 4.00% | 02/15/2042 | 18777268 |
| 34293899 | Federal Home Loan Mortgage Corporation REMICS, Series 4016-KZ | 4.00% | 03/15/2042 | 32792204 |
| 63850 | Federal Home Loan Mortgage Corporation REMICS, Series 4050-BC | 2.00% | 05/15/2041 | 63676 |
| 513082 | Federal Home Loan Mortgage Corporation REMICS, Series 4050-ND | 2.50% | 09/15/2041 | 496576 |
| 68628486 | Federal Home Loan Mortgage Corporation REMICS, Series 4084-TZ | 4.00% | 07/15/2042 | 64386511 |
| 46254832 | Federal Home Loan Mortgage Corporation REMICS, Series 4097-ZA | 3.50% | 08/15/2042 | 42846720 |
| 48097832 | Federal Home Loan Mortgage Corporation REMICS, Series 4109-GE | 4.50% | 10/15/2041 | 47026193 |
| 13883069 | Federal Home Loan Mortgage Corporation REMICS, Series 4116-AP | 1.35% | 08/15/2042 | 11746286 |
| 3863348 | Federal Home Loan Mortgage Corporation REMICS, Series 4121-AV | 3.00% | 12/15/2035 | 3629891 |
| 17352326 | Federal Home Loan Mortgage Corporation REMICS, Series 4160-HP | 2.50% | 01/15/2033 | 16223614 |
| 17546871 | Federal Home Loan Mortgage Corporation REMICS, Series 4162-ZJ | 3.00% | 02/15/2033 | 16227609 |
| 49616789 | Federal Home Loan Mortgage Corporation REMICS, Series 4174-Z | 3.50% | 03/15/2043 | 46382498 |
| 77539187 | Federal Home Loan Mortgage Corporation REMICS, Series 4179-AZ | 4.00% | 01/15/2041 | 73779296 |
| 9362841 | Federal Home Loan Mortgage Corporation REMICS, Series 4183-ZB | 3.00 % (g) | 03/15/2043 | 7258372 |
| 3334913 | Federal Home Loan Mortgage Corporation REMICS, Series 4186-ZJ | 3.00 % (g) | 03/15/2033 | 2923792 |
| 9850990 | Federal Home Loan Mortgage Corporation REMICS, Series 4189-ML | 3.00% | 04/15/2038 | 8980317 |
| 40143373 | Federal Home Loan Mortgage Corporation REMICS, Series 4212-US (-1 x 1 Month LIBOR USD + 5.40%, 0.00% Floor, 5.40% Cap) | 0.46 % (f) | 06/15/2043 | 26075072 |
| 19309604 | Federal Home Loan Mortgage Corporation REMICS, Series 4223-US (-1 x 1 Month LIBOR USD + 5.43%, 0.00% Floor, 5.43% Cap) | 0.46 % (f) | 07/15/2043 | 12889421 |
| 25322898 | Federal Home Loan Mortgage Corporation REMICS, Series 4223-ZV | 4.00% | 07/15/2043 | 24432986 |
| 5572998 | Federal Home Loan Mortgage Corporation REMICS, Series 4229-TZ | 3.00% | 06/15/2043 | 4977542 |
| 31182361 | Federal Home Loan Mortgage Corporation REMICS, Series 4229-ZA | 4.00% | 07/15/2043 | 29985564 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 8852526 | Federal Home Loan Mortgage Corporation REMICS, Series 4249-CS (-1 x 1 Month LIBOR USD + 4.65%, 0.00% Floor, 4.65% Cap) | 1.56 % (f) | 09/15/2043 | 6278346 |
| 23203461 | Federal Home Loan Mortgage Corporation REMICS, Series 4250-BZ | 3.00% | 09/15/2033 | 21578186 |
| 10089748 | Federal Home Loan Mortgage Corporation REMICS, Series 4267-BZ | 4.00% | 10/15/2040 | 9709216 |
| 24880940 | Federal Home Loan Mortgage Corporation REMICS, Series 4283-ZL | 3.00 % (g) | 08/15/2033 | 23343255 |
| 20497371 | Federal Home Loan Mortgage Corporation REMICS, Series 4355-ZX | 4.00% | 05/15/2044 | 19650204 |
| 17328936 | Federal Home Loan Mortgage Corporation REMICS, Series 4376-GZ | 3.00 % (g) | 08/15/2044 | 14883555 |
| 55092877 | Federal Home Loan Mortgage Corporation REMICS, Series 4377-LZ | 3.00 % (g) | 08/15/2044 | 47571124 |
| 1742722 | Federal Home Loan Mortgage Corporation REMICS, Series 4379-KA | 3.00% | 08/15/2044 | 1607137 |
| 436282 | Federal Home Loan Mortgage Corporation REMICS, Series 4384-A | 3.00% | 12/15/2040 | 434572 |
| 30114681 | Federal Home Loan Mortgage Corporation REMICS, Series 4384-ZY | 3.00 % (g) | 09/15/2044 | 26106751 |
| 152626521 | Federal Home Loan Mortgage Corporation REMICS, Series 4390-NZ | 3.00 % (g) | 09/15/2044 | 131808233 |
| 13638307 | Federal Home Loan Mortgage Corporation REMICS, Series 4408-PB | 3.00% | 04/15/2044 | 12689728 |
| 18168160 | Federal Home Loan Mortgage Corporation REMICS, Series 4427-CE | 3.00% | 02/15/2034 | 17472244 |
| 7905667 | Federal Home Loan Mortgage Corporation REMICS, Series 4427-PS (-1 x 1 Month LIBOR USD + 5.60%, 0.00% Floor, 5.60% Cap) | 1.28 % (d)(f) | 07/15/2044 | 388440 |
| 8057947 | Federal Home Loan Mortgage Corporation REMICS, Series 4429-HA | 3.00% | 04/15/2034 | 7734579 |
| 29084371 | Federal Home Loan Mortgage Corporation REMICS, Series 4434-LZ | 3.00 % (g) | 02/15/2045 | 24465427 |
| 1278987 | Federal Home Loan Mortgage Corporation REMICS, Series 4438-B | 3.00% | 10/15/2043 | 1214217 |
| 10875026 | Federal Home Loan Mortgage Corporation REMICS, Series 4441-VZ | 3.00 % (g) | 02/15/2045 | 9097750 |
| 1105972 | Federal Home Loan Mortgage Corporation REMICS, Series 4444-CH | 3.00% | 01/15/2041 | 1101250 |
| 31613447 | Federal Home Loan Mortgage Corporation REMICS, Series 4444-CZ | 3.00 % (g) | 02/15/2045 | 26825059 |
| 23381889 | Federal Home Loan Mortgage Corporation REMICS, Series 4447-YZ | 4.00% | 08/15/2043 | 22336880 |
| 43301452 | Federal Home Loan Mortgage Corporation REMICS, Series 4463-ZC | 3.00% | 04/15/2045 | 38620881 |
| 31455971 | Federal Home Loan Mortgage Corporation REMICS, Series 4467-ZA | 3.00 % (g) | 04/15/2045 | 27197832 |
| 16529866 | Federal Home Loan Mortgage Corporation REMICS, Series 4471-BA | 3.00% | 12/15/2041 | 16001271 |
| 14373636 | Federal Home Loan Mortgage Corporation REMICS, Series 4471-BC | 3.00% | 12/15/2041 | 13913993 |
| 42076528 | Federal Home Loan Mortgage Corporation REMICS, Series 4471-GA | 3.00% | 02/15/2044 | 39161365 |
| 58029899 | Federal Home Loan Mortgage Corporation REMICS, Series 4483-CA | 3.00% | 06/15/2044 | 54169344 |
| 29884578 | Federal Home Loan Mortgage Corporation REMICS, Series 4483-PA | 2.50% | 06/15/2045 | 27872064 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 8200415 | Federal Home Loan Mortgage Corporation REMICS, Series 4492-GZ | 3.50% | 07/15/2045 | 7441602 |
| 922921 | Federal Home Loan Mortgage Corporation REMICS, Series 4498-PD | 2.50% | 08/15/2042 | 909333 |
| 6340659 | Federal Home Loan Mortgage Corporation REMICS, Series 4500-GO | 0.00 % (i) | 08/15/2045 | 4801759 |
| 11432286 | Federal Home Loan Mortgage Corporation REMICS, Series 4504-CA | 3.00% | 04/15/2044 | 10836269 |
| 20275259 | Federal Home Loan Mortgage Corporation REMICS, Series 4527-GA | 3.00% | 02/15/2044 | 18970100 |
| 41477601 | Federal Home Loan Mortgage Corporation REMICS, Series 4533-AB | 3.00% | 06/15/2044 | 38608645 |
| 37533279 | Federal Home Loan Mortgage Corporation REMICS, Series 4543-HG | 2.70% | 04/15/2044 | 34874752 |
| 58179234 | Federal Home Loan Mortgage Corporation REMICS, Series 4573-CA | 3.00% | 11/15/2044 | 54183566 |
| 11898780 | Federal Home Loan Mortgage Corporation REMICS, Series 4573-DA | 3.00% | 03/15/2045 | 11205253 |
| 12360376 | Federal Home Loan Mortgage Corporation REMICS, Series 4588-DA | 3.00% | 02/15/2044 | 11754883 |
| 7632922 | Federal Home Loan Mortgage Corporation REMICS, Series 4629-KA | 3.00% | 03/15/2045 | 7311648 |
| 36999031 | Federal Home Loan Mortgage Corporation REMICS, Series 4636-DZ | 3.50 % (g) | 12/15/2046 | 33317853 |
| 26818370 | Federal Home Loan Mortgage Corporation REMICS, Series 4679-VZ | 3.50 % (g) | 02/15/2047 | 24066384 |
| 6585822 | Federal Home Loan Mortgage Corporation REMICS, Series 4744-KA | 3.00% | 08/15/2046 | 6156076 |
| 21534000 | Federal Home Loan Mortgage Corporation REMICS, Series 4759-NL | 3.00% | 02/15/2048 | 18014425 |
| 5817383 | Federal Home Loan Mortgage Corporation REMICS, Series 4791-IO | 3.00 % (d) | 05/15/2048 | 941796 |
| 32146874 | Federal Home Loan Mortgage Corporation REMICS, Series 4791-JT | 3.00% | 05/15/2048 | 27937164 |
| 4780717 | Federal Home Loan Mortgage Corporation REMICS, Series 4791-LI | 3.00 % (d) | 05/15/2048 | 632306 |
| 4780717 | Federal Home Loan Mortgage Corporation REMICS, Series 4791-LO | 0.00 % (i) | 05/15/2048 | 3655820 |
| 18765753 | Federal Home Loan Mortgage Corporation REMICS, Series 4791-PO | 0.00 % (i) | 05/15/2048 | 14219034 |
| 13678537 | Federal Home Loan Mortgage Corporation REMICS, Series 4792-A | 3.00% | 05/15/2048 | 11886822 |
| 8479548 | Federal Home Loan Mortgage Corporation REMICS, Series 4793-C | 3.00% | 06/15/2048 | 7695081 |
| 8089460 | Federal Home Loan Mortgage Corporation REMICS, Series 4795-AO | 0.00 % (i) | 05/15/2048 | 5981935 |
| 6466547 | Federal Home Loan Mortgage Corporation REMICS, Series 4801-OG | 0.00 % (i) | 06/15/2048 | 4828825 |
| 12962759 | Federal Home Loan Mortgage Corporation REMICS, Series 4901-BD | 3.00% | 07/25/2049 | 11929897 |
| 27018512 | Federal Home Loan Mortgage Corporation REMICS, Series 4924-ST (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | 1.61 % (d)(f) | 08/25/2048 | 2345842 |
| 12983568 | Federal Home Loan Mortgage Corporation REMICS, Series 5004-LS (-1 x 1 Month LIBOR USD + 6.15%, 0.00% Floor, 6.15% Cap) | 1.76 % (d)(f) | 07/25/2050 | 1614263 |
| 13847084 | Federal Home Loan Mortgage Corporation REMICS, Series 5023-YI | 3.00 % (d) | 10/25/2050 | 2260970 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 6530042 | Federal Home Loan Mortgage Corporation REMICS, Series 5062-PA | 1.25% | 01/25/2051 | 4956079 |
| 13573618 | Federal Home Loan Mortgage Corporation REMICS, Series 5081-MI | 2.50 % (d) | 03/25/2051 | 1949691 |
| 55286168 | Federal Home Loan Mortgage Corporation REMICS, Series 5105-NH | 2.00% | 02/25/2037 | 48787417 |
| 8860984 | Federal Home Loan Mortgage Corporation REMICS, Series 5112-SC (-1 x Secured Overnight Financing Rate 30 Day Average + 2.50%, 0.00% Floor, 2.50% Cap) | 0.00 % (d)(f) | 06/25/2051 | 121823 |
| 21304486 | Federal Home Loan Mortgage Corporation REMICS, Series 5117-D | 2.00% | 06/25/2051 | 18855642 |
| 44959560 | Federal Home Loan Mortgage Corporation REMICS, Series 5126-AH | 2.00% | 02/25/2037 | 39674676 |
| 73298898 | Federal Home Loan Mortgage Corporation REMICS, Series 5130-IO | 3.50 % (d) | 08/25/2051 | 14655602 |
| 13182302 | Federal Home Loan Mortgage Corporation REMICS, Series 5140-B | 2.00% | 05/25/2040 | 11304594 |
| 27771637 | Federal Home Loan Mortgage Corporation REMICS, Series 5145-SB (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 0.00% Floor, 2.60% Cap) | 0.00 % (d)(f) | 09/25/2051 | 360842 |
| 51314995 | Federal Home Loan Mortgage Corporation REMICS, Series 5157-EI | 3.00 % (d) | 10/25/2051 | 7145346 |
| 12502109 | Federal Home Loan Mortgage Corporation REMICS, Series 5159-CD | 1.50% | 07/25/2041 | 10797543 |
| 45397825 | Federal Home Loan Mortgage Corporation REMICS, Series 5160-S (-1 x Secured Overnight Financing Rate 30 Day Average + 3.74%, 0.00% Floor, 3.74% Cap) | 0.00 % (d)(f) | 08/25/2050 | 1647737 |
| 25685612 | Federal Home Loan Mortgage Corporation REMICS, Series 5175-CZ | 2.50 % (g) | 09/25/2051 | 14405585 |
| 25832040 | Federal Home Loan Mortgage Corporation REMICS, Series R003-ZA | 5.50% | 10/15/2035 | 26295545 |
| 9330927 | Federal Home Loan Mortgage Corporation, Series 2015-SC02-1A | 3.00% | 09/25/2045 | 8645480 |
| 4916435 | Federal Home Loan Mortgage Corporation, Series 2016-SC01-1A | 3.00% | 07/25/2046 | 4544736 |
| 1428273 | Federal Home Loan Mortgage Corporation, Series 2021-MN1-M1 (Secured Overnight Financing Rate 30 Day Average + 2.00%, 0.00% Floor) | 5.55 % (a) | 01/25/2051 | 1339337 |
| 1250000 | Federal Home Loan Mortgage Corporation, Series 2021-MN1-M2 (Secured Overnight Financing Rate 30 Day Average + 3.75%, 0.00% Floor) | 7.30 % (a) | 01/25/2051 | 1121950 |
| 12762999 | Federal Home Loan Mortgage Corporation, Series 267-30 | 3.00% | 08/15/2042 | 11589357 |
| 9188565 | Federal Home Loan Mortgage Corporation, Series 274-30 | 3.00% | 08/15/2042 | 8518879 |
| 36820678 | Federal Home Loan Mortgage Corporation, Series 280-30 | 3.00% | 09/15/2042 | 33909439 |
| 6669651 | Federal Home Loan Mortgage Corporation, Series 284-300 | 3.00% | 10/15/2042 | 6086738 |
| 5687939 | Federal Home Loan Mortgage Corporation, Series 326-300 | 3.00% | 03/15/2044 | 5144640 |
| 39379630 | Federal Home Loan Mortgage Corporation, Series 357-200 | 2.00% | 09/15/2047 | 34126674 |
| 3655210 | Federal National Mortgage Association Pass-Thru, Pool 555743 | 5.00% | 09/01/2033 | 3736075 |
| 2645667 | Federal National Mortgage Association Pass-Thru, Pool 735382 | 5.00% | 04/01/2035 | 2704269 |
| 4435517 | Federal National Mortgage Association Pass-Thru, Pool 735402 | 5.00% | 04/01/2035 | 4533764 |
| 2982834 | Federal National Mortgage Association Pass-Thru, Pool 735484 | 5.00% | 05/01/2035 | 3048911 |
| 1247427 | Federal National Mortgage Association Pass-Thru, Pool 735667 | 5.00% | 07/01/2035 | 1275041 |
| 1004369 | Federal National Mortgage Association Pass-Thru, Pool 735893 | 5.00% | 10/01/2035 | 1026628 |
| 2453513 | Federal National Mortgage Association Pass-Thru, Pool 745275 | 5.00% | 02/01/2036 | 2503360 |
| 105408 | Federal National Mortgage Association Pass-Thru, Pool 888695 | 5.00% | 08/01/2037 | 107746 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 648676 | Federal National Mortgage Association Pass-Thru, Pool 888968 | 5.00% | 08/01/2035 | 663043 |
| 4833391 | Federal National Mortgage Association Pass-Thru, Pool 890549 | 4.00% | 11/01/2043 | 4661816 |
| 5626398 | Federal National Mortgage Association Pass-Thru, Pool 890565 | 3.00% | 11/01/2043 | 5125776 |
| 353851 | Federal National Mortgage Association Pass-Thru, Pool 931104 | 5.00% | 05/01/2039 | 356136 |
| 75330 | Federal National Mortgage Association Pass-Thru, Pool 975116 | 5.00% | 05/01/2038 | 76955 |
| 990064 | Federal National Mortgage Association Pass-Thru, Pool 986864 | 6.50% | 08/01/2038 | 1059077 |
| 586552 | Federal National Mortgage Association Pass-Thru, Pool 987316 | 6.50% | 09/01/2038 | 613452 |
| 4908600 | Federal National Mortgage Association Pass-Thru, Pool 995203 | 5.00% | 07/01/2035 | 4932507 |
| 8202272 | Federal National Mortgage Association Pass-Thru, Pool 995849 | 5.00% | 08/01/2036 | 8383886 |
| 6687565 | Federal National Mortgage Association Pass-Thru, Pool AB2123 | 4.00% | 01/01/2031 | 6479416 |
| 140548 | Federal National Mortgage Association Pass-Thru, Pool AB2370 | 4.50% | 09/01/2035 | 134730 |
| 468297 | Federal National Mortgage Association Pass-Thru, Pool AB3713 | 4.00% | 10/01/2031 | 453730 |
| 3449225 | Federal National Mortgage Association Pass-Thru, Pool AB3796 | 3.50% | 11/01/2031 | 3343382 |
| 727170 | Federal National Mortgage Association Pass-Thru, Pool AB3850 | 4.00% | 11/01/2041 | 672279 |
| 552628 | Federal National Mortgage Association Pass-Thru, Pool AB3923 | 4.00% | 11/01/2041 | 510717 |
| 12700280 | Federal National Mortgage Association Pass-Thru, Pool AB4167 | 3.50% | 01/01/2032 | 12310412 |
| 10598971 | Federal National Mortgage Association Pass-Thru, Pool AB4261 | 3.50% | 01/01/2032 | 10273608 |
| 1664328 | Federal National Mortgage Association Pass-Thru, Pool AB5084 | 3.50% | 05/01/2032 | 1613258 |
| 4657017 | Federal National Mortgage Association Pass-Thru, Pool AB5156 | 3.50% | 05/01/2032 | 4514167 |
| 6647167 | Federal National Mortgage Association Pass-Thru, Pool AB5212 | 3.50% | 05/01/2032 | 6443116 |
| 4156723 | Federal National Mortgage Association Pass-Thru, Pool AB5243 | 4.00% | 05/01/2042 | 3842862 |
| 8986411 | Federal National Mortgage Association Pass-Thru, Pool AB5911 | 3.00% | 08/01/2032 | 8458601 |
| 3236445 | Federal National Mortgage Association Pass-Thru, Pool AB6280 | 3.00% | 09/01/2042 | 2926832 |
| 4694211 | Federal National Mortgage Association Pass-Thru, Pool AB6349 | 3.00% | 10/01/2032 | 4418487 |
| 12738536 | Federal National Mortgage Association Pass-Thru, Pool AB6750 | 3.00% | 10/01/2032 | 11989649 |
| 6699325 | Federal National Mortgage Association Pass-Thru, Pool AB6751 | 3.00% | 10/01/2032 | 6305627 |
| 34549168 | Federal National Mortgage Association Pass-Thru, Pool AB6854 | 3.00% | 11/01/2042 | 31471795 |
| 26124166 | Federal National Mortgage Association Pass-Thru, Pool AB7077 | 3.00% | 11/01/2042 | 23797149 |
| 20554664 | Federal National Mortgage Association Pass-Thru, Pool AB7344 | 3.00% | 12/01/2032 | 19345993 |
| 11190860 | Federal National Mortgage Association Pass-Thru, Pool AB7776 | 3.00% | 02/01/2043 | 10009738 |
| 12747205 | Federal National Mortgage Association Pass-Thru, Pool AB7877 | 3.00% | 02/01/2043 | 11401821 |
| 5986438 | Federal National Mortgage Association Pass-Thru, Pool AB8418 | 3.00% | 02/01/2033 | 5634294 |
| 9148499 | Federal National Mortgage Association Pass-Thru, Pool AB8520 | 3.00% | 02/01/2033 | 8587707 |
| 10926569 | Federal National Mortgage Association Pass-Thru, Pool AB8703 | 3.00% | 03/01/2038 | 9822875 |
| 4689349 | Federal National Mortgage Association Pass-Thru, Pool AB8858 | 3.00% | 04/01/2033 | 4413827 |
| 9142560 | Federal National Mortgage Association Pass-Thru, Pool AB9020 | 3.00% | 04/01/2038 | 8220057 |
| 7377809 | Federal National Mortgage Association Pass-Thru, Pool AB9197 | 3.00% | 05/01/2033 | 6944007 |
| 22935888 | Federal National Mortgage Association Pass-Thru, Pool AB9406 | 3.00% | 05/01/2033 | 21529834 |
| 4388934 | Federal National Mortgage Association Pass-Thru, Pool AB9409 | 3.00% | 05/01/2033 | 4120171 |
| 205553 | Federal National Mortgage Association Pass-Thru, Pool AD2177 | 4.50% | 06/01/2030 | 201751 |
| 345096 | Federal National Mortgage Association Pass-Thru, Pool AD6438 | 5.00% | 06/01/2040 | 348848 |
| 223911 | Federal National Mortgage Association Pass-Thru, Pool AD7859 | 5.00% | 06/01/2040 | 226949 |
| 2738579 | Federal National Mortgage Association Pass-Thru, Pool AH0607 | 4.00% | 12/01/2040 | 2632586 |
| 144745 | Federal National Mortgage Association Pass-Thru, Pool AH1140 | 4.50% | 12/01/2040 | 138695 |
| 1872521 | Federal National Mortgage Association Pass-Thru, Pool AH4437 | 4.00% | 01/01/2041 | 1731195 |
| 743222 | Federal National Mortgage Association Pass-Thru, Pool AH7309 | 4.00% | 02/01/2031 | 720109 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 1358903 | Federal National Mortgage Association Pass-Thru, Pool AH9323 | 4.00% | 04/01/2026 | 1327516 |
| 494773 | Federal National Mortgage Association Pass-Thru, Pool AI9831 | 4.00% | 09/01/2041 | 460749 |
| 810260 | Federal National Mortgage Association Pass-Thru, Pool AJ1265 | 4.00% | 09/01/2041 | 765119 |
| 55629 | Federal National Mortgage Association Pass-Thru, Pool AJ1399 | 4.00% | 09/01/2041 | 51358 |
| 1565028 | Federal National Mortgage Association Pass-Thru, Pool AJ1467 | 4.00% | 10/01/2041 | 1446892 |
| 2117997 | Federal National Mortgage Association Pass-Thru, Pool AJ3392 | 4.00% | 10/01/2041 | 1975745 |
| 1115794 | Federal National Mortgage Association Pass-Thru, Pool AJ3854 | 4.00% | 10/01/2041 | 1031550 |
| 5219366 | Federal National Mortgage Association Pass-Thru, Pool AJ4118 | 4.00% | 11/01/2041 | 4825423 |
| 1345652 | Federal National Mortgage Association Pass-Thru, Pool AJ4131 | 4.00% | 10/01/2041 | 1244066 |
| 538060 | Federal National Mortgage Association Pass-Thru, Pool AJ5172 | 4.00% | 11/01/2041 | 500311 |
| 8037189 | Federal National Mortgage Association Pass-Thru, Pool AJ5322 | 4.00% | 11/01/2041 | 7726019 |
| 2886307 | Federal National Mortgage Association Pass-Thru, Pool AJ7677 | 3.50% | 12/01/2041 | 2612714 |
| 1013387 | Federal National Mortgage Association Pass-Thru, Pool AJ8334 | 4.00% | 12/01/2041 | 936798 |
| 10013251 | Federal National Mortgage Association Pass-Thru, Pool AK0713 | 3.50% | 01/01/2032 | 9705990 |
| 1470931 | Federal National Mortgage Association Pass-Thru, Pool AK4039 | 4.00% | 02/01/2042 | 1361162 |
| 2913531 | Federal National Mortgage Association Pass-Thru, Pool AK4763 | 4.00% | 02/01/2042 | 2693676 |
| 1149934 | Federal National Mortgage Association Pass-Thru, Pool AK9438 | 4.00% | 03/01/2042 | 1063124 |
| 1779150 | Federal National Mortgage Association Pass-Thru, Pool AK9439 | 4.00% | 03/01/2042 | 1646425 |
| 511060 | Federal National Mortgage Association Pass-Thru, Pool AK9446 | 4.50% | 03/01/2042 | 499476 |
| 50236835 | Federal National Mortgage Association Pass-Thru, Pool AL3699 | 3.00% | 06/01/2043 | 44934302 |
| 26899912 | Federal National Mortgage Association Pass-Thru, Pool AL3883 | 3.00% | 07/01/2043 | 24061034 |
| 559861 | Federal National Mortgage Association Pass-Thru, Pool AL4292 | 4.50% | 04/01/2026 | 559327 |
| 4468572 | Federal National Mortgage Association Pass-Thru, Pool AL4312 | 4.00% | 10/01/2043 | 4309911 |
| 9865085 | Federal National Mortgage Association Pass-Thru, Pool AL6075 | 3.50% | 09/01/2053 | 8875859 |
| 18341749 | Federal National Mortgage Association Pass-Thru, Pool AL6076 | 3.00% | 06/01/2053 | 16165269 |
| 24882499 | Federal National Mortgage Association Pass-Thru, Pool AL6141 | 4.00% | 04/01/2042 | 23919207 |
| 23661717 | Federal National Mortgage Association Pass-Thru, Pool AL6325 | 3.00% | 10/01/2044 | 21555921 |
| 7768511 | Federal National Mortgage Association Pass-Thru, Pool AL6486 | 4.50% | 02/01/2045 | 7638749 |
| 23978834 | Federal National Mortgage Association Pass-Thru, Pool AL6538 | 4.50% | 06/01/2044 | 23793420 |
| 22764393 | Federal National Mortgage Association Pass-Thru, Pool AL8304 | 3.50% | 03/01/2046 | 21194069 |
| 11312029 | Federal National Mortgage Association Pass-Thru, Pool AL9220 | 3.00% | 06/01/2045 | 10305354 |
| 20391714 | Federal National Mortgage Association Pass-Thru, Pool AL9445 | 3.00% | 07/01/2031 | 19529322 |
| 5010286 | Federal National Mortgage Association Pass-Thru, Pool AO2980 | 4.00% | 05/01/2042 | 4636446 |
| 14072363 | Federal National Mortgage Association Pass-Thru, Pool AP4787 | 3.50% | 09/01/2042 | 12738443 |
| 10864658 | Federal National Mortgage Association Pass-Thru, Pool AP4789 | 3.50% | 09/01/2042 | 9834735 |
| 6779097 | Federal National Mortgage Association Pass-Thru, Pool AQ5541 | 3.00% | 12/01/2042 | 6175225 |
| 6765339 | Federal National Mortgage Association Pass-Thru, Pool AR9856 | 3.00% | 04/01/2043 | 6162607 |
| 6459784 | Federal National Mortgage Association Pass-Thru, Pool AS1927 | 4.50% | 03/01/2044 | 6339121 |
| 7085311 | Federal National Mortgage Association Pass-Thru, Pool AS2038 | 4.50% | 03/01/2044 | 6966982 |
| 4320846 | Federal National Mortgage Association Pass-Thru, Pool AS2517 | 4.50% | 05/01/2044 | 4248681 |
| 2166474 | Federal National Mortgage Association Pass-Thru, Pool AS2551 | 4.50% | 06/01/2044 | 2130710 |
| 2068809 | Federal National Mortgage Association Pass-Thru, Pool AS2765 | 4.50% | 07/01/2044 | 2034653 |
| 9989059 | Federal National Mortgage Association Pass-Thru, Pool AS3201 | 3.00% | 08/01/2034 | 9376714 |
| 4851771 | Federal National Mortgage Association Pass-Thru, Pool AS3456 | 3.00% | 10/01/2034 | 4554369 |
| 9864657 | Federal National Mortgage Association Pass-Thru, Pool AS3666 | 3.00% | 10/01/2034 | 9259826 |
| 31415989 | Federal National Mortgage Association Pass-Thru, Pool AS3961 | 3.00% | 12/01/2044 | 28343868 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 12551123 | Federal National Mortgage Association Pass-Thru, Pool AS4154 | 3.00% | 12/01/2044 | 11313455 |
| 8057028 | Federal National Mortgage Association Pass-Thru, Pool AS4212 | 3.00% | 01/01/2035 | 7563052 |
| 11965635 | Federal National Mortgage Association Pass-Thru, Pool AS4281 | 3.00% | 01/01/2035 | 11231993 |
| 9065233 | Federal National Mortgage Association Pass-Thru, Pool AS4345 | 3.50% | 01/01/2045 | 8471809 |
| 11610534 | Federal National Mortgage Association Pass-Thru, Pool AS4360 | 3.00% | 01/01/2035 | 10783998 |
| 72136509 | Federal National Mortgage Association Pass-Thru, Pool AS4625 | 3.00% | 03/01/2045 | 64993541 |
| 27998188 | Federal National Mortgage Association Pass-Thru, Pool AS4645 | 3.00% | 03/01/2045 | 25225813 |
| 12247039 | Federal National Mortgage Association Pass-Thru, Pool AS4779 | 3.00% | 04/01/2035 | 11375281 |
| 9978329 | Federal National Mortgage Association Pass-Thru, Pool AS4780 | 3.00% | 04/01/2035 | 9366491 |
| 12886844 | Federal National Mortgage Association Pass-Thru, Pool AS4840 | 3.00% | 04/01/2035 | 12096077 |
| 8899181 | Federal National Mortgage Association Pass-Thru, Pool AS4881 | 3.00% | 05/01/2035 | 8265702 |
| 14521328 | Federal National Mortgage Association Pass-Thru, Pool AS7473 | 3.00% | 07/01/2046 | 12876642 |
| 30252215 | Federal National Mortgage Association Pass-Thru, Pool AS7661 | 3.00% | 08/01/2046 | 26825782 |
| 19783914 | Federal National Mortgage Association Pass-Thru, Pool AS8056 | 3.00% | 10/01/2046 | 17716260 |
| 28261834 | Federal National Mortgage Association Pass-Thru, Pool AS8111 | 3.00% | 10/01/2041 | 25496455 |
| 17155781 | Federal National Mortgage Association Pass-Thru, Pool AS8269 | 3.00% | 11/01/2046 | 15362810 |
| 14361764 | Federal National Mortgage Association Pass-Thru, Pool AS8306 | 3.00% | 11/01/2041 | 12981408 |
| 16824544 | Federal National Mortgage Association Pass-Thru, Pool AS8356 | 3.00% | 11/01/2046 | 14918925 |
| 14026857 | Federal National Mortgage Association Pass-Thru, Pool AX9696 | 3.00% | 07/01/2045 | 12438394 |
| 17706921 | Federal National Mortgage Association Pass-Thru, Pool AY3974 | 3.00% | 03/01/2045 | 15931504 |
| 6165342 | Federal National Mortgage Association Pass-Thru, Pool AY4295 | 3.00% | 02/01/2045 | 5543382 |
| 426746 | Federal National Mortgage Association Pass-Thru, Pool AY4296 | 3.00% | 01/01/2045 | 378410 |
| 2807752 | Federal National Mortgage Association Pass-Thru, Pool AY5471 | 3.00% | 03/01/2045 | 2489755 |
| 6069015 | Federal National Mortgage Association Pass-Thru, Pool AZ0576 | 3.50% | 04/01/2042 | 5538998 |
| 8914485 | Federal National Mortgage Association Pass-Thru, Pool BC0785 | 3.50% | 04/01/2046 | 8267950 |
| 16664451 | Federal National Mortgage Association Pass-Thru, Pool BC9003 | 3.00% | 11/01/2046 | 14962357 |
| 8446057 | Federal National Mortgage Association Pass-Thru, Pool BC9081 | 3.00% | 12/01/2046 | 7568606 |
| 82259127 | Federal National Mortgage Association Pass-Thru, Pool BF0314 | 3.00% | 01/01/2053 | 73343958 |
| 68285706 | Federal National Mortgage Association Pass-Thru, Pool BF0353 | 3.00% | 05/01/2053 | 60884402 |
| 36775431 | Federal National Mortgage Association Pass-Thru, Pool BF0391 | 3.00% | 09/01/2053 | 32801038 |
| 21012474 | Federal National Mortgage Association Pass-Thru, Pool BK8257 | 1.50% | 12/01/2050 | 15753241 |
| 19335239 | Federal National Mortgage Association Pass-Thru, Pool BK8267 | 2.50% | 12/01/2050 | 16627814 |
| 43046215 | Federal National Mortgage Association Pass-Thru, Pool BM5112 | 3.00% | 11/01/2033 | 41010213 |
| 19343068 | Federal National Mortgage Association Pass-Thru, Pool BM5299 | 3.00% | 12/01/2046 | 17327489 |
| 29845520 | Federal National Mortgage Association Pass-Thru, Pool BM5633 | 3.00% | 07/01/2047 | 26716827 |
| 4370287 | Federal National Mortgage Association Pass-Thru, Pool BM5834 | 3.00% | 04/01/2048 | 3875213 |
| 49342644 | Federal National Mortgage Association Pass-Thru, Pool BM6779 | 2.00% | 08/01/2051 | 38832446 |
| 8412045 | Federal National Mortgage Association Pass-Thru, Pool BQ6432 | 2.00% | 08/01/2051 | 6620327 |
| 16664202 | Federal National Mortgage Association Pass-Thru, Pool BQ6564 | 2.00% | 09/01/2051 | 13114667 |
| 27608641 | Federal National Mortgage Association Pass-Thru, Pool BS4319 | 2.35% | 01/01/2039 | 20273132 |
| 19967523 | Federal National Mortgage Association Pass-Thru, Pool BT1777 | 2.50% | 06/01/2051 | 17150173 |
| 1619846 | Federal National Mortgage Association Pass-Thru, Pool BT6556 | 2.00% | 07/01/2051 | 1274803 |
| 8418852 | Federal National Mortgage Association Pass-Thru, Pool CA0862 | 3.50% | 09/01/2047 | 7811848 |
| 6391606 | Federal National Mortgage Association Pass-Thru, Pool CA3898 | 3.00% | 07/01/2034 | 6009697 |
| 4545603 | Federal National Mortgage Association Pass-Thru, Pool CA4413 | 3.00% | 10/01/2049 | 3968650 |
| 41517612 | Federal National Mortgage Association Pass-Thru, Pool CA7235 | 2.50% | 10/01/2050 | 35391201 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 13147552 | Federal National Mortgage Association Pass-Thru, Pool CA7671 | 2.50% | 11/01/2040 | 11578331 |
| 22859617 | Federal National Mortgage Association Pass-Thru, Pool CA7789 | 2.50% | 11/01/2040 | 20131197 |
| 17761642 | Federal National Mortgage Association Pass-Thru, Pool CB0189 | 3.00% | 04/01/2051 | 15628246 |
| 3752055 | Federal National Mortgage Association Pass-Thru, Pool CB1648 | 2.00% | 09/01/2051 | 2952871 |
| 14446230 | Federal National Mortgage Association Pass-Thru, Pool CB3332 | 3.50% | 04/01/2052 | 13224504 |
| 98071876 | Federal National Mortgage Association Pass-Thru, Pool CB4291 | 5.00% | 08/01/2052 | 96906059 |
| 49924936 | Federal National Mortgage Association Pass-Thru, Pool FM1000 | 3.00% | 04/01/2047 | 44585405 |
| 26420712 | Federal National Mortgage Association Pass-Thru, Pool FM4347 | 2.50% | 09/01/2050 | 22576725 |
| 47554639 | Federal National Mortgage Association Pass-Thru, Pool FM4752 | 2.50% | 11/01/2050 | 40932264 |
| 52085749 | Federal National Mortgage Association Pass-Thru, Pool FM4792 | 2.50% | 11/01/2050 | 44399899 |
| 29386665 | Federal National Mortgage Association Pass-Thru, Pool FM4913 | 2.50% | 11/01/2050 | 25038162 |
| 36964545 | Federal National Mortgage Association Pass-Thru, Pool FM5150 | 2.00% | 12/01/2050 | 30263748 |
| 5551454 | Federal National Mortgage Association Pass-Thru, Pool FM6864 | 1.50% | 04/01/2041 | 4548154 |
| 70057544 | Federal National Mortgage Association Pass-Thru, Pool FM7557 | 3.50% | 03/01/2050 | 64705025 |
| 69634747 | Federal National Mortgage Association Pass-Thru, Pool FM8104 | 3.00% | 07/01/2051 | 61471449 |
| 30573331 | Federal National Mortgage Association Pass-Thru, Pool FM8158 | 2.50% | 07/01/2051 | 26516127 |
| 69933608 | Federal National Mortgage Association Pass-Thru, Pool FM8215 | 2.50% | 03/01/2051 | 60163026 |
| 52147601 | Federal National Mortgage Association Pass-Thru, Pool FM8304 | 4.00% | 07/01/2049 | 49704270 |
| 67642739 | Federal National Mortgage Association Pass-Thru, Pool FM8435 | 2.50% | 09/01/2051 | 58157772 |
| 75340628 | Federal National Mortgage Association Pass-Thru, Pool FM8769 | 2.50% | 09/01/2051 | 64688210 |
| 38988245 | Federal National Mortgage Association Pass-Thru, Pool FM8780 | 2.50% | 09/01/2051 | 33372724 |
| 10995256 | Federal National Mortgage Association Pass-Thru, Pool FM9422 | 2.00% | 01/01/2051 | 9004640 |
| 31768704 | Federal National Mortgage Association Pass-Thru, Pool FM9490 | 2.00% | 11/01/2051 | 26189726 |
| 19755952 | Federal National Mortgage Association Pass-Thru, Pool FM9846 | 2.50% | 12/01/2051 | 16786227 |
| 151400330 | Federal National Mortgage Association Pass-Thru, Pool FM9958 | 3.50% | 11/01/2051 | 138295880 |
| 88359396 | Federal National Mortgage Association Pass-Thru, Pool FM9993 | 3.50% | 07/01/2051 | 81211200 |
| 37476127 | Federal National Mortgage Association Pass-Thru, Pool FS0009 | 3.50% | 11/01/2051 | 34195154 |
| 60203440 | Federal National Mortgage Association Pass-Thru, Pool FS1472 | 3.50% | 11/01/2050 | 55276576 |
| 17647731 | Federal National Mortgage Association Pass-Thru, Pool FS2588 | 4.50% | 08/01/2052 | 17068964 |
| 832634 | Federal National Mortgage Association Pass-Thru, Pool MA0264 | 4.50% | 12/01/2029 | 826999 |
| 2994812 | Federal National Mortgage Association Pass-Thru, Pool MA0353 | 4.50% | 03/01/2030 | 2974542 |
| 605145 | Federal National Mortgage Association Pass-Thru, Pool MA0406 | 4.50% | 05/01/2030 | 601049 |
| 38643 | Federal National Mortgage Association Pass-Thru, Pool MA0445 | 5.00% | 06/01/2040 | 37808 |
| 72153 | Federal National Mortgage Association Pass-Thru, Pool MA0468 | 5.00% | 07/01/2040 | 70594 |
| 892874 | Federal National Mortgage Association Pass-Thru, Pool MA0534 | 4.00% | 10/01/2030 | 865115 |
| 203270 | Federal National Mortgage Association Pass-Thru, Pool MA0587 | 4.00% | 12/01/2030 | 196949 |
| 5202251 | Federal National Mortgage Association Pass-Thru, Pool MA0616 | 4.00% | 01/01/2031 | 5040439 |
| 1193127 | Federal National Mortgage Association Pass-Thru, Pool MA0896 | 4.00% | 11/01/2041 | 1103057 |
| 39106486 | Federal National Mortgage Association Pass-Thru, Pool MA0919 | 3.50% | 12/01/2031 | 37906273 |
| 16674121 | Federal National Mortgage Association Pass-Thru, Pool MA0949 | 3.50% | 01/01/2032 | 16162355 |
| 19607790 | Federal National Mortgage Association Pass-Thru, Pool MA0976 | 3.50% | 02/01/2032 | 19006047 |
| 9981371 | Federal National Mortgage Association Pass-Thru, Pool MA1010 | 3.50% | 03/01/2032 | 9675025 |
| 2020040 | Federal National Mortgage Association Pass-Thru, Pool MA1039 | 3.50% | 04/01/2042 | 1828327 |
| 13421039 | Federal National Mortgage Association Pass-Thru, Pool MA1059 | 3.50% | 05/01/2032 | 13009080 |
| 1164333 | Federal National Mortgage Association Pass-Thru, Pool MA1068 | 3.50% | 05/01/2042 | 1053976 |
| 29462803 | Federal National Mortgage Association Pass-Thru, Pool MA1084 | 3.50% | 06/01/2032 | 28558276 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3413656 | Federal National Mortgage Association Pass-Thru, Pool MA1093 | 3.50% | 06/01/2042 | 3090438 |
| 2013546 | Federal National Mortgage Association Pass-Thru, Pool MA1094 | 4.00% | 06/01/2042 | 1863314 |
| 18006044 | Federal National Mortgage Association Pass-Thru, Pool MA1107 | 3.50% | 07/01/2032 | 17142880 |
| 29304523 | Federal National Mortgage Association Pass-Thru, Pool MA1117 | 3.50% | 07/01/2042 | 26525543 |
| 32553314 | Federal National Mortgage Association Pass-Thru, Pool MA1136 | 3.50% | 08/01/2042 | 29466946 |
| 12725565 | Federal National Mortgage Association Pass-Thru, Pool MA1138 | 3.50% | 08/01/2032 | 12334815 |
| 9342208 | Federal National Mortgage Association Pass-Thru, Pool MA1179 | 3.50% | 09/01/2042 | 8456151 |
| 2415535 | Federal National Mortgage Association Pass-Thru, Pool MA1201 | 3.50% | 10/01/2032 | 2341344 |
| 15682079 | Federal National Mortgage Association Pass-Thru, Pool MA1209 | 3.50% | 10/01/2042 | 14199231 |
| 16059769 | Federal National Mortgage Association Pass-Thru, Pool MA1237 | 3.00% | 11/01/2032 | 15125597 |
| 1456264 | Federal National Mortgage Association Pass-Thru, Pool MA1242 | 3.50% | 11/01/2042 | 1318202 |
| 9168685 | Federal National Mortgage Association Pass-Thru, Pool MA1338 | 3.00% | 02/01/2033 | 8629465 |
| 36543408 | Federal National Mortgage Association Pass-Thru, Pool MA1366 | 3.00% | 03/01/2033 | 34393917 |
| 21897895 | Federal National Mortgage Association Pass-Thru, Pool MA1401 | 3.00% | 04/01/2033 | 20609744 |
| 38250998 | Federal National Mortgage Association Pass-Thru, Pool MA1459 | 3.00% | 06/01/2033 | 35906243 |
| 4878232 | Federal National Mortgage Association Pass-Thru, Pool MA1490 | 3.00% | 07/01/2033 | 4579168 |
| 24258089 | Federal National Mortgage Association Pass-Thru, Pool MA2018 | 3.50% | 09/01/2034 | 23273169 |
| 5476060 | Federal National Mortgage Association Pass-Thru, Pool MA2114 | 3.50% | 12/01/2044 | 4958747 |
| 4349707 | Federal National Mortgage Association Pass-Thru, Pool MA2151 | 3.50% | 01/01/2045 | 3937154 |
| 14415198 | Federal National Mortgage Association Pass-Thru, Pool MA2164 | 3.50% | 02/01/2035 | 13794983 |
| 11107064 | Federal National Mortgage Association Pass-Thru, Pool MA2166 | 3.50% | 02/01/2045 | 10057790 |
| 11161899 | Federal National Mortgage Association Pass-Thru, Pool MA2248 | 3.00% | 04/01/2045 | 9898975 |
| 36252392 | Federal National Mortgage Association Pass-Thru, Pool MA2259 | 3.00% | 05/01/2035 | 33671800 |
| 15832439 | Federal National Mortgage Association Pass-Thru, Pool MA2270 | 3.00% | 05/01/2045 | 14039490 |
| 15304231 | Federal National Mortgage Association Pass-Thru, Pool MA2621 | 3.50% | 05/01/2046 | 13852206 |
| 16757663 | Federal National Mortgage Association Pass-Thru, Pool MA2649 | 3.00% | 06/01/2046 | 14859529 |
| 15408847 | Federal National Mortgage Association Pass-Thru, Pool MA2650 | 3.50% | 06/01/2046 | 13946966 |
| 5237857 | Federal National Mortgage Association Pass-Thru, Pool MA2673 | 3.00% | 07/01/2046 | 4644566 |
| 19269196 | Federal National Mortgage Association Pass-Thru, Pool MA2711 | 3.00% | 08/01/2046 | 17086616 |
| 1828411 | Federal National Mortgage Association Pass-Thru, Pool MA2743 | 3.00% | 09/01/2046 | 1621302 |
| 43289591 | Federal National Mortgage Association Pass-Thru, Pool MA2806 | 3.00% | 11/01/2046 | 38912620 |
| 13908647 | Federal National Mortgage Association Pass-Thru, Pool MA2833 | 3.00% | 12/01/2046 | 12502343 |
| 17506866 | Federal National Mortgage Association Pass-Thru, Pool MA2895 | 3.00% | 02/01/2047 | 15666320 |
| 2479565 | Federal National Mortgage Association Pass-Thru, Pool MA3894 | 4.00% | 09/01/2031 | 2402371 |
| 37747326 | Federal National Mortgage Association Pass-Thru, Pool MA4100 | 2.00% | 08/01/2050 | 30980662 |
| 79833148 | Federal National Mortgage Association Pass-Thru, Pool MA4191 | 2.00% | 11/01/2050 | 62828886 |
| 99602048 | Federal National Mortgage Association Pass-Thru, Pool MA4306 | 2.50% | 04/01/2051 | 84719461 |
| 52940122 | Federal National Mortgage Association Pass-Thru, Pool MA4340 | 2.00% | 05/01/2051 | 41663869 |
| 54928098 | Federal National Mortgage Association Pass-Thru, Pool MA4600 | 3.50% | 05/01/2052 | 49954860 |
| 82391605 | Federal National Mortgage Association Pass-Thru, Pool MA4701 | 4.50% | 08/01/2052 | 79387988 |
| 48808346 | Federal National Mortgage Association Pass-Thru, Pool MA4733 | 4.50% | 09/01/2052 | 47027744 |
| 35151830 | Federal National Mortgage Association Pass-Thru, Series 2022-18-DZ | 3.50 % (g) | 04/25/2052 | 26570017 |
| 335435 | Federal National Mortgage Association REMICS, Series 2002-70-QZ | 5.50% | 11/25/2032 | 341135 |
| 477227 | Federal National Mortgage Association REMICS, Series 2002-75-ZG | 5.50% | 11/25/2032 | 478833 |

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 6930149 | Federal National Mortgage Association REMICS, Series 2003-129-ZT | 5.50% | 01/25/2034 | 7028787 |
| 1191420 | Federal National Mortgage Association REMICS, Series 2003-29-ZL | 5.00% | 04/25/2033 | 1188199 |
| 592552 | Federal National Mortgage Association REMICS, Series 2003-64-ZG | 5.50% | 07/25/2033 | 595204 |
| 4698300 | Federal National Mortgage Association REMICS, Series 2003-84-PZ | 5.00% | 09/25/2033 | 4673948 |
| 863824 | Federal National Mortgage Association REMICS, Series 2004-46-PJ (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | 1.61 % (d)(f) | 03/25/2034 | 15313 |
| 1357902 | Federal National Mortgage Association REMICS, Series 2004-51-XP (-1 x 1 Month LIBOR USD + 7.70%, 0.00% Floor, 7.70% Cap) | 3.31 % (d)(f) | 07/25/2034 | 102662 |
| 49053 | Federal National Mortgage Association REMICS, Series 2005-107-EG | 4.50% | 01/25/2026 | 48205 |
| 250145 | Federal National Mortgage Association REMICS, Series 2005-37-ZK | 4.50% | 05/25/2035 | 244490 |
| 2365600 | Federal National Mortgage Association REMICS, Series 2005-87-SG (-1 x 1 Month LIBOR USD + 6.70%, 0.00% Floor, 6.70% Cap) | 2.31 % (d)(f) | 10/25/2035 | 219575 |
| 2084069 | Federal National Mortgage Association REMICS, Series 2006-101-SA (-1 x 1 Month LIBOR USD + 6.58%, 0.00% Floor, 6.58% Cap) | 2.19 % (d)(f) | 10/25/2036 | 188063 |
| 812915 | Federal National Mortgage Association REMICS, Series 2006-123-LI (-1 x 1 Month LIBOR USD + 6.32%, 0.00% Floor, 6.32% Cap) | 1.93 % (d)(f) | 01/25/2037 | 73313 |
| 303401 | Federal National Mortgage Association REMICS, Series 2006-16-HZ | 5.50% | 03/25/2036 | 303766 |
| 3368221 | Federal National Mortgage Association REMICS, Series 2006-56-SM (-1 x 1 Month LIBOR USD + 6.75%, 0.00% Floor, 6.75% Cap) | 2.36 % (d)(f) | 07/25/2036 | 270509 |
| 263303 | Federal National Mortgage Association REMICS, Series 2006-93-SN (-1 x 1 Month LIBOR USD + 6.60%, 0.00% Floor, 6.60% Cap) | 2.21 % (d)(f) | 10/25/2036 | 21071 |
| 4373603 | Federal National Mortgage Association REMICS, Series 2007-109-VZ | 5.00% | 10/25/2035 | 4361714 |
| 510158 | Federal National Mortgage Association REMICS, Series 2007-116-BI (-1 x 1 Month LIBOR USD + 6.25%, 0.00% Floor, 6.25% Cap) | 1.86 % (d)(f) | 05/25/2037 | 28260 |
| 3291969 | Federal National Mortgage Association REMICS, Series 2007-14-PS (-1 x 1 Month LIBOR USD + 6.81%, 0.00% Floor, 6.81% Cap) | 2.42 % (d)(f) | 03/25/2037 | 215259 |
| 1593345 | Federal National Mortgage Association REMICS, Series 2007-30-OI (-1 x 1 Month LIBOR USD + 6.44%, 0.00% Floor, 6.44% Cap) | 2.05 % (d)(f) | 04/25/2037 | 134814 |
| 191020 | Federal National Mortgage Association REMICS, Series 2007-30-SI (-1 x 1 Month LIBOR USD + 6.11%, 0.00% Floor, 6.11% Cap) | 1.72 % (d)(f) | 04/25/2037 | 10263 |
| 1375969 | Federal National Mortgage Association REMICS, Series 2007-32-SG (-1 x 1 Month LIBOR USD + 6.10%, 0.00% Floor, 6.10% Cap) | 1.71 % (d)(f) | 04/25/2037 | 95955 |
| 1347831 | Federal National Mortgage Association REMICS, Series 2007-57-SX (-1 x 1 Month LIBOR USD + 6.62%, 0.00% Floor, 6.62% Cap) | 2.23 % (d)(f) | 10/25/2036 | 113149 |
| 2122293 | Federal National Mortgage Association REMICS, Series 2007-60-VZ | 6.00% | 07/25/2037 | 2171668 |
| 1377773 | Federal National Mortgage Association REMICS, Series 2007-71-GZ | 6.00% | 07/25/2047 | 1309307 |
| 1697918 | Federal National Mortgage Association REMICS, Series 2007-75-ID (-1 x 1 Month LIBOR USD + 5.87%, 0.00% Floor, 5.87% Cap) | 1.48 % (d)(f) | 08/25/2037 | 127238 |
| 203349 | Federal National Mortgage Association REMICS, Series 2007-9-SD (-1 x 1 Month LIBOR USD + 6.65%, 0.00% Floor, 6.65% Cap) | 2.26 % (d)(f) | 03/25/2037 | 13321 |
| 1714432 | Federal National Mortgage Association REMICS, Series 2008-29-ZA | 4.50% | 04/25/2038 | 1676167 |
| 3511359 | Federal National Mortgage Association REMICS, Series 2008-48-BE | 5.00% | 06/25/2034 | 3510465 |

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------

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| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 317500 | Federal National Mortgage Association REMICS, Series 2008-48-SD (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | 1.61 % (d)(f) | 06/25/2037 | 19773 |
| 118226 | Federal National Mortgage Association REMICS, Series 2008-53-LI (-1 x 1 Month LIBOR USD + 6.15%, 0.00% Floor, 6.15% Cap) | 1.76 % (d)(f) | 07/25/2038 | 8360 |
| 309728 | Federal National Mortgage Association REMICS, Series 2008-57-SE (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | 1.61 % (d)(f) | 02/25/2037 | 17768 |
| 422193 | Federal National Mortgage Association REMICS, Series 2008-5-MS (-1 x 1 Month LIBOR USD + 6.25%, 0.00% Floor, 6.25% Cap) | 1.86 % (d)(f) | 02/25/2038 | 27981 |
| 314818 | Federal National Mortgage Association REMICS, Series 2008-61-SC (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | 1.61 % (d)(f) | 07/25/2038 | 15606 |
| 225551 | Federal National Mortgage Association REMICS, Series 2008-62-SC (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | 1.61 % (d)(f) | 07/25/2038 | 12051 |
| 900802 | Federal National Mortgage Association REMICS, Series 2008-65-SA (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | 1.61 % (d)(f) | 08/25/2038 | 65091 |
| 162672 | Federal National Mortgage Association REMICS, Series 2008-81-LP | 5.50% | 09/25/2038 | 161230 |
| 1927691 | Federal National Mortgage Association REMICS, Series 2009-106-EZ | 4.50% | 01/25/2040 | 1842951 |
| 297638 | Federal National Mortgage Association REMICS, Series 2009-111-SE (-1 x 1 Month LIBOR USD + 6.25%, 0.00% Floor, 6.25% Cap) | 1.86 % (d)(f) | 01/25/2040 | 27044 |
| 245518 | Federal National Mortgage Association REMICS, Series 2009-16-MZ | 5.00% | 03/25/2029 | 243244 |
| 822793 | Federal National Mortgage Association REMICS, Series 2009-42-SI (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | 1.61 % (d)(f) | 06/25/2039 | 58588 |
| 638061 | Federal National Mortgage Association REMICS, Series 2009-42-SX (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | 1.61 % (d)(f) | 06/25/2039 | 45317 |
| 296691 | Federal National Mortgage Association REMICS, Series 2009-47-SA (-1 x 1 Month LIBOR USD + 6.10%, 0.00% Floor, 6.10% Cap) | 1.71 % (d)(f) | 07/25/2039 | 14660 |
| 214167 | Federal National Mortgage Association REMICS, Series 2009-48-WS (-1 x 1 Month LIBOR USD + 5.95%, 0.00% Floor, 5.95% Cap) | 1.56 % (d)(f) | 07/25/2039 | 15279 |
| 2311992 | Federal National Mortgage Association REMICS, Series 2009-49-S (-1 x 1 Month LIBOR USD + 6.75%, 0.00% Floor, 6.75% Cap) | 2.36 % (d)(f) | 07/25/2039 | 140218 |
| 228256 | Federal National Mortgage Association REMICS, Series 2009-51-BZ | 4.50% | 07/25/2039 | 222081 |
| 638895 | Federal National Mortgage Association REMICS, Series 2009-54-EZ | 5.00% | 07/25/2039 | 629679 |
| 285145 | Federal National Mortgage Association REMICS, Series 2009-70-SA (-1 x 1 Month LIBOR USD + 5.80%, 0.00% Floor, 5.80% Cap) | 1.41 % (d)(f) | 09/25/2039 | 14953 |
| 1285936 | Federal National Mortgage Association REMICS, Series 2009-80-PM | 4.50% | 10/25/2039 | 1176388 |
| 1390321 | Federal National Mortgage Association REMICS, Series 2009-83-Z | 4.50% | 10/25/2039 | 1339883 |
| 5736493 | Federal National Mortgage Association REMICS, Series 2009-85-ES (-1 x 1 Month LIBOR USD + 7.23%, 0.00% Floor, 7.23% Cap) | 2.84 % (d)(f) | 01/25/2036 | 431491 |
| 8742996 | Federal National Mortgage Association REMICS, Series 2009-85-JS (-1 x 1 Month LIBOR USD + 6.75%, 0.00% Floor, 6.75% Cap) | 2.36 % (d)(f) | 10/25/2039 | 911456 |
| 514484 | Federal National Mortgage Association REMICS, Series 2009-90-IB (-1 x 1 Month LIBOR USD + 5.72%, 0.00% Floor, 5.72% Cap) | 1.33 % (d)(f) | 04/25/2037 | 21582 |
| 362954 | Federal National Mortgage Association REMICS, Series 2009-94-BC | 5.00% | 11/25/2039 | 347223 |
| 6840197 | Federal National Mortgage Association REMICS, Series 2010-101-SA (-1 x 1 Month LIBOR USD + 4.48%, 0.00% Floor, 4.48% Cap) | 0.09 % (d)(f) | 09/25/2040 | 255078 |
| 3089913 | Federal National Mortgage Association REMICS, Series 2010-101-ZC | 4.50% | 09/25/2040 | 3010783 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 6218263 | Federal National Mortgage Association REMICS, Series 2010-101-ZH | 4.50% | 07/25/2040 | 6078015 |
| 2129660 | Federal National Mortgage Association REMICS, Series 2010-10-SA (-1 x 1 Month LIBOR USD + 6.35%, 0.00% Floor, 6.35% Cap) | 1.96 % (d)(f) | 02/25/2040 | 165780 |
| 655772 | Federal National Mortgage Association REMICS, Series 2010-10-ZA | 4.50% | 02/25/2040 | 623849 |
| 730925 | Federal National Mortgage Association REMICS, Series 2010-111-S (-1 x 1 Month LIBOR USD + 5.95%, 0.00% Floor, 5.95% Cap) | 1.56 % (d)(f) | 10/25/2050 | 72474 |
| 1027116 | Federal National Mortgage Association REMICS, Series 2010-116-Z | 4.00% | 10/25/2040 | 957391 |
| 257343 | Federal National Mortgage Association REMICS, Series 2010-117-SA (-1 x 1 Month LIBOR USD + 4.50%, 0.00% Floor, 4.50% Cap) | 0.11 % (d)(f) | 10/25/2040 | 7312 |
| 775456 | Federal National Mortgage Association REMICS, Series 2010-120-KD | 4.00% | 10/25/2040 | 723073 |
| 6885545 | Federal National Mortgage Association REMICS, Series 2010-121-SD (-1 x 1 Month LIBOR USD + 4.50%, 0.00% Floor, 4.50% Cap) | 0.11 % (d)(f) | 10/25/2040 | 267368 |
| 242685 | Federal National Mortgage Association REMICS, Series 2010-126-SU (-11 x 1 Month LIBOR USD + 55.00%, 0.00% Floor, 55.00% Cap) | 9.68 % (f) | 11/25/2040 | 349024 |
| 178693 | Federal National Mortgage Association REMICS, Series 2010-126-SX (-3 x 1 Month LIBOR USD + 15.00%, 0.00% Floor, 15.00% Cap) | 2.64 % (f) | 11/25/2040 | 144003 |
| 1127506 | Federal National Mortgage Association REMICS, Series 2010-128-HZ | 4.00% | 11/25/2040 | 1072240 |
| 785753 | Federal National Mortgage Association REMICS, Series 2010-132-Z | 4.50% | 11/25/2040 | 731275 |
| 88008 | Federal National Mortgage Association REMICS, Series 2010-137-VS (-3 x 1 Month LIBOR USD + 15.00%, 0.00% Floor, 15.00% Cap) | 2.64 % (f) | 12/25/2040 | 76774 |
| 4683481 | Federal National Mortgage Association REMICS, Series 2010-142-AZ | 4.00% | 12/25/2040 | 4408409 |
| 2023936 | Federal National Mortgage Association REMICS, Series 2010-148-SA (-1 x 1 Month LIBOR USD + 6.65%, 0.00% Floor, 6.65% Cap) | 2.26 % (d)(f) | 01/25/2026 | 28094 |
| 7726248 | Federal National Mortgage Association REMICS, Series 2010-150-ZA | 4.00% | 01/25/2041 | 7169053 |
| 3574245 | Federal National Mortgage Association REMICS, Series 2010-16-SA (-1 x 1 Month LIBOR USD + 5.45%, 0.00% Floor, 5.45% Cap) | 1.06 % (d)(f) | 03/25/2040 | 206761 |
| 1378930 | Federal National Mortgage Association REMICS, Series 2010-21-DZ | 5.00% | 03/25/2040 | 1373600 |
| 579189 | Federal National Mortgage Association REMICS, Series 2010-21-KS (-1 x 1 Month LIBOR USD + 4.95%, 0.00% Floor, 4.95% Cap) | 0.56 % (d)(f) | 03/25/2040 | 9099 |
| 45724 | Federal National Mortgage Association REMICS, Series 2010-2-GS (-1 x 1 Month LIBOR USD + 6.45%, 0.00% Floor, 6.45% Cap) | 2.06 % (d)(f) | 12/25/2049 | 268 |
| 965225 | Federal National Mortgage Association REMICS, Series 2010-2-MS (-1 x 1 Month LIBOR USD + 6.25%, 0.00% Floor, 6.25% Cap) | 1.86 % (d)(f) | 02/25/2050 | 93274 |
| 720358 | Federal National Mortgage Association REMICS, Series 2010-31-SA (-1 x 1 Month LIBOR USD + 5.00%, 0.00% Floor, 5.00% Cap) | 0.61 % (d)(f) | 04/25/2040 | 24271 |
| 708674 | Federal National Mortgage Association REMICS, Series 2010-34-PS (-1 x 1 Month LIBOR USD + 4.93%, 0.00% Floor, 4.93% Cap) | 0.54 % (d)(f) | 04/25/2040 | 34888 |
| 213761 | Federal National Mortgage Association REMICS, Series 2010-35-ES (-1 x 1 Month LIBOR USD + 6.45%, 0.00% Floor, 6.45% Cap) | 2.06 % (d)(f) | 04/25/2040 | 8382 |
| 117024 | Federal National Mortgage Association REMICS, Series 2010-35-SV (-1 x 1 Month LIBOR USD + 6.45%, 0.00% Floor, 6.45% Cap) | 2.06 % (d)(f) | 04/25/2040 | 2829 |
| 556954 | Federal National Mortgage Association REMICS, Series 2010-46-MS (-1 x 1 Month LIBOR USD + 4.95%, 0.00% Floor, 4.95% Cap) | 0.56 % (d)(f) | 05/25/2040 | 39959 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 3797621 | Federal National Mortgage Association REMICS, Series 2010-49-ZW | 4.50% | 05/25/2040 | 3468701 |
| 1032281 | Federal National Mortgage Association REMICS, Series 2010-4-SK (-1 x 1 Month LIBOR USD + 6.23%, 0.00% Floor, 6.23% Cap) | 1.84 % (d)(f) | 02/25/2040 | 61983 |
| 305783 | Federal National Mortgage Association REMICS, Series 2010-58-ES (-3 x 1 Month LIBOR USD + 12.47%, 0.00% Floor, 12.47% Cap) | 1.19 % (f) | 06/25/2040 | 255944 |
| 2825990 | Federal National Mortgage Association REMICS, Series 2010-59-MS (-1 x 1 Month LIBOR USD + 5.77%, 0.00% Floor, 5.77% Cap) | 1.38 % (d)(f) | 06/25/2040 | 179116 |
| 3407828 | Federal National Mortgage Association REMICS, Series 2010-59-SC (-1 x 1 Month LIBOR USD + 5.00%, 0.00% Floor, 5.00% Cap) | 0.61 % (d)(f) | 01/25/2040 | 166900 |
| 219885 | Federal National Mortgage Association REMICS, Series 2010-60-VZ | 5.00% | 10/25/2039 | 221391 |
| 197484 | Federal National Mortgage Association REMICS, Series 2010-61-EL | 4.50% | 06/25/2040 | 193036 |
| 3214319 | Federal National Mortgage Association REMICS, Series 2010-64-EZ | 5.00% | 06/25/2040 | 3200468 |
| 7482194 | Federal National Mortgage Association REMICS, Series 2010-64-FC (1 Month LIBOR USD + 0.50%, 0.50% Floor, 7.00% Cap) | 4.89% | 06/25/2040 | 7378540 |
| 9137972 | Federal National Mortgage Association REMICS, Series 2010-76-ZK | 4.50% | 07/25/2040 | 8931274 |
| 2237869 | Federal National Mortgage Association REMICS, Series 2010-79-CZ | 4.00% | 07/25/2040 | 2092743 |
| 8023359 | Federal National Mortgage Association REMICS, Series 2010-79-VZ | 4.50% | 07/25/2040 | 7842251 |
| 948665 | Federal National Mortgage Association REMICS, Series 2010-84-ZC | 4.50% | 08/25/2040 | 927256 |
| 1897326 | Federal National Mortgage Association REMICS, Series 2010-84-ZD | 4.50% | 08/25/2040 | 1854508 |
| 2633064 | Federal National Mortgage Association REMICS, Series 2010-84-ZG | 4.50% | 08/25/2040 | 2574682 |
| 216991 | Federal National Mortgage Association REMICS, Series 2010-90-SA (-1 x 1 Month LIBOR USD + 5.85%, 0.00% Floor, 5.85% Cap) | 1.46 % (d)(f) | 08/25/2040 | 12558 |
| 754536 | Federal National Mortgage Association REMICS, Series 2010-94-Z | 4.50% | 08/25/2040 | 737507 |
| 4150199 | Federal National Mortgage Association REMICS, Series 2010-99-SG (-5 x 1 Month LIBOR USD + 25.00%, 0.00% Floor, 25.00% Cap) | 4.40 % (f) | 09/25/2040 | 4346350 |
| 437476 | Federal National Mortgage Association REMICS, Series 2010-9-DS (-1 x 1 Month LIBOR USD + 5.30%, 0.50% Floor, 5.30% Cap) | 0.91 % (d)(f) | 02/25/2040 | 19816 |
| 14076524 | Federal National Mortgage Association REMICS, Series 2011-106-LZ | 3.50% | 10/25/2041 | 13213967 |
| 520021 | Federal National Mortgage Association REMICS, Series 2011-110-LS (-2 x 1 Month LIBOR USD + 10.10%, 0.00% Floor, 10.10% Cap) | 1.86 % (f) | 11/25/2041 | 377156 |
| 1673499 | Federal National Mortgage Association REMICS, Series 2011-111-CZ | 4.00% | 11/25/2041 | 1573314 |
| 4604917 | Federal National Mortgage Association REMICS, Series 2011-111-EZ | 5.00% | 11/25/2041 | 4606819 |
| 884110 | Federal National Mortgage Association REMICS, Series 2011-111-VZ | 4.00% | 11/25/2041 | 830623 |
| 30000000 | Federal National Mortgage Association REMICS, Series 2011-131-PB | 4.50% | 12/25/2041 | 29314782 |
| 9711617 | Federal National Mortgage Association REMICS, Series 2011-16-AL | 3.50% | 03/25/2031 | 9353931 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 19746661 | Federal National Mortgage Association REMICS, Series 2011-17-NY | 3.50% | 03/25/2031 | 19015758 |
| 390877 | Federal National Mortgage Association REMICS, Series 2011-17-SA (-1 x 1 Month LIBOR USD + 6.47%, 0.00% Floor, 6.47% Cap) | 2.08 % (d)(f) | 03/25/2041 | 23057 |
| 2042967 | Federal National Mortgage Association REMICS, Series 2011-25-KY | 3.00% | 04/25/2026 | 1984121 |
| 1727022 | Federal National Mortgage Association REMICS, Series 2011-27-BS (-2 x 1 Month LIBOR USD + 9.00%, 0.00% Floor, 9.00% Cap) | 0.76 % (f) | 04/25/2041 | 1374728 |
| 20782483 | Federal National Mortgage Association REMICS, Series 2011-29-AL | 3.50% | 04/25/2031 | 20014928 |
| 3425482 | Federal National Mortgage Association REMICS, Series 2011-2-GZ | 4.00% | 02/25/2041 | 3226181 |
| 7367052 | Federal National Mortgage Association REMICS, Series 2011-32-ZG | 4.00% | 04/25/2041 | 6758494 |
| 1286043 | Federal National Mortgage Association REMICS, Series 2011-36-VZ | 4.50% | 05/25/2041 | 1182746 |
| 3848311 | Federal National Mortgage Association REMICS, Series 2011-37-Z | 4.50% | 05/25/2041 | 3796192 |
| 5385534 | Federal National Mortgage Association REMICS, Series 2011-38-BZ | 4.00% | 05/25/2041 | 5147893 |
| 1664763 | Federal National Mortgage Association REMICS, Series 2011-39-CB | 3.00% | 05/25/2026 | 1615941 |
| 3826074 | Federal National Mortgage Association REMICS, Series 2011-39-ZD | 4.00% | 02/25/2041 | 3598874 |
| 1181688 | Federal National Mortgage Association REMICS, Series 2011-40-LZ | 4.50% | 05/25/2041 | 1155037 |
| 1886758 | Federal National Mortgage Association REMICS, Series 2011-42-MZ | 4.50% | 05/25/2041 | 1840879 |
| 11720933 | Federal National Mortgage Association REMICS, Series 2011-45-ZA | 4.00% | 05/25/2031 | 11237503 |
| 3445409 | Federal National Mortgage Association REMICS, Series 2011-45-ZB | 4.50% | 05/25/2041 | 3129196 |
| 10152921 | Federal National Mortgage Association REMICS, Series 2011-51-FJ (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) | 4.84% | 06/25/2041 | 9958611 |
| 731088 | Federal National Mortgage Association REMICS, Series 2011-59-MA | 4.50% | 07/25/2041 | 707795 |
| 3027392 | Federal National Mortgage Association REMICS, Series 2011-60-EL | 3.00% | 07/25/2026 | 2938684 |
| 6975770 | Federal National Mortgage Association REMICS, Series 2011-64-DB | 4.00% | 07/25/2041 | 6727694 |
| 4488296 | Federal National Mortgage Association REMICS, Series 2011-77-Z | 3.50% | 08/25/2041 | 4022803 |
| 29731086 | Federal National Mortgage Association REMICS, Series 2011-99-CZ | 4.50% | 10/25/2041 | 29093292 |
| 14782108 | Federal National Mortgage Association REMICS, Series 2012-104-Z | 3.50 % (g) | 09/25/2042 | 13721952 |
| 2358307 | Federal National Mortgage Association REMICS, Series 2012-111-LB | 3.50% | 05/25/2041 | 2192922 |
| 14515342 | Federal National Mortgage Association REMICS, Series 2012-111-MJ | 4.00% | 04/25/2042 | 13538925 |
| 17445586 | Federal National Mortgage Association REMICS, Series 2012-122-DB | 3.00% | 11/25/2042 | 15787941 |
| 14208174 | Federal National Mortgage Association REMICS, Series 2012-132-KH | 1.75% | 12/25/2032 | 12743026 |
| 14503416 | Federal National Mortgage Association REMICS, Series 2012-144-PT | 3.99 % (b) | 11/25/2049 | 14058518 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 4726742 | Federal National Mortgage Association REMICS, Series 2012-14-BZ | 4.00% | 03/25/2042 | 4481595 |
| 27913351 | Federal National Mortgage Association REMICS, Series 2012-15-PZ | 4.00 % (g) | 03/25/2042 | 25820380 |
| 10666787 | Federal National Mortgage Association REMICS, Series 2012-20-ZT | 3.50% | 03/25/2042 | 9868542 |
| 37430965 | Federal National Mortgage Association REMICS, Series 2012-30-DZ | 4.00% | 04/25/2042 | 35382945 |
| 19875183 | Federal National Mortgage Association REMICS, Series 2012-31-Z | 4.00% | 04/25/2042 | 18829397 |
| 8343892 | Federal National Mortgage Association REMICS, Series 2012-70-FY (1 Month LIBOR USD + 0.45%, 0.45% Floor, 7.00% Cap) | 4.84% | 07/25/2042 | 8175240 |
| 29302247 | Federal National Mortgage Association REMICS, Series 2012-74-Z | 4.00% | 07/25/2042 | 28025911 |
| 293584 | Federal National Mortgage Association REMICS, Series 2012-80-EA | 2.00% | 04/25/2042 | 280025 |
| 19403492 | Federal National Mortgage Association REMICS, Series 2012-86-ZC | 3.50% | 08/25/2042 | 18117948 |
| 34871707 | Federal National Mortgage Association REMICS, Series 2012-96-VZ | 3.50% | 09/25/2042 | 31889350 |
| 8105424 | Federal National Mortgage Association REMICS, Series<br>2012-98-BG | 4.50% | 08/25/2040 | 7922302 |
| 15254505 | Federal National Mortgage Association REMICS, Series<br>2012-99-QE | 3.00% | 09/25/2042 | 13730365 |
| 10792899 | Federal National Mortgage Association REMICS, Series<br>2013-100-PJ | 3.00% | 03/25/2043 | 10021863 |
| 22036206 | Federal National Mortgage Association REMICS, Series<br>2013-130-ZE | 3.00% | 01/25/2044 | 19492267 |
| 26405225 | Federal National Mortgage Association REMICS, Series<br>2013-133-ZT | 3.00 % (g) | 01/25/2039 | 23478987 |
| 6724376 | Federal National Mortgage Association REMICS, Series<br>2013-41-ZH | 3.00 % (g) | 05/25/2033 | 6034910 |
| 5692246 | Federal National Mortgage Association REMICS, Series 2013-51-HS (-1 x 1 Month LIBOR USD + 5.40%, 0.00% Floor, 5.40% Cap) | 0.13 % (f) | 04/25/2043 | 4018241 |
| 994109 | Federal National Mortgage Association REMICS, Series 2013-58-SC (-2 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | 0.00 % (f) | 06/25/2043 | 517757 |
| 1738453 | Federal National Mortgage Association REMICS, Series<br>2013-81-ZQ | 3.00 % (g) | 08/25/2043 | 1199307 |
| 6936135 | Federal National Mortgage Association REMICS, Series 2013-82-SH (-1 x 1 Month LIBOR USD + 6.05%, 0.00% Floor, 6.05% Cap) | 1.66 % (d)(f) | 12/25/2042 | 498766 |
| 24869890 | Federal National Mortgage Association REMICS, Series<br>2014-12-GZ | 3.50% | 03/25/2044 | 22683814 |
| 14991457 | Federal National Mortgage Association REMICS, Series<br>2014-21-GZ | 3.00% | 04/25/2044 | 13295064 |
| 32998282 | Federal National Mortgage Association REMICS, Series<br>2014-37-ZY | 2.50 % (g) | 07/25/2044 | 27746873 |
| 23729312 | Federal National Mortgage Association REMICS, Series<br>2014-39-ZA | 3.00% | 07/25/2044 | 21062230 |
| 106791 | Federal National Mortgage Association REMICS, Series<br>2014-46-NZ | 3.00 % (g) | 06/25/2043 | 76292 |
| 64939254 | Federal National Mortgage Association REMICS, Series<br>2014-60-EZ | 3.00 % (g) | 10/25/2044 | 55859636 |
| 45839707 | Federal National Mortgage Association REMICS, Series<br>2014-61-ZV | 3.00 % (g) | 10/25/2044 | 39519457 |
| 38656636 | Federal National Mortgage Association REMICS, Series<br>2014-64-NZ | 3.00 % (g) | 10/25/2044 | 33425747 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 13611708 | Federal National Mortgage Association REMICS, Series<br>2014-67-DZ | 3.00 % (g) | 10/25/2044 | 11857706 |
| 43514455 | Federal National Mortgage Association REMICS, Series<br>2014-68-MZ | 3.00 % (g) | 11/25/2044 | 37459501 |
| 24564366 | Federal National Mortgage Association REMICS, Series<br>2014-77-VZ | 3.00 % (g) | 11/25/2044 | 21341639 |
| 981286 | Federal National Mortgage Association REMICS, Series<br>2014-82-YA | 3.00% | 04/25/2041 | 972177 |
| 31547095 | Federal National Mortgage Association REMICS, Series<br>2014-84-KZ | 3.00 % (g) | 12/25/2044 | 27286234 |
| 2835238 | Federal National Mortgage Association REMICS, Series<br>2014-95-NA | 3.00% | 04/25/2041 | 2817921 |
| 6580707 | Federal National Mortgage Association REMICS, Series 2015-11-A | 3.00% | 05/25/2034 | 6305923 |
| 7742654 | Federal National Mortgage Association REMICS, Series 2015-21-G | 3.00% | 02/25/2042 | 7592899 |
| 5520228 | Federal National Mortgage Association REMICS, Series<br>2015-42-CA | 3.00% | 03/25/2044 | 5196351 |
| 22429792 | Federal National Mortgage Association REMICS, Series 2015-49-A | 3.00% | 03/25/2044 | 20844246 |
| 10433511 | Federal National Mortgage Association REMICS, Series<br>2015-52-GZ | 3.00 % (g) | 07/25/2045 | 8928350 |
| 6175487 | Federal National Mortgage Association REMICS, Series<br>2015-88-AC | 3.00% | 04/25/2043 | 5949130 |
| 44388478 | Federal National Mortgage Association REMICS, Series<br>2015-88-BA | 3.00% | 04/25/2044 | 41810995 |
| 15262517 | Federal National Mortgage Association REMICS, Series 2015-8-AP | 2.00% | 03/25/2045 | 13231174 |
| 3142710 | Federal National Mortgage Association REMICS, Series<br>2015-94-MA | 3.00% | 01/25/2046 | 2813667 |
| 13991173 | Federal National Mortgage Association REMICS, Series 2016-2-JA | 2.50% | 02/25/2046 | 13169939 |
| 28539891 | Federal National Mortgage Association REMICS, Series<br>2016-32-LA | 3.00% | 10/25/2044 | 26670052 |
| 19601385 | Federal National Mortgage Association REMICS, Series<br>2016-72-PA | 3.00% | 07/25/2046 | 17695434 |
| 2798628 | Federal National Mortgage Association REMICS, Series<br>2016-74-PA | 3.00% | 12/25/2044 | 2727984 |
| 2564245 | Federal National Mortgage Association REMICS, Series<br>2016-79-EP | 3.00% | 01/25/2044 | 2482831 |
| 7179482 | Federal National Mortgage Association REMICS, Series<br>2<br>016-81-PA | 3.00% | 02/25/2044 | 6939820 |
| 10831290 | Federal National Mortgage Association REMICS, Series<br>2018-21-IO | 3.00 % (d) | 04/25/2048 | 1685542 |
| 17889654 | Federal National Mortgage Association REMICS, Series<br>2018-21-PO | 0.00 % (i) | 04/25/2048 | 13582638 |
| 44638226 | Federal National Mortgage Association REMICS, Series<br>2018-27-AO | 0.00 % (i) | 05/25/2048 | 33828423 |
| 13046734 | Federal National Mortgage Association REMICS, Series 2018-33-A | 3.00% | 05/25/2048 | 11635069 |
| 15362880 | Federal National Mortgage Association REMICS, Series<br>2018-38-JB | 3.00% | 06/25/2048 | 13917661 |
| 32967541 | Federal National Mortgage Association REMICS, Series 2018-7-CD | 3.00% | 02/25/2048 | 29754261 |
| 23682806 | Federal National Mortgage Association REMICS, Series<br>2018-85-PO | 0.00 % (i) | 12/25/2048 | 17555069 |
| 5713209 | Federal National Mortgage Association REMICS, Series<br>2019-48-AZ | 3.50% | 09/25/2049 | 5287559 |
| 5771113 | Federal National Mortgage Association REMICS, Series 2019-64-D | 2.50% | 11/25/2049 | 5019738 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 17038732 | Federal National Mortgage Association REMICS, Series 2019-69-DS (-1 x 1 Month LIBOR USD + 6.00%, 0.00% Floor, 6.00% Cap) | 1.61 % (d)(f) | 12/25/2049 | 1778535 |
| 46167248 | Federal National Mortgage Association REMICS, Series<br>2019-78-ZB | 3.00% | 01/25/2050 | 40654079 |
| 14650771 | Federal National Mortgage Association REMICS, Series<br>2020-13-HB | 3.00% | 03/25/2050 | 13018006 |
| 36321842 | Federal National Mortgage Association REMICS, Series<br>2020-47-GL | 2.00% | 05/25/2046 | 31191966 |
| 11263085 | Federal National Mortgage Association REMICS, Series<br>2020-51-AZ | 2.00 % (g) | 07/25/2050 | 6872329 |
| 12831274 | Federal National Mortgage Association REMICS, Series 2020-54-AS (-1 x 1 Month LIBOR USD + 6.15%, 0.00% Floor, 6.15% Cap) | 1.76 % (d)(f) | 08/25/2050 | 1382616 |
| 7362873 | Federal National Mortgage Association REMICS, Series<br>2020-61-DC | 1.50% | 09/25/2060 | 5804333 |
| 75108412 | Federal National Mortgage Association REMICS, Series<br>2020-62-JD | 1.25% | 09/25/2050 | 57394318 |
| 19239844 | Federal National Mortgage Association REMICS, Series<br>2020-70-IK | 3.50 % (d) | 10/25/2050 | 3602894 |
| 23415626 | Federal National Mortgage Association REMICS, Series<br>2020-97-EI | 2.00 % (d) | 01/25/2051 | 2897789 |
| 19363571 | Federal National Mortgage Association REMICS, Series<br>2021-13-AK | 2.00% | 01/25/2049 | 16570939 |
| 10193274 | Federal National Mortgage Association REMICS, Series 2021-1-PA | 1.00% | 11/25/2050 | 7711156 |
| 15596670 | Federal National Mortgage Association REMICS, Series<br>2021-21-DK | 2.00% | 07/25/2043 | 13311653 |
| 15721343 | Federal National Mortgage Association REMICS, Series<br>2021-29-BA | 1.25% | 05/25/2041 | 13496039 |
| 4241138 | Federal National Mortgage Association REMICS, Series<br>2021-29-CG | 1.25% | 05/25/2041 | 3642099 |
| 45625015 | Federal National Mortgage Association REMICS, Series 2021-3-KI | 2.50 % (d) | 02/25/2051 | 6517365 |
| 32174998 | Federal National Mortgage Association REMICS, Series 2021-58-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 2.65%, 0.00% Floor, 2.65% Cap) | 0.00 % (d)(f) | 09/25/2051 | 451000 |
| 6399926 | Federal National Mortgage Association REMICS, Series<br>2021-61-KZ | 2.50 % (g) | 09/25/2051 | 3824928 |
| 90972619 | Federal National Mortgage Association REMICS, Series 2021-70-S (-1 x Secured Overnight Financing Rate 30 Day Average + 3.75%, 0.00% Floor, 3.75% Cap) | 0.00 % (d)(f) | 10/25/2049 | 3374829 |
| 83323640 | Federal National Mortgage Association REMICS, Series 2022-3-EZ | 2.00 % (g) | 01/25/2052 | 46460778 |
| 56603263 | Federal National Mortgage Association REMICS, Series 2022-3-NZ | 2.00 % (g) | 02/25/2052 | 31559217 |
| 82246342 | Federal National Mortgage Association REMICS, Series 2022-3-Z | 2.00 % (g) | 02/25/2052 | 45697523 |
| 18340276 | Federal National Mortgage Association REMICS, Series 2022-4-LG | 3.00% | 02/25/2052 | 16613438 |
| 16419227 | Federal National Mortgage Association, Pool 387898 | 3.71% | 08/01/2030 | 15580153 |
| 25308129 | Federal National Mortgage Association, Pool AM8510 | 3.15% | 05/01/2035 | 22147778 |
| 28568761 | Federal National Mortgage Association, Pool AM8950 | 3.14% | 06/01/2040 | 25396438 |
| 4680100 | Federal National Mortgage Association, Pool AN5480 | 3.43% | 06/01/2037 | 4256263 |
| 217500000 | Federal National Mortgage Association, Pool AN6680 | 3.37% | 11/01/2047 | 169875450 |
| 5500000 | Federal National Mortgage Association, Pool AN7330 | 3.26% | 12/01/2037 | 4552692 |
| 10026000 | Federal National Mortgage Association, Pool AN7452 | 3.12% | 11/01/2032 | 8942141 |
| 20700000 | Federal National Mortgage Association, Pool AN8121 | 3.16% | 01/01/2035 | 18187861 |
| 44321139 | Federal National Mortgage Association, Pool BL0870 | 4.28% | 12/01/2048 | 39574752 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 5000000 | Federal National Mortgage Association, Pool BL2303 | 3.36% | 05/01/2031 | 4627909 |
| 8860000 | Federal National Mortgage Association, Pool BL4038 | 2.98% | 09/01/2034 | 7589198 |
| 13075000 | Federal National Mortgage Association, Pool BL4198 | 2.31% | 10/01/2031 | 11091838 |
| 63966000 | Federal National Mortgage Association, Pool BL4808 | 2.80% | 11/01/2039 | 49699033 |
| 17125000 | Federal National Mortgage Association, Pool BL5256 | 2.28% | 02/01/2032 | 14402436 |
| 30200000 | Federal National Mortgage Association, Pool BL5315 | 2.44% | 01/01/2032 | 25723198 |
| 8190000 | Federal National Mortgage Association, Pool BL5840 | 2.73% | 02/01/2035 | 6705840 |
| 6582291 | Federal National Mortgage Association, Pool BL6639 | 2.66% | 05/01/2050 | 4991783 |
| 16994313 | Federal National Mortgage Association, Pool BL6689 | 2.19% | 05/01/2032 | 14198589 |
| 28785015 | Federal National Mortgage Association, Pool BL6913 | 1.96% | 05/01/2035 | 22083620 |
| 36488000 | Federal National Mortgage Association, Pool BL7110 | 1.76% | 07/01/2035 | 27245919 |
| 3568101 | Federal National Mortgage Association, Pool BL7331 | 2.23% | 07/01/2040 | 2427272 |
| 20400000 | Federal National Mortgage Association, Pool BL7424 | 1.65% | 08/01/2035 | 14746667 |
| 40000000 | Federal National Mortgage Association, Pool BL8165 | 1.35% | 09/01/2032 | 30651780 |
| 32000000 | Federal National Mortgage Association, Pool BL8269 | 1.51% | 09/01/2035 | 23328516 |
| 17000000 | Federal National Mortgage Association, Pool BL8977 | 1.20% | 11/01/2030 | 13286542 |
| 48643000 | Federal National Mortgage Association, Pool BL9056 | 1.78% | 11/01/2035 | 34907130 |
| 10950000 | Federal National Mortgage Association, Pool BL9284 | 2.23% | 12/01/2050 | 7496392 |
| 53000000 | Federal National Mortgage Association, Pool BL9576 | 2.24% | 12/01/2050 | 34586806 |
| 171236553 | Federal National Mortgage Association, Pool BM6831 | 1.93 % (b) | 10/01/2033 | 135371757 |
| 177355958 | Federal National Mortgage Association, Pool BM6857 | 1.83 % (b) | 12/01/2031 | 143978608 |
| 48883000 | Federal National Mortgage Association, Pool BS2496 | 1.88% | 09/01/2033 | 38121502 |
| 5592000 | Federal National Mortgage Association, Pool BS2500 | 1.81% | 06/01/2030 | 4646029 |
| 15464009 | Federal National Mortgage Association, Pool BS2568 | 2.20% | 09/01/2046 | 11669645 |
| 3000000 | Federal National Mortgage Association, Pool BS2580 | 2.15% | 08/01/2033 | 2404892 |
| 22000000 | Federal National Mortgage Association, Pool BS2805 | 1.81% | 09/01/2033 | 17335537 |
| 9975000 | Federal National Mortgage Association, Pool BS2834 | 2.24% | 08/01/2041 | 6851950 |
| 39850000 | Federal National Mortgage Association, Pool BS3020 | 1.96% | 09/01/2033 | 31155570 |
| 34043000 | Federal National Mortgage Association, Pool BS3101 | 1.91% | 09/01/2033 | 26967945 |
| 2595000 | Federal National Mortgage Association, Pool BS3163 | 1.75% | 08/01/2030 | 2141929 |
| 19880000 | Federal National Mortgage Association, Pool BS3192 | 2.03% | 09/01/2036 | 14292000 |
| 16125000 | Federal National Mortgage Association, Pool BS3314 | 1.83% | 10/01/2033 | 12699744 |
| 21000000 | Federal National Mortgage Association, Pool BS3345 | 2.16% | 10/01/2036 | 15825941 |
| 48402000 | Federal National Mortgage Association, Pool BS3363 | 1.97% | 12/01/2035 | 36088471 |
| 25042000 | Federal National Mortgage Association, Pool BS3426 | 1.76% | 11/01/2031 | 19660915 |
| 12048000 | Federal National Mortgage Association, Pool BS3431 | 1.83% | 11/01/2033 | 9374011 |
| 6536000 | Federal National Mortgage Association, Pool BS3434 | 1.83% | 11/01/2033 | 5085370 |
| 32694000 | Federal National Mortgage Association, Pool BS3442 | 2.12% | 10/01/2036 | 24089197 |
| 49716000 | Federal National Mortgage Association, Pool BS3458 | 1.98% | 10/01/2033 | 39951766 |
| 11900000 | Federal National Mortgage Association, Pool BS3514 | 2.08% | 10/01/2033 | 9355420 |
| 43652000 | Federal National Mortgage Association, Pool BS3833 | 2.09% | 12/01/2033 | 34826403 |
| 7339000 | Federal National Mortgage Association, Pool BS3955 | 2.30% | 12/01/2036 | 5474800 |
| 46000000 | Federal National Mortgage Association, Pool BS3974 | 1.94% | 01/01/2032 | 37363893 |
| 43600000 | Federal National Mortgage Association, Pool BS4020 | 1.91% | 12/01/2031 | 35311903 |
| 21200000 | Federal National Mortgage Association, Pool BS4110 | 2.13% | 01/01/2034 | 17018582 |
| 48972000 | Federal National Mortgage Association, Pool BS4111 | 1.98% | 01/01/2032 | 40087326 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 46000000 | Federal National Mortgage Association, Pool BS4125 | 2.32% | 12/01/2031 | 38320146 |
| 21024000 | Federal National Mortgage Association, Pool BS4177 | 1.94% | 12/01/2031 | 17342996 |
| 12500000 | Federal National Mortgage Association, Pool BS4213 | 2.46% | 12/01/2036 | 9732900 |
| 18199000 | Federal National Mortgage Association, Pool BS4225 | 2.36% | 01/01/2037 | 13854998 |
| 20000000 | Federal National Mortgage Association, Pool BS4273 | 1.93% | 12/01/2031 | 16427294 |
| 33675000 | Federal National Mortgage Association, Pool BS4276 | 2.03% | 01/01/2032 | 27789704 |
| 43878000 | Federal National Mortgage Association, Pool BS4296 | 1.80% | 01/01/2032 | 35154561 |
| 51025000 | Federal National Mortgage Association, Pool BS4306 | 1.92% | 01/01/2032 | 40516984 |
| 60975000 | Federal National Mortgage Association, Pool BS4328 | 1.88% | 02/01/2032 | 49141245 |
| 19170000 | Federal National Mortgage Association, Pool BS4330 | 1.92% | 01/01/2034 | 14936734 |
| 30761000 | Federal National Mortgage Association, Pool BS4333 | 1.89% | 01/01/2032 | 24498986 |
| 12000000 | Federal National Mortgage Association, Pool BS4334 | 2.01% | 01/01/2034 | 9345567 |
| 18664681 | Federal National Mortgage Association, Pool BS4359 | 1.99% | 01/01/2032 | 15535435 |
| 21800000 | Federal National Mortgage Association, Pool BS4360 | 2.14% | 01/01/2037 | 15925380 |
| 93256269 | Federal National Mortgage Association, Pool BS4383 | 2.07% | 01/01/2032 | 78169765 |
| 69169000 | Federal National Mortgage Association, Pool BS4410 | 1.93% | 01/01/2032 | 56182589 |
| 53950000 | Federal National Mortgage Association, Pool BS4453 | 1.96% | 01/01/2032 | 43237475 |
| 51688000 | Federal National Mortgage Association, Pool BS4524 | 2.02% | 01/01/2032 | 41560286 |
| 41850000 | Federal National Mortgage Association, Pool BS4736 | 2.00% | 02/01/2032 | 33409873 |
| 24500000 | Federal National Mortgage Association, Pool BS4737 | 2.00% | 02/01/2032 | 19558946 |
| 20155000 | Federal National Mortgage Association, Pool BS4951 | 2.63% | 04/01/2032 | 17046902 |
| 24762678 | Federal National Mortgage Association, Pool BS6649 | 3.89% | 10/01/2032 | 23233398 |
| 139849000 | Federal National Mortgage Association, Pool BS6912 | 4.33% | 12/01/2032 | 135981256 |
| 41050000 | Federal National Mortgage Association, Pool BS7329 | 5.41% | 12/01/2032 | 42329811 |
| 11569796 | Federal National Mortgage Association, Pool BV8021 | 4.50% | 08/01/2052 | 11182852 |
| 62199122 | Federal National Mortgage Association, Pool CB4391 | 4.50% | 08/01/2052 | 60159259 |
| 5650270 | Federal National Mortgage Association, Series 2003-W17-1A7 | 5.75% | 08/25/2033 | 5719056 |
| 1803471 | Federal National Mortgage Association, Series 2004-W10-A6 | 5.75% | 08/25/2034 | 1808441 |
| 88754579 | Federal National Mortgage Association, Series 2014-M11-1A | 3.12 % (b) | 08/25/2024 | 86008858 |
| 206702649 | Federal National Mortgage Association, Series 2019-M16-X | 1.18 % (b)(d) | 07/25/2031 | 13096639 |
| 495671190 | Federal National Mortgage Association, Series 2019-M18-X | 0.71 % (b)(d) | 08/25/2029 | 15256561 |
| 215636745 | Federal National Mortgage Association, Series 2019-M24-2XA | 1.14 % (b)(d) | 03/25/2031 | 9075978 |
| 264033381 | Federal National Mortgage Association, Series 2019-M24-XA | 1.25 % (b)(d) | 03/25/2029 | 15537863 |
| 371219135 | Federal National Mortgage Association, Series 2020-M10-X2 | 1.72 % (b)(d) | 12/25/2030 | 35017287 |
| 193866305 | Federal National Mortgage Association, Series 2020-M10-X8 | 0.72 % (b)(d) | 12/25/2027 | 4914298 |
| 79331801 | Federal National Mortgage Association, Series 2020-M13-X2 | 1.23 % (b)(d) | 09/25/2030 | 2825426 |
| 520441641 | Federal National Mortgage Association, Series 2020-M15-X1 | 1.48 % (b)(d) | 09/25/2031 | 29345206 |
| 18544956 | Federal National Mortgage Association, Series 2020-M17-X1 | 1.35 % (b)(d) | 01/25/2028 | 845168 |
| 127667587 | Federal National Mortgage Association, Series 2020-M27-X1 | 0.86 % (b)(d) | 03/25/2031 | 5549416 |
| 166688115 | Federal National Mortgage Association, Series 2020-M54-X | 1.53 % (b)(d) | 12/25/2033 | 13751403 |
| 53302278 | Federal National Mortgage Association, Series 2020-M7-X2 | 1.24 % (b)(d) | 03/25/2031 | 3698149 |
| 11278928 | Federal National Mortgage Association, Series 2021-M12-2A1 | 2.13 % (b) | 05/25/2033 | 9820619 |
| 934687242 | Federal National Mortgage Association, Series 2021-M14-X | 0.98 % (b)(d) | 10/25/2031 | 41014730 |
| 183877086 | Federal National Mortgage Association, Series 2021-M3-X2 | 0.99 % (b)(d) | 08/25/2033 | 8397005 |
| 23029515 | Federal National Mortgage Association, Series 2021-M5-A1 | 1.46 % (b) | 01/25/2033 | 20340525 |
| 714381965 | Federal National Mortgage Association, Series 2022-M2-X | 0.39 % (b)(d) | 01/25/2032 | 18946910 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 23136428 | Federal National Mortgage Association, Series 2022-M4-A1X | 2.46 % (b) | 05/25/2030 | 20751949 |
| 3122954 | Federal National Mortgage Association, Series 400-S4 (-1 x 1 Month LIBOR USD + 5.45%, 0.00% Floor, 5.45% Cap) | 1.06 % (d)(f) | 11/25/2039 | 194645 |
| 31514767 | Federal National Mortgage Association, Series 412-A3 | 3.00% | 08/25/2042 | 27938503 |
| 29066097 | Government National Mortgage Association, Series 2021-12- IO | 0.00% | 06/20/2051 | 3910157 |
| 5217748 | Government National Mortgage Association, Series 2003-67-SP (-1 x 1 Month LIBOR USD + 7.10%, 0.00% Floor, 7.10% Cap) | 2.75 % (d)(f) | 08/20/2033 | 229814 |
| 2148448 | Government National Mortgage Association, Series 2003-86-ZK | 5.00% | 10/20/2033 | 2148546 |
| 1290801 | Government National Mortgage Association, Series 2004-49-Z | 6.00% | 06/20/2034 | 1318955 |
| 2394864 | Government National Mortgage Association, Series 2004-83-CS (-1 x 1 Month LIBOR USD + 6.08%, 0.00% Floor, 6.08% Cap) | 1.73 % (d)(f) | 10/20/2034 | 122835 |
| 601042 | Government National Mortgage Association, Series 2005-21-Z | 5.00% | 03/20/2035 | 604542 |
| 6472504 | Government National Mortgage Association, Series 2005-39-ZB | 5.00% | 07/20/2034 | 6502692 |
| 456392 | Government National Mortgage Association, Series 2006-24-CX (-7 x 1 Month LIBOR USD + 39.97%, 0.00% Floor, 39.97% Cap) | 8.05 % (f) | 05/20/2036 | 457572 |
| 2369826 | Government National Mortgage Association, Series 2007-26-SJ (-1 x 1 Month LIBOR USD + 4.69%, 0.00% Floor, 4.69% Cap) | 0.34 % (d)(f) | 04/20/2037 | 24728 |
| 2442000 | Government National Mortgage Association, Series 2008-2-SM (-1 x 1 Month LIBOR USD + 6.50%, 0.00% Floor, 6.50% Cap) | 2.17 % (d)(f) | 01/16/2038 | 178998 |
| 4206611 | Government National Mortgage Association, Series 2008-42-AI (-1 x 1 Month LIBOR USD + 7.69%, 0.00% Floor, 7.69% Cap) | 3.36 % (d)(f) | 05/16/2038 | 532505 |
| 1515939 | Government National Mortgage Association, Series 2008-43-SH (-1 x 1 Month LIBOR USD + 6.34%, 0.00% Floor, 6.34% Cap) | 1.98 % (d)(f) | 05/20/2038 | 40215 |
| 1744566 | Government National Mortgage Association, Series 2008-51-SC (-1 x 1 Month LIBOR USD + 6.25%, 0.00% Floor, 6.25% Cap) | 1.90 % (d)(f) | 06/20/2038 | 100974 |
| 1387371 | Government National Mortgage Association, Series 2008-51-SE (-1 x 1 Month LIBOR USD + 6.25%, 0.00% Floor, 6.25% Cap) | 1.92 % (d)(f) | 06/16/2038 | 86546 |
| 496683 | Government National Mortgage Association, Series 2008-82-SM (-1 x 1 Month LIBOR USD + 6.05%, 0.00% Floor, 6.05% Cap) | 1.70 % (d)(f) | 09/20/2038 | 12962 |
| 883707 | Government National Mortgage Association, Series 2008-83-SD (-1 x 1 Month LIBOR USD + 6.56%, 0.00% Floor, 6.56% Cap) | 2.23 % (d)(f) | 11/16/2036 | 35984 |
| 3481066 | Government National Mortgage Association, Series 2009-106-VZ | 4.50% | 11/20/2039 | 3408334 |
| 2958625 | Government National Mortgage Association, Series 2009-10-NS (-1 x 1 Month LIBOR USD + 6.65%, 0.00% Floor, 6.65% Cap) | 2.32 % (d)(f) | 02/16/2039 | 246039 |
| 647215 | Government National Mortgage Association, Series 2009-24-SN (-1 x 1 Month LIBOR USD + 6.10%, 0.00% Floor, 6.10% Cap) | 1.75 % (d)(f) | 09/20/2038 | 19511 |
| 2082409 | Government National Mortgage Association, Series 2009-32-ZE | 4.50% | 05/16/2039 | 2046536 |
| 11230966 | Government National Mortgage Association, Series 2009-35-DZ | 4.50% | 05/20/2039 | 11013804 |
| 8980 | Government National Mortgage Association, Series 2009-41-ZQ | 4.50 % (g) | 06/16/2039 | 8770 |
| 1449247 | Government National Mortgage Association, Series 2009-48-Z | 5.00% | 06/16/2039 | 1439800 |
| 136277 | Government National Mortgage Association, Series 2009-50-KP | 4.50% | 06/20/2039 | 134695 |
| 892787 | Government National Mortgage Association, Series 2009-69-TS (-1 x 1 Month LIBOR USD + 6.20%, 0.00% Floor, 6.20% Cap) | 1.87 % (d)(f) | 04/16/2039 | 32921 |
| 1599663 | Government National Mortgage Association, Series 2009-75-GZ | 4.50% | 09/20/2039 | 1570128 |
| 661377 | Government National Mortgage Association, Series 2009-87-IG (-1 x 1 Month LIBOR USD + 6.74%, 0.00% Floor, 6.74% Cap) | 2.39 % (d)(f) | 03/20/2037 | 10616 |
| 8335985 | Government National Mortgage Association, Series 2010-106-PS (-1 x 1 Month LIBOR USD + 6.05%, 0.00% Floor, 6.05% Cap) | 1.70 % (d)(f) | 03/20/2040 | 234733 |
| 3123204 | Government National Mortgage Association, Series 2010-1-SA (-1 x 1 Month LIBOR USD + 5.75%, 0.00% Floor, 5.75% Cap) | 1.42 % (d)(f) | 01/16/2040 | 189634 |
| 2814652 | Government National Mortgage Association, Series 2010-25-ZB | 4.50 % (g) | 02/16/2040 | 2770033 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 23241438 | Government National Mortgage Association, Series 2010-26-QS (-1 x 1 Month LIBOR USD + 6.25%, 0.00% Floor, 6.25% Cap) | 1.90 % (d)(f) | 02/20/2040 | 2384764 |
| 2010241 | Government National Mortgage Association, Series 2010-42-AY | 5.00% | 11/20/2039 | 2012967 |
| 1919342 | Government National Mortgage Association, Series 2010-42-ES (-1 x 1 Month LIBOR USD + 5.68%, 0.00% Floor, 5.68% Cap) | 1.33 % (d)(f) | 04/20/2040 | 136778 |
| 587359 | Government National Mortgage Association, Series 2010-61-AS (-1 x 1 Month LIBOR USD + 6.55%, 0.00% Floor, 6.55% Cap) | 2.20 % (d)(f) | 09/20/2039 | 30512 |
| 6039457 | Government National Mortgage Association, Series 2010-62-SB (-1 x 1 Month LIBOR USD + 5.75%, 0.00% Floor, 5.75% Cap) | 1.40 % (d)(f) | 05/20/2040 | 437216 |
| 6873626 | Government National Mortgage Association, Series 2010-62-ZG | 5.50% | 05/16/2040 | 6989936 |
| 2969492 | Government National Mortgage Association, Series 2011-18-SN (-2 x 1 Month LIBOR USD + 9.50%, 0.00% Floor, 9.50% Cap) | 0.79 % (f) | 12/20/2040 | 2346823 |
| 2973250 | Government National Mortgage Association, Series 2011-18-YS (-2 x 1 Month LIBOR USD + 9.50%, 0.00% Floor, 9.50% Cap) | 0.79 % (f) | 12/20/2040 | 2322930 |
| 828873 | Government National Mortgage Association, Series 2011-69-OC | 0.00 % (i) | 05/20/2041 | 684756 |
| 8443906 | Government National Mortgage Association, Series 2011-69-SB (-1 x 1 Month LIBOR USD + 5.35%, 0.00% Floor, 5.35% Cap) | 1.00 % (d)(f) | 05/20/2041 | 548423 |
| 8361911 | Government National Mortgage Association, Series 2011-71-ZA | 4.50% | 02/20/2041 | 8189692 |
| 3254926 | Government National Mortgage Association, Series 2011-72-AS (-1 x 1 Month LIBOR USD + 5.38%, 0.00% Floor, 5.38% Cap) | 1.03 % (d)(f) | 05/20/2041 | 217289 |
| 2614076 | Government National Mortgage Association, Series 2011-72-SK (-1 x 1 Month LIBOR USD + 6.15%, 0.00% Floor, 6.15% Cap) | 1.80 % (d)(f) | 05/20/2041 | 174561 |
| 8455556 | Government National Mortgage Association, Series 2013-116-LS (-1 x 1 Month LIBOR USD + 6.15%, 0.00% Floor, 6.15% Cap) | 1.80 % (d)(f) | 08/20/2043 | 800014 |
| 12338314 | Government National Mortgage Association, Series 2013-136-CS (-1 x 1 Month LIBOR USD + 6.20%, 0.00% Floor, 6.20% Cap) | 1.87 % (d)(f) | 09/16/2043 | 939444 |
| 19935130 | Government National Mortgage Association, Series 2013-182-WZ | 2.50% | 12/20/2043 | 18055845 |
| 61451072 | Government National Mortgage Association, Series 2013-182-ZW | 2.50% | 12/20/2043 | 55919351 |
| 4610799 | Government National Mortgage Association, Series 2013-186-SG (-1 x 1 Month LIBOR USD + 6.25%, 0.00% Floor, 6.25% Cap) | 1.92 % (d)(f) | 02/16/2043 | 233101 |
| 5780160 | Government National Mortgage Association, Series 2013-26-MS (-1 x 1 Month LIBOR USD + 6.25%, 0.00% Floor, 6.25% Cap) | 1.90 % (d)(f) | 02/20/2043 | 600465 |
| 4194128 | Government National Mortgage Association, Series 2013-34-PL | 3.00% | 03/20/2042 | 4066107 |
| 10021038 | Government National Mortgage Association, Series 2014-163-PS (-1 x 1 Month LIBOR USD + 5.60%, 0.00% Floor, 5.60% Cap) | 1.25 % (d)(f) | 11/20/2044 | 734302 |
| 10926231 | Government National Mortgage Association, Series 2014-167-SA (-1 x 1 Month LIBOR USD + 5.60%, 0.00% Floor, 5.60% Cap) | 1.25 % (d)(f) | 11/20/2044 | 825618 |
| 18408856 | Government National Mortgage Association, Series 2014-21-SE (-1 x 1 Month LIBOR USD + 5.55%, 0.00% Floor, 5.55% Cap) | 1.20 % (d)(f) | 02/20/2044 | 1288762 |
| 11295129 | Government National Mortgage Association, Series 2014-39-SK (-1 x 1 Month LIBOR USD + 6.20%, 0.00% Floor, 6.20% Cap) | 1.85 % (d)(f) | 03/20/2044 | 1058645 |
| 12239673 | Government National Mortgage Association, Series 2014-59-DS (-1 x 1 Month LIBOR USD + 6.25%, 0.00% Floor, 6.25% Cap) | 1.92 % (d)(f) | 04/16/2044 | 961857 |
| 11539840 | Government National Mortgage Association, Series 2016-108-SM (-1 x 1 Month LIBOR USD + 6.10%, 0.00% Floor, 6.10% Cap) | 1.75 % (d)(f) | 08/20/2046 | 1259409 |
| 23271754 | Government National Mortgage Association, Series 2019-122-IO | 1.00 % (b)(d) | 07/16/2061 | 1528130 |
| 21941083 | Government National Mortgage Association, Series 2020-104-AI | 3.00 % (d) | 07/20/2050 | 3156152 |
| 6057345 | Government National Mortgage Association, Series 2020-104-EI | 3.00 % (d) | 07/20/2050 | 907332 |
| 11798709 | Government National Mortgage Association, Series 2020-112-LS (-1 x Secured Overnight Financing Rate 30 Day Average + 6.20%, 0.00% Floor, 6.20% Cap) | 2.37 % (d)(f) | 08/20/2050 | 1517384 |

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------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 163836392 | Government National Mortgage Association, Series 2020-140-ES (-1 x 1 Month LIBOR USD + 6.30%, 0.00% Floor, 6.30% Cap) | 1.95 % (d)(f) | 09/20/2050 | 20349660 |
| 42263254 | Government National Mortgage Association, Series 2020-140-SG (-1 x 1 Month LIBOR USD + 6.35%, 0.00% Floor, 6.35% Cap) | 2.00 % (d)(f) | 09/20/2050 | 5434864 |
| 54815778 | Government National Mortgage Association, Series 2020-146-CI | 2.50 % (d) | 10/20/2050 | 6731175 |
| 36006191 | Government National Mortgage Association, Series 2020-146-EI | 2.50 % (d) | 10/20/2050 | 4580693 |
| 28594095 | Government National Mortgage Association, Series 2020-146-KI | 2.50 % (d) | 10/20/2050 | 3657208 |
| 39697242 | Government National Mortgage Association, Series 2020-148-JL | 1.00% | 10/20/2050 | 30248056 |
| 21568900 | Government National Mortgage Association, Series 2020-151-MI | 2.50 % (d) | 10/20/2050 | 2879407 |
| 67040891 | Government National Mortgage Association, Series 2020-152-IO | 0.59 % (b)(d) | 12/16/2062 | 3504737 |
| 49449647 | Government National Mortgage Association, Series 2020-160-IA | 2.50 % (d) | 10/20/2050 | 6874856 |
| 12215754 | Government National Mortgage Association, Series 2020-160-IM | 2.50 % (d) | 10/20/2050 | 1509018 |
| 39037516 | Government National Mortgage Association, Series 2020-162-QS (-1 x 1 Month LIBOR USD + 6.30%, 0.00% Floor, 6.30% Cap) | 1.95 % (d)(f) | 10/20/2050 | 4516664 |
| 56770293 | Government National Mortgage Association, Series 2020-166-SM (-1 x 1 Month LIBOR USD + 6.30%, 0.00% Floor, 6.30% Cap) | 1.95 % (d)(f) | 11/20/2050 | 6137681 |
| 18051855 | Government National Mortgage Association, Series 2020-167-BI | 2.50 % (d) | 11/20/2050 | 2364269 |
| 36452840 | Government National Mortgage Association, Series 2020-167-IA | 2.50 % (d) | 11/20/2050 | 4802275 |
| 86435474 | Government National Mortgage Association, Series 2020-167-JI | 2.50 % (d) | 11/20/2050 | 11181319 |
| 16479865 | Government National Mortgage Association, Series 2020-167-NS (-1 x 1 Month LIBOR USD + 6.30%, 0.00% Floor, 6.30% Cap) | 1.95 % (d)(f) | 11/20/2050 | 1815315 |
| 30266444 | Government National Mortgage Association, Series 2020-167-YK | 1.20% | 11/20/2050 | 23315643 |
| 93795800 | Government National Mortgage Association, Series 2020-173-MI | 2.50 % (d) | 11/20/2050 | 12356143 |
| 41849806 | Government National Mortgage Association, Series 2020-175-SC (-1 x 1 Month LIBOR USD + 6.30%, 0.00% Floor, 6.30% Cap) | 1.95 % (d)(f) | 11/20/2050 | 5407100 |
| 30859354 | Government National Mortgage Association, Series 2020-181-AI | 2.50 % (d) | 12/20/2050 | 4071716 |
| 34040195 | Government National Mortgage Association, Series 2020-181-SA (-1 x 1 Month LIBOR USD + 6.30%, 0.00% Floor, 6.30% Cap) | 1.95 % (d)(f) | 12/20/2050 | 3667314 |
| 30557669 | Government National Mortgage Association, Series 2020-181-YM | 1.17% | 12/20/2050 | 23489350 |
| 56768833 | Government National Mortgage Association, Series 2020-185-KI | 2.50 % (d) | 12/20/2050 | 7353897 |
| 52503889 | Government National Mortgage Association, Series 2020-187-AI | 2.50 % (d) | 12/20/2050 | 6850413 |
| 6110629 | Government National Mortgage Association, Series 2020-188-DI | 2.50 % (d) | 12/20/2050 | 931213 |
| 30398958 | Government National Mortgage Association, Series 2020-188-GI | 2.00 % (d) | 12/20/2050 | 3384356 |
| 45195010 | Government National Mortgage Association, Series 2020-188-IQ | 3.00 % (d) | 10/20/2050 | 6954545 |
| 99738673 | Government National Mortgage Association, Series 2020-188-KI | 2.50 % (d) | 12/20/2050 | 14405745 |
| 40806947 | Government National Mortgage Association, Series 2020-188-NS (-1 x 1 Month LIBOR USD + 6.30%, 0.00% Floor, 6.30% Cap) | 1.95 % (d)(f) | 12/20/2050 | 4408068 |
| 40931522 | Government National Mortgage Association, Series 2020-195-IX | 1.14 % (b)(d) | 12/16/2062 | 3120361 |
| 19565551 | Government National Mortgage Association, Series 2020-98-SA (-1 x 1 Month LIBOR USD + 6.15%, 0.00% Floor, 6.15% Cap) | 1.80 % (d)(f) | 07/20/2050 | 2236207 |
| 122853980 | Government National Mortgage Association, Series 2021-100-IO | 0.98 % (b)(d) | 06/16/2063 | 8882416 |
| 70690873 | Government National Mortgage Association, Series 2021-107-QI | 2.50 % (d) | 06/20/2051 | 9875571 |
| 68766720 | Government National Mortgage Association, Series 2021-10-IO | 0.98 % (b)(d) | 05/16/2063 | 5075225 |
| 133372377 | Government National Mortgage Association, Series 2021-110-IO | 0.87 % (b)(d) | 11/16/2063 | 9304070 |
| 27912851 | Government National Mortgage Association, Series 2021-114-SB (-1 x 1 Month LIBOR USD + 2.60%, 0.00% Floor, 2.60% Cap) | 0.00 % (d)(f) | 06/20/2051 | 213210 |
| 51466834 | Government National Mortgage Association, Series 2021-116-XI | 3.50 % (d) | 03/20/2051 | 8460067 |
| 24427342 | Government National Mortgage Association, Series 2021-117-IJ | 3.50 % (d) | 06/20/2051 | 2655765 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 19106035 | Government National Mortgage Association, Series 2021-117-SH (-1 x 1 Month LIBOR USD + 6.30%, 0.00% Floor, 6.30% Cap) | 1.95 % (d)(f) | 07/20/2051 | 1808188 |
| 128753151 | Government National Mortgage Association, Series 2021-122-SA (-1 x Secured Overnight Financing Rate 30 Day Average + 2.60%, 0.00% Floor, 2.60% Cap) | 0.00 % (d)(f) | 07/20/2051 | 886620 |
| 248932290 | Government National Mortgage Association, Series 2021-12-IO | 0.97 % (b)(d) | 03/16/2063 | 17290712 |
| 68494477 | Government National Mortgage Association, Series 2021-135-GI | 3.00 % (d) | 08/20/2051 | 10136100 |
| 88702143 | Government National Mortgage Association, Series 2021-135-SK (-1 x 1 Month LIBOR USD + 6.30%, 0.00% Floor, 6.30% Cap) | 1.95 % (d)(f) | 08/20/2051 | 9118864 |
| 70815466 | Government National Mortgage Association, Series 2021-136-EI | 3.00 % (d) | 08/20/2051 | 10510431 |
| 43701926 | Government National Mortgage Association, Series 2021-138-IL | 3.00 % (d) | 08/20/2051 | 6302381 |
| 69222917 | Government National Mortgage Association, Series 2021-138-PS (-1 x Secured Overnight Financing Rate 30 Day Average + 3.75%, 0.00% Floor, 3.75% Cap) | 0.00 % (d)(f) | 08/20/2051 | 1313526 |
| 17269600 | Government National Mortgage Association, Series 2021-139-BI | 3.50 % (d) | 08/20/2051 | 1940129 |
| 34893841 | Government National Mortgage Association, Series 2021-142-IO | 3.00 % (d) | 08/20/2051 | 5342896 |
| 114756194 | Government National Mortgage Association, Series 2021-143-IO | 0.97 % (b)(d) | 10/16/2063 | 8076633 |
| 87375666 | Government National Mortgage Association, Series 2021-144-IO | 0.82 % (b)(d) | 04/16/2063 | 5718056 |
| 69951561 | Government National Mortgage Association, Series 2021-151-IO | 0.92 % (b)(d) | 04/16/2063 | 4957313 |
| 32396039 | Government National Mortgage Association, Series 2021-155-IE | 3.00 % (d) | 09/20/2051 | 5209089 |
| 91632223 | Government National Mortgage Association, Series 2021-155-KI | 4.00 % (d) | 09/20/2051 | 15095547 |
| 42809480 | Government National Mortgage Association, Series 2021-155-S (-1 x Secured Overnight Financing Rate 30 Day Average + 3.20%, 0.00% Floor, 3.20% Cap) | 0.00 % (d)(f) | 09/20/2051 | 658688 |
| 44089975 | Government National Mortgage Association, Series 2021-155-SG (-1 x 1 Month LIBOR USD + 6.30%, 0.00% Floor, 6.30% Cap) | 1.95 % (d)(f) | 09/20/2051 | 5859218 |
| 52196969 | Government National Mortgage Association, Series 2021-158-IO | 3.00 % (d) | 09/20/2051 | 8089392 |
| 70044912 | Government National Mortgage Association, Series 2021-158-IV | 2.50 % (d) | 09/20/2051 | 11005541 |
| 27972088 | Government National Mortgage Association, Series 2021-160-IA | 3.00 % (d) | 09/20/2051 | 4229766 |
| 87236197 | Government National Mortgage Association, Series 2021-160-SQ (-1 x Secured Overnight Financing Rate 30 Day Average + 2.65%, 0.00% Floor, 3.00% Cap) | 0.00 % (d)(f) | 09/20/2051 | 1349841 |
| 40061958 | Government National Mortgage Association, Series 2021-160-WI | 2.50 % (d) | 09/20/2051 | 5047086 |
| 47570330 | Government National Mortgage Association, Series 2021-160-XI | 3.00 % (d) | 09/20/2051 | 7133885 |
| 91535791 | Government National Mortgage Association, Series 2021-161-UI | 3.00 % (d) | 09/20/2051 | 13795487 |
| 30491851 | Government National Mortgage Association, Series 2021-162-DI | 3.00 % (d) | 09/20/2051 | 4706628 |
| 15548985 | Government National Mortgage Association, Series 2021-170-IO | 0.99 % (b)(d) | 05/16/2063 | 1156534 |
| 16635219 | Government National Mortgage Association, Series 2021-175-IN | 2.50 % (d) | 07/20/2051 | 2243223 |
| 58278867 | Government National Mortgage Association, Series 2021-175-IU | 2.50 % (d) | 09/20/2051 | 7696150 |
| 50696990 | Government National Mortgage Association, Series 2021-176-TI | 4.00 % (d) | 10/20/2051 | 8082155 |
| 133590785 | Government National Mortgage Association, Series 2021-177-IA | 2.50 % (d) | 10/20/2051 | 18044949 |
| 60264714 | Government National Mortgage Association, Series 2021-180-IO | 0.90 % (b)(d) | 11/16/2063 | 4393430 |
| 71019416 | Government National Mortgage Association, Series 2021-184-IO | 0.89 % (b)(d) | 12/16/2061 | 4803959 |
| 30262856 | Government National Mortgage Association, Series 2021-188-IA | 3.00 % (d) | 10/20/2051 | 4403067 |
| 52320919 | Government National Mortgage Association, Series 2021-188-IN | 2.50 % (d) | 10/20/2051 | 7641413 |
| 37862095 | Government National Mortgage Association, Series 2021-188-IT | 2.50 % (d) | 10/20/2051 | 5154966 |
| 25892955 | Government National Mortgage Association, Series 2021-191-BI | 2.50 % (d) | 10/20/2051 | 3625871 |
| 51909846 | Government National Mortgage Association, Series 2021-191-CI | 2.50 % (d) | 10/20/2051 | 7653136 |
| 32105083 | Government National Mortgage Association, Series 2021-192-AI | 3.00 % (d) | 10/20/2051 | 4979078 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 138129788 | Government National Mortgage Association, Series 2021-193-SW (-1 x Secured Overnight Financing Rate 30 Day Average + 2.55%, 0.00% Floor, 2.55% Cap) | 0.00 % (d)(f) | 11/20/2051 | 1030711 |
| 79016753 | Government National Mortgage Association, Series 2021-196-IO | 2.50 % (d) | 11/20/2051 | 11484413 |
| 90334419 | Government National Mortgage Association, Series 2021-1-EI | 2.00 % (d) | 01/20/2051 | 8686612 |
| 89636095 | Government National Mortgage Association, Series 2021-200-IO | 0.88 % (b)(d) | 11/16/2063 | 6428288 |
| 28126334 | Government National Mortgage Association, Series 2021-205-DI | 2.50 % (d) | 11/20/2051 | 3686426 |
| 188564807 | Government National Mortgage Association, Series 2021-208-IO | 0.75 % (b)(d) | 06/16/2064 | 11158058 |
| 34460634 | Government National Mortgage Association, Series 2021-20-IO | 1.14 % (b)(d) | 08/16/2062 | 2633847 |
| 186831798 | Government National Mortgage Association, Series 2021-210-IO | 0.98 % (b)(d) | 05/16/2062 | 13684439 |
| 53498738 | Government National Mortgage Association, Series 2021-211-IO | 0.97 % (b)(d) | 01/16/2063 | 3893553 |
| 37692300 | Government National Mortgage Association, Series 2021-213-IH | 3.00 % (d) | 12/20/2051 | 5580895 |
| 10274574 | Government National Mortgage Association, Series 2021-226-TI | 2.50 % (d) | 12/20/2051 | 1525109 |
| 273869308 | Government National Mortgage Association, Series 2021-22-IO | 0.98 % (b)(d) | 05/16/2063 | 19098550 |
| 84354802 | Government National Mortgage Association, Series 2021-24-XI | 2.00 % (d) | 02/20/2051 | 9087602 |
| 35232550 | Government National Mortgage Association, Series 2021-24-YD | 1.20% | 02/20/2051 | 27159007 |
| 12634865 | Government National Mortgage Association, Series 2021-25-EI | 2.50 % (d) | 02/20/2051 | 1608139 |
| 63696319 | Government National Mortgage Association, Series 2021-2-IO | 0.87 % (b)(d) | 06/16/2063 | 4115489 |
| 23712709 | Government National Mortgage Association, Series 2021-30-IB | 2.50 % (d) | 02/20/2051 | 3670915 |
| 28296702 | Government National Mortgage Association, Series 2021-30-WI | 2.50 % (d) | 02/20/2051 | 4107739 |
| 28549879 | Government National Mortgage Association, Series 2021-35-IO | 0.99 % (b)(d) | 12/16/2062 | 2096597 |
| 34074904 | Government National Mortgage Association, Series 2021-40-IO | 0.82 % (b)(d) | 02/16/2063 | 2218648 |
| 609405629 | Government National Mortgage Association, Series 2021-45-IO | 0.81 % (b)(d) | 04/16/2063 | 38120882 |
| 52527040 | Government National Mortgage Association, Series 2021-49-QI | 2.50 % (d) | 03/20/2049 | 5422755 |
| 24798433 | Government National Mortgage Association, Series 2021-52-IO | 0.72 % (b)(d) | 04/16/2063 | 1371539 |
| 210989529 | Government National Mortgage Association, Series 2021-60-IO | 0.83 % (b)(d) | 05/16/2063 | 13340720 |
| 241850419 | Government National Mortgage Association, Series 2021-65-IO | 0.88 % (b)(d) | 08/16/2063 | 16440725 |
| 183816448 | Government National Mortgage Association, Series 2021-70-IO | 0.71 % (b)(d) | 04/16/2063 | 10783004 |
| 166966301 | Government National Mortgage Association, Series 2021-71-IO | 0.87 % (b)(d) | 10/16/2062 | 10998337 |
| 163381302 | Government National Mortgage Association, Series 2021-72-IO | 0.57 % (b)(d) | 01/16/2061 | 8326777 |
| 110404061 | Government National Mortgage Association, Series 2021-77-SJ (-1 x 1 Month LIBOR USD + 3.75%, 0.00% Floor, 3.75% Cap) | 0.00 % (d)(f) | 05/20/2051 | 3654165 |
| 12822618 | Government National Mortgage Association, Series 2021-78-IC | 4.00 % (d) | 05/20/2051 | 1971908 |
| 100938738 | Government National Mortgage Association, Series 2021-7-KI | 2.50 % (d) | 01/20/2051 | 12887182 |
| 58930609 | Government National Mortgage Association, Series 2021-7-MI | 2.50 % (d) | 01/20/2051 | 9006884 |
| 60456934 | Government National Mortgage Association, Series 2021-80-IO | 0.90 % (b)(d) | 12/16/2062 | 4379198 |
| 319513108 | Government National Mortgage Association, Series 2021-85-IO | 0.68 % (b)(d) | 03/16/2063 | 18341171 |
| 53842509 | Government National Mortgage Association, Series 2021-87-ET | 2.00% | 05/20/2051 | 45060936 |
| 49913889 | Government National Mortgage Association, Series 2021-96-TS (-1 x Secured Overnight Financing Rate 30 Day Average + 3.25%, 0.00% Floor, 3.25% Cap) | 0.00 % (d)(f) | 06/20/2051 | 926891 |
| 37807185 | Government National Mortgage Association, Series 2021-97-SH (-1 x 1 Month LIBOR USD + 3.75%, 0.00% Floor, 3.75% Cap) | 0.00 % (d)(f) | 06/20/2051 | 1259255 |
| 121207661 | Government National Mortgage Association, Series 2021-98-IG | 3.00 % (d) | 06/20/2051 | 18329265 |
| 27929433 | Government National Mortgage Association, Series 2021-98-MI | 2.50 % (d) | 06/20/2051 | 3653418 |
| 30532036 | Government National Mortgage Association, Series 2021-98-SB (-1 x 1 Month LIBOR USD + 6.30%, 0.00% Floor, 6.30% Cap) | 1.95 % (d)(f) | 06/20/2051 | 3190787 |

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---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 78297412 | Government National Mortgage Association, Series 2021-98-ST (-1 x Secured Overnight Financing Rate 30 Day Average + 2.73%, 0.00% Floor, 2.73% Cap) | 0.00 % (d)(f) | 03/20/2051 | 887932 |
| 9957175 | Government National Mortgage Association, Series 2021-98-SW (-1 x 1 Month LIBOR USD + 6.30%, 0.00% Floor, 6.30% Cap) | 1.95 % (d)(f) | 06/20/2051 | 916252 |
| 42427681 | Government National Mortgage Association, Series 2021-99-IO | 0.59 % (b)(d) | 05/16/2061 | 2208484 |
| 65592484 | Government National Mortgage Association, Series 2021-9-AI | 2.00 % (d) | 01/20/2051 | 6872708 |
| 86478394 | Government National Mortgage Association, Series 2021-9-MI | 2.50 % (d) | 01/20/2051 | 11325401 |
| 117228956 | Government National Mortgage Association, Series 2022-14-IO | 0.66 % (b)(d) | 12/01/2061 | 6562840 |
| 62808811 | Government National Mortgage Association, Series 2022-167-IO | 0.82 % (b)(d) | 08/16/2065 | 4408167 |
| 94475181 | Government National Mortgage Association, Series 2022-188-IO | 2.50 % (d) | 02/20/2051 | 12420699 |
| 75951645 | Government National Mortgage Association, Series 2022-21-IO | 0.78 % (b)(d) | 10/16/2063 | 4974848 |
| 148068405 | Government National Mortgage Association, Series 2022-27-IO | 0.74 % (b)(d) | 03/16/2064 | 9145060 |
| 95244282 | Government National Mortgage Association, Series 2022-35-IO | 0.55 % (b)(d) | 10/16/2063 | 5310231 |
| 424142617 | Government National Mortgage Association, Series 2022-39-IO | 0.62 % (b)(d) | 01/16/2064 | 25521213 |
| 125128777 | Government National Mortgage Association, Series 2022-42-IO | 0.67 % (b)(d) | 12/16/2063 | 7385789 |
| 67822193 | Government National Mortgage Association, Series 2022-49-IO | 0.76 % (b)(d) | 03/16/2064 | 4222793 |
| 128117527 | Government National Mortgage Association, Series 2022-54-IO | 0.59 % (b)(d) | 10/16/2063 | 6919628 |
| 80260936 | Government National Mortgage Association, Series 2022-62-IO | 0.62 % (b)(d) | 06/16/2064 | 4599538 |
| 212564334 | Government National Mortgage Association, Series 2022-71-IO | 0.55 % (b)(d) | 06/16/2064 | 10525739 |
| 99208784 | Government National Mortgage Association, Series 2022-73-IO | 0.56 % (b)(d) | 07/16/2064 | 5611338 |
| 54340737 | Government National Mortgage Association, Series 2022-83-IO | 2.50 % (d) | 11/20/2051 | 7304553 |
| 128668165 | Government National Mortgage Association, Series 2022-86-IO | 0.53 % (b)(d) | 10/16/2063 | 6569925 |
| 93922691 | Government National Mortgage Association, Series 2022-8-IO | 0.85 % (b)(d) | 09/16/2063 | 6625814 |
| 65502049 | Government National Mortgage Association, Series 2022-9-EI | 3.00 % (d) | 01/20/2052 | 8642838 |
| 29376839 | Government National Mortgage Association Pass-Thru, Pool 785310 | 2.50% | 02/20/2051 | 25200785 |
| 45418342 | Government National Mortgage Association Pass-Thru, Pool 785346 | 2.00% | 03/20/2051 | 37044821 |
| 13406358 | Government National Mortgage Association Pass-Thru, Pool 785350 | 2.00% | 01/20/2051 | 10950817 |
| 27449430 | Government National Mortgage Association Pass-Thru, Pool 785374 | 2.50% | 03/20/2051 | 23560655 |
| 94815927 | Government National Mortgage Association Pass-Thru, Pool 785401 | 2.50% | 10/20/2050 | 79887317 |
| 135362555 | Government National Mortgage Association Pass-Thru, Pool 785412 | 2.50% | 03/20/2051 | 114776822 |
| 30971521 | Government National Mortgage Association Pass-Thru, Pool 785595 | 2.50% | 03/20/2051 | 26414853 |
| 57937607 | Government National Mortgage Association Pass-Thru, Pool 785609 | 2.50% | 08/20/2051 | 49357078 |
| 14811305 | Government National Mortgage Association Pass-Thru, Pool 785638 | 2.50% | 08/20/2051 | 12634209 |
| 33683355 | Government National Mortgage Association Pass-Thru, Pool 785639 | 2.50% | 08/20/2051 | 28641376 |
| 13976449 | Government National Mortgage Association Pass-Thru, Pool 785680 | 2.50% | 10/20/2051 | 11884222 |
| 10752828 | Government National Mortgage Association Pass-Thru, Pool CB2017 | 2.50% | 03/20/2051 | 9146298 |
| 10231545 | Government National Mortgage Association Pass-Thru, Pool CB4182 | 2.50% | 03/20/2051 | 8702351 |

---

------

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal Amount<br>$/Shares** | **Security Description** | **Rate** | **Maturity** | **Value $** |
| 2914654 | Government National Mortgage Association Pass-Thru, Pool CB5487 | 2.50% | 03/20/2051 | 2442279 |
| 9124833 | Government National Mortgage Association Pass-Thru, Pool CB9135 | 2.50% | 04/20/2051 | 7827910 |
| 615733 | Government National Mortgage Association Pass-Thru, Pool MA2511 | 3.50% | 01/20/2045 | 562024 |
| 11653140 | Government National Mortgage Association Pass-Thru, Pool MA7255 | 2.50% | 03/20/2051 | 10156878 |
| 10000000 | Seasoned Credit Risk Transfer Trust, Series 2020-2-MB | 2.00% | 11/25/2059 | 7044617 |
| 17622716 | Seasoned Credit Risk Transfer Trust, Series 2020-2-MT | 2.00% | 11/25/2059 | 14531249 |
| 35000000 | Seasoned Credit Risk Transfer Trust, Series 2022-2-MB | 3.00% | 04/25/2062 | 25526449 |
|  **Total US Government and Agency Mortgage Backed Obligations** (Cost $16,644,135,052) | **Total US Government and Agency Mortgage Backed Obligations** (Cost $16,644,135,052) | **Total US Government and Agency Mortgage Backed Obligations** (Cost $16,644,135,052) | **Total US Government and Agency Mortgage Backed Obligations** (Cost $16,644,135,052) | 14458512397 |
|  **US Government and Agency Obligations - 8.2%** | **US Government and Agency Obligations - 8.2%** | **US Government and Agency Obligations - 8.2%** | **US Government and Agency Obligations - 8.2%** | **US Government and Agency Obligations - 8.2%** |
| 54900000 | Tennessee Valley Authority | 4.25% | 09/15/2065 | 46740754 |
| 530000000 | United States Treasury Notes | 4.13% | 11/15/2032 | 540972653 |
| 1340000000 | United States Treasury Notes | 2.38% | 05/15/2051 | 961842580 |
| 1340000000 | United States Treasury Notes | 3.00% | 08/15/2052 | 1104453125 |
|  **Total US Government and Agency Obligations** (Cost $3,243,611,045) | **Total US Government and Agency Obligations** (Cost $3,243,611,045) | **Total US Government and Agency Obligations** (Cost $3,243,611,045) | **Total US Government and Agency Obligations** (Cost $3,243,611,045) | 2654009112 |
|  **Short Term Investments - 0.4%** | **Short Term Investments - 0.4%** | **Short Term Investments - 0.4%** | **Short Term Investments - 0.4%** | **Short Term Investments - 0.4%** |
| 38868900 | First American Government Obligations Fund - Class U | 4.10 % (j) |  | 38868900 |
| 38868534 | JP Morgan U.S. Government Money Market Fund - Institutional Share Class | 4.11 % (j) |  | 38868534 |
| 38868534 | Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Share Class | 4.11 % (j) |  | 38868534 |
|  **Total Short Term Investments** (Cost $116,605,968) | **Total Short Term Investments** (Cost $116,605,968) | **Total Short Term Investments** (Cost $116,605,968) | **Total Short Term Investments** (Cost $116,605,968) | 116605968 |
|  **Total Investments - 99.5%** (Cost $38,255,506,603)  | **Total Investments - 99.5%** (Cost $38,255,506,603)  | **Total Investments - 99.5%** (Cost $38,255,506,603)  | **Total Investments - 99.5%** (Cost $38,255,506,603)  | 32201169447 |
| Other Assets in Excess of Liabilities - 0.5% | Other Assets in Excess of Liabilities - 0.5% | Other Assets in Excess of Liabilities - 0.5% | Other Assets in Excess of Liabilities - 0.5% | 161681054 |
|  **NET ASSETS - 100.0%** | **NET ASSETS - 100.0%** | **NET ASSETS - 100.0%** | **NET ASSETS - 100.0%** | $**32362850501** |

---

------

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold
in transactions exempt from registration to qualified institutional buyers.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(b) Coupon rate is variable based on the weighted average coupon of the underlying collateral. To the extent the
weighted average coupon of the underlying assets which comprise the collateral increases or decreases, the coupon rate of this security will increase or decrease correspondingly. The rate disclosed is as of period end.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(c) Value determined using significant unobservable inputs.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(d) Interest only security

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(e) Security pays interest at rates that represent residual cashflows available after more senior tranches have been
paid. The interest rate disclosed reflects the estimated rate in effect as of period end.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(f) Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates.
Reference interest rates are typically based on a negative multiplier or slope. Interest rate may also be subject to a cap or floor.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(g) This security accrues interest which is added to the outstanding principal balance. The interest payment will be
deferred until all other tranches in the structure are paid off. The rate disclosed is as of period end.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(h) Coupon rate is variable or floats based on components including but not limited to reference rate and spread.
These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of period end.

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(i) Principal only security

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(j) Seven-day yield as of period end

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(k) Step Bond; Coupon rate changes based on a predetermined schedule or event. The interest rate shown is the rate
in effect as of period end.

------

**<u>SECURITY TYPE BREAKDOWN as a % of Net Assets:</u>**

---

| | |
|:---|:---|
|  US Government and Agency Mortgage Backed Obligations | 44.7% |
|  Non-Agency Residential Collateralized Mortgage Obligations | 28.3% |
|  Non-Agency Commercial Mortgage Backed Obligations | 9.2% |
|  US Government and Agency Obligations | 8.2% |
|  Asset Backed Obligations | 4.9% |
|  Collateralized Loan Obligations | 3.8% |
|  Short Term Investments | 0.4% |
|  Other Assets and Liabilities | 0.5% |
|  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;100.0% |

---

------

**FUTURES CONTRACTS** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Long/Short** | **Contract<br>Quantity** | **Expiration<br>Date** | **Notional<br>Amount<sup>(1)</sup>** | **Value/<br>Unrealized<br>Appreciation<br>(Depreciation)** |
|  10-Year US Treasury Ultra Note Future | Long | 10150 | 03/22/2023 | 1200554688 | $(11199109) |
|  US Treasury Ultra Long Bond Future | Long | 9000 | 03/22/2023 | 1208812500 | (17067112) |
|  |  |  |  |  | $(28266221) |

---

*<sup>(1)</sup>* *Notional Amount is determined based on the number of contracts multiplied by the contract size and the quoted daily settlement price in US dollars.* 

------

Notes to Schedule of Investments

December 31, 2022 (Unaudited)

------

**1. Organization** 

DoubleLine Funds Trust, a Delaware statutory trust (the "Trust"), is an open-end investment management company registered under the Investment Company Act of 1940, as amended (the "1940 Act"). The Trust consists of 19 funds, DoubleLine Total Return Bond Fund, DoubleLine Core Fixed Income Fund, DoubleLine Emerging Markets Fixed Income Fund, DoubleLine Multi-Asset Growth Fund, DoubleLine Low Duration Bond Fund, DoubleLine Floating Rate Fund, DoubleLine Shiller Enhanced CAPE<sup>®</sup>, DoubleLine Flexible Income Fund, DoubleLine Low Duration Emerging Markets Fixed Income Fund, DoubleLine Selective Credit Fund, DoubleLine Long Duration Total Return Bond Fund, DoubleLine Strategic Commodity Fund, DoubleLine Global Bond Fund, DoubleLine Infrastructure Income Fund, DoubleLine Shiller Enhanced International CAPE<sup>®</sup>, DoubleLine Real Estate and Income Fund (formerly known as DoubleLine Colony Real Estate and Income Fund), DoubleLine Emerging Markets Local Currency Bond Fund, DoubleLine Income Fund and DoubleLine Multi-Asset Trend Fund (each, a "Fund" and, collectively, the "Funds").

Each Fund is classified as a diversified fund under the 1940 Act, except the DoubleLine Global Bond Fund, the DoubleLine Emerging Markets Local Currency Bond Fund, which are classified as non-diversified funds. Currently under the 1940 Act, a diversified fund generally may not, with respect to 75% of its total assets, invest more than 5% of its total assets in the securities of any one issuer or own more than 10% of the outstanding voting securities of such issuer (except, in each case, U.S. Government securities, cash, cash items and the securities of other investment companies). The remaining 25% of a fund's total assets is not subject to this limitation.

The Funds' investment objectives and dates each share class commenced operations are as follows:

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | | **Commencement of Operations** | **Commencement of Operations** | **Commencement of Operations** | **Commencement of Operations** |
| <br>**Fund Name** | <br>**Investment Objective** | **I Shares** | **N Shares** | **A Shares** | **R6 Shares** |
|  DoubleLine Total Return Bond Fund | Maximize total return | 4/6/2010 | 4/6/2010 |  | 7/31/2019 |
|  DoubleLine Core Fixed Income Fund | Maximize current income and total return | 6/1/2010 | 6/1/2010 |  | 7/31/2019 |
|  DoubleLine Emerging Markets Fixed Income Fund | Seek high total return from current income and capital appreciation | 4/6/2010 | 4/6/2010 |  |  |
|  DoubleLine Multi-Asset Growth Fund (Consolidated) | Seek long-term capital appreciation | 12/20/2010 |  | 12/20/2010 |  |
|  DoubleLine Low Duration Bond Fund | Seek current income | 9/30/2011 | 9/30/2011 |  | 7/31/2019 |
|  DoubleLine Floating Rate Fund | Seek a high level of current income | 2/1/2013 | 2/1/2013 |  |  |
|  DoubleLine Shiller Enhanced CAPE<sup>®</sup> | Seek total return which exceeds the total<br>return of its benchmark index | 10/31/2013 | 10/31/2013 |  | 7/31/2019 |
|  DoubleLine Flexible Income Fund | Seek long-term total return while striving to generate current income | 4/7/2014 | 4/7/2014 |  | 7/31/2019 |
|  DoubleLine Low Duration Emerging Markets Fixed Income Fund | Seek long-term total return | 4/7/2014 | 4/7/2014 |  |  |
|  DoubleLine Long Duration Total Return Bond Fund | Seek long-term total return | 12/15/2014 | 12/15/2014 |  |  |
|  DoubleLine Strategic Commodity Fund (Consolidated) | Seek long-term total return | 5/18/2015 | 5/18/2015 |  |  |
|  DoubleLine Global Bond Fund | Seek long-term total return | 12/17/2015 | 12/17/2015 |  |  |
|  DoubleLine Infrastructure Income Fund | Seek long-term total return while striving to generate current income | 4/1/2016 | 4/1/2016 |  |  |
|  DoubleLine Shiller Enhanced International CAPE<sup>®</sup> | Seek total return which exceeds the total<br>return of its benchmark index over a full<br>market cycle | 12/23/2016 | 12/23/2016 |  |  |
|  DoubleLine Real Estate and Income Fund | Seek total return which exceeds the total<br>return of its benchmark index over a full<br>market cycle | 12/17/2018 | 12/17/2018 |  |  |
|  DoubleLine Emerging Markets Local Currency Bond Fund | Seek high total return from current income and capital appreciation | 6/28/2019 | 6/28/2019 |  |  |
|  DoubleLine Income Fund | Maximize total return through investment<br>principally in income-producing securities | 9/3/2019 | 9/3/2019 |  |  |
|  DoubleLine Multi-Asset Trend Fund (Consolidated) | Seek total return (capital appreciation and<br>current income) which exceeds the total<br>return of its benchmark index over a full<br>market cycle | 2/26/2021 | 2/26/2021 |  |  |

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------

**2. Significant Accounting Policies** 

Each Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946, "Financial Services—Investment Companies", by the Financial Accounting Standards Board ("FASB"). The following is a summary of the significant accounting policies of the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America ("US GAAP").

**A. Security Valuation.** The Funds have adopted US GAAP fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:

• Level 1—Unadjusted quoted market prices in active markets for identical securities

• Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from
observable market data

• Level 3—Significant unobservable inputs (including the reporting entity's estimates and assumptions)

Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Funds are authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3. Assets and liabilities may be transferred between levels.

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| | |
|:---|:---|
| Fixed-income class | Examples of Inputs |
| All | Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as "standard inputs") |
| Corporate bonds and notes; convertible securities | Standard inputs and underlying equity of the issuer |
| US bonds and notes of government and government agencies | Standard inputs |
| Residential and commercial mortgage-backed obligations; asset-backed obligations (including collateralized loan obligations) | Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports |
| Bank loans | Standard inputs |

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Investments in registered open-end management investment companies will be valued based upon the net asset value ("NAV") of such investments and are categorized as Level 1 of the fair value hierarchy.

Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts, that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Over-the-counter financial derivative instruments, such as forward currency exchange contracts, options contracts, or swap agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of evaluations provided by independent pricing services or broker dealer quotations. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.

The Board of Trustees (the "Board") has adopted a pricing and valuation policy for use by each Fund and its Valuation Designee (as defined below) in calculating each Fund's NAV. Pursuant to Rule 2a-5 under the 1940 Act, each Fund has designated its primary investment adviser, either DoubleLine Capital LP ("DoubleLine Capital") or DoubleLine Alternatives LP ("DoubleLine Alternatives") (each, an "Adviser" and, collectively, the "Advisers"), as applicable, as the "Valuation Designee" to perform all of the fair value determinations as well as to perform all of the responsibilities that may be performed by a Valuation Designee in accordance with Rule 2a-5. Each Adviser, as Valuation Designee, is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are unreliable.

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The following is a summary of the fair valuations according to the inputs used to value the Fund's investments as of December 31, 2022:

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Category** | **DoubleLine<br>Total Return<br>Bond Fund** | **DoubleLine<br>Core Fixed<br>Income Fund** | **DoubleLine<br>Emerging<br>Markets Fixed<br>Income Fund** | **DoubleLine<br>Multi-Asset<br>Growth Fund<br>(Consolidated)** | **DoubleLine<br>Low Duration<br>Bond Fund** | **DoubleLine<br>Floating<br>Rate Fund** |
|  **Investments in Securities** |  |  |  |  |  |  |
|  Level 1 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments | $116605968 | $48512955 | $18125987 | $3318807 | $24544755 | $19740772 |
| &nbsp;&nbsp;&nbsp;&nbsp; Affiliated Mutual Funds |  | 448502550 |  | 3881405 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  | 1424793 | 1617312 |  | 632264 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Warrants |  | 11266 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Exchange Traded Funds |  |  |  | 2319023 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Real Estate Investment Trusts |  |  |  | 649550 |  |  |
|  Total Level 1 | 116605969 | 498451564 | 19743299 | 10168785 | 25177019 | 19740772 |
|  Level 2 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Government and Agency Mortgage Backed Obligations | 14458512397 | 1218752542 |  | 1674455 | 137509506 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | 9039586085 | 886366196 |  | 4372872 | 830325251 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | 2979940584 | 464106102 |  |  | 845079852 | 1362534 |
| &nbsp;&nbsp;&nbsp;&nbsp; US Government and Agency Obligations | 2654009112 | 1371292346 |  |  | 1166025790 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | 1529938005 | 286330803 |  |  | 337032966 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateralized Loan Obligations | 1222234925 | 324625697 |  |  | 1012764366 | 3057119 |
| &nbsp;&nbsp;&nbsp;&nbsp; US Corporate Bonds |  | 1084153669 |  |  | 342675076 | 9775560 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds |  | 456561144 | 377302033 |  | 598993442 | 612227 |
| &nbsp;&nbsp;&nbsp;&nbsp; Bank Loans |  | 276765038 |  |  | 313871021 | 218910535 |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |  | 120102505 | 165738428 |  | 53876644 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments |  | 28150363 |  | 4602283 | 185365983 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Municipal Bonds |  | 5555939 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Escrow Notes |  | 3187 |  |  |  |  |
|  Total Level 2 | 31884221108 | 6522765531 | 543040461 | 10649610 | 5823519897 | 233717975 |
|  Level 3 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | 142980737 | 783811 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | 57361634 | 6796039 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  | 1379265 |  |  |  | 739519 |
| &nbsp;&nbsp;&nbsp;&nbsp; Bank Loans |  | 491124 |  |  |  | 393283 |
| &nbsp;&nbsp;&nbsp;&nbsp; Rights |  | 22116 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Warrants |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Escrow Notes |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateralized Loan Obligations |  |  |  | 92090 |  |  |
|  Total Level 3 | 200342371 | 9472355 |  | 92090 |  | 1132802 |
|  Total | $32201169447 | $7030689450 | $562783760 | $20910485 | $5848696916 | $254591549 |

---

------

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Category** | **DoubleLine<br>Total Return<br>Bond Fund** | **DoubleLine<br>Core Fixed<br>Income<br>Fund** | **DoubleLine<br>Emerging<br>Markets Fixed<br>Income Fund** | **DoubleLine<br>Multi-Asset<br>Growth Fund<br>(Consolidated)** | **DoubleLine<br>Low Duration<br>Bond Fund** | **DoubleLine<br>Floating<br>Rate Fund** |
|  **Other Financial Instruments** |  |  |  |  |  |  |
|  Level 1 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $(28266221) | $(3012145) | $— | $(142497) | $— | $— |
|  Total Level 1 | (28266221) | (3012145) |  | (142497) |  |  |
|  Level 2 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Excess Return Swaps |  |  |  | 187043 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Unfunded Loan Commitments |  | (225330) |  |  |  | (216153) |
|  Total Level 2 |  | (225330) |  | 187043 |  | (216153) |
|  Level 3 |  |  |  |  |  |  |
|  Total | $(28266221) | $(3237475) | $— | $44546 | $— | $(216153) |
| **Category** | **DoubleLine<br>Shiller<br>Enhanced<br>CAPE<sup>®</sup>** | **DoubleLine<br>Flexible<br>Income<br>Fund** | **DoubleLine<br>Low Duration<br>Emerging<br>Markets Fixed<br>Income Fund** | **DoubleLine<br>Long<br>Duration<br>Total Return<br>Bond Fund** | **DoubleLine<br>Strategic<br>Commodity<br>Fund<br>(Consolidated)** | **DoubleLine<br>Global Bond<br>Fund** |
|  **Investments in Securities** |  |  |  |  |  |  |
|  Level 1 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments | $51035424 | $43231152 | $11533492 | $249067 | $6388725 | $4934506 |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks |  | 39410 | 150391 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Warrants |  | 1270 |  |  |  |  |
|  Total Level 1 | 51035424 | 43271832 | 11683883 | 249067 | 6388725 | 4934506 |
|  Level 2 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateralized Loan Obligations | 973389205 | 188005486 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Government and Agency Obligations | 798388051 | 44475586 |  | 10964836 |  | 43716741 |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | 620981275 | 175041055 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | 569535021 | 124818905 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | 327872413 | 40325949 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Bank Loans | 345656151 | 80782072 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds | 324985725 | 67150251 | 200850119 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Corporate Bonds | 280017465 | 43896416 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Government and Agency Mortgage Backed Obligations | 108830065 | 76241250 |  | 32551388 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations | 18673996 | 24785640 | 31982822 |  |  | 70269527 |
| &nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments | 126875634 | 47063033 |  |  | 200044406 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Excrow Notes |  | 752 |  |  |  |  |
|  Total Level 2 | 4495205001 | 912586395 | 232832941 | 43516224 | 200044406 | 113986268 |
|  Level 3 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | 5206574 | 987716 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | 1920254 | 7167239 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | 703130 | 304112 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations |  | 12496159 |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Bank Loans |  | 107387 |  |  |  |  |

---

------

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Category** | **DoubleLine<br>Shiller<br>Enhanced<br>CAPE<sup>®</sup>** | **DoubleLine<br>Flexible<br>Income<br>Fund** | **DoubleLine<br>Low<br>Duration<br>Emerging<br>Markets<br>Fixed<br>Income<br>Fund** | **DoubleLine<br>Long<br>Duration<br>Total<br>Return<br>Bond Fund** | **DoubleLine<br>Strategic<br>Commodity<br>Fund<br>(Consolidated)** | **DoubleLine<br>Global Bond<br>Fund** |
| &nbsp;&nbsp;&nbsp;&nbsp; Rights | $— | $5301 | $— | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Warrants |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Escrow Notes |  |  |  |  |  |  |
|  Total Level 3 | 7829958 | 21067914 |  |  |  |  |
|  Total | $4554070383 | $976926141 | $244516824 | $43765291 | $206433131 | $118920774 |
|  **Other Financial Instruments** |  |  |  |  |  |  |
|  Level 1 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | $— | $— | $(126668) | $— | $— |
|  Total Level 1 |  |  |  | (126668) |  |  |
|  Level 2 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Excess Return Swaps | (398242756) |  |  |  | (1021857) |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Exchange Contracts |  |  |  |  |  | (139760) |
| &nbsp;&nbsp;&nbsp;&nbsp; Unfunded Loan Commitments |  | (80056) |  |  |  |  |
|  Total Level 2 | (398242756) | (80056) |  |  | (1021857) | (139760) |
|  Level 3 |  |  |  |  |  |  |
|  Total | $(398242756) | $(80056) | $— | $(126668) | $(1021857) | $(139760) |
| **Category** | **DoubleLine<br>Infrastructure<br>Income Fund** | **DoubleLine<br>Shiller<br>Enhanced<br>International<br>CAPE<sup>®</sup>** | **Doubleline<br>Real Estate<br>and Income<br>Fund** | **Doubleline<br>Emerging<br>Markets<br>Local<br>Currency<br>Bond Fund** | **Doubleline<br>Income Fund** | **DoubleLine<br>Multi-Asset<br>Trend Fund<br>(Consolidated)** |
|  **Investments in Securities** |  |  |  |  |  |  |
|  Level 1 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments | $12198729 | $4048938 | $1705032 | $668110 | $6676975 | $265518 |
| &nbsp;&nbsp;&nbsp;&nbsp; Affiliated Mutual Funds |  | 3887539 |  |  |  | 9699012 |
|  Total Level 1 | 12198729 | 7936477 | 1705032 | 668110 | 6676975 | 9964530 |
|  Level 2 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | 158701696 | 2477234 |  |  | 1090630 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Corporate Bonds | 144623257 | 3501088 | 2573029 |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds | 53279187 | 3147643 | 524972 | 1215732 |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Collateralized Loan Obligations |  | 8706412 | 1448904 |  | 10529910 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments |  | 6865377 | 2029128 |  |  | 2515679 |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations |  | 6787634 |  |  | 10814693 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Government and Agency Obligations |  | 6715565 | 1595988 |  | 2637344 | 2270678 |
| &nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations |  | 5496313 | 1615962 |  | 10163543 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; US Government and Agency Mortgage Backed Obligations |  | 1165168 |  |  | 2596797 |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Government Bonds, Foreign Agencies and Foreign Government Sponsored Corporations |  | 167586 |  | 7047156 |  |  |
|  Total Level 2 | 356604140 | 45030020 | 9787983 | 8262888 | 37832917 | 4786357 |

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Category** | **DoubleLine<br>Infrastructure<br>Income Fund** | **DoubleLine<br>Shiller<br>Enhanced<br>International<br>CAPE<sup>®</sup>** | **Doubleline<br>Real Estate<br>and<br>Income<br>Fund** | **Doubleline<br>Emerging<br>Markets<br>Local<br>Currency<br>Bond<br>Fund** | **Doubleline<br>Income<br>Fund** | **DoubleLine<br>Multi-Asset<br>Trend Fund<br>(Consolidated)** |
|  Level 3 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds | $2064521 | $— | $— | $— | $— | $— |
| &nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations |  |  |  |  | 5247789 |  |
|  Total Level 3 | 2064521 |  |  |  | 5247789 |  |
|  Total | $370867390 | $52966497 | $11493015 | $8930998 | $49757681 | $14750887 |
|  **Other Financial Instruments** |  |  |  |  |  |  |
|  Level 1 | $— | $— | $— | $— | $— | $— |
|  Level 2 |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; Excess Return Swaps |  | (1991065) | (1805133) |  |  | (1065319) |
| &nbsp;&nbsp;&nbsp;&nbsp; Forward Currency Exchange Contracts |  | (1928862) |  |  |  |  |
|  Total Level 2 |  | (3919927) | (1805133) |  |  |  |
|  Level 3 |  |  |  |  |  |  |
|  Total | $— | $(3919927) | $(1805133) | $— | $— | $(1065319) |

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*See the Schedules of Investments for further disaggregation of investment categories.* 

The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value:

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| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **DoubleLine**<br> **Flexible**<br> **Income**<br> **Fund** | **Fair Value<br>as of<br>3/31/2022** | **Net<br>Realized<br>Gain<br>(Loss)** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<sup>(c)</sup>** | **Net Accretion<br>(Amortization)** | **Purchases<sup>(a)</sup>** | **Sales<sup>(b)</sup>** | **Transfers<br>Into<br>Level 3<sup>(d)</sup>** | **Transfers <br>Out of<br>Level 3<sup>(d)</sup>** | **Fair Value<br>as of<br>12/31/2022** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>on securities<br>held at<br>12/31/2022<sup>(c)</sup>** |
|  **Investments in Securities** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | $18148394 | $(404145) | $(4322802) | $— | $806374 | $(1731662) | $— | $— | $12496159 | $(4202443) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | 8647146 | 104644 | (550093) | 92976 |  | (1127434) |  |  | 7167239 | (477814) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | 1134911 | 2554 | (67801) | 6622 |  | (88570) |  |  | 987716 | (81594) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | 502597 | (2247) | (244498) |  | 54043 | (5783) |  |  | 304112 | (207675) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank Loans | 108383 | 334 | (3603) | 3269 |  | (996) |  |  | 107387 | (3250) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rights |  |  | 5301 |  |  |  |  |  | 5301 | 5301 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collateralized Loan Obligations | 73653 |  | (18385) | 841 | 11955 |  |  | (68064) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warrants | 1287 |  | (17) |  |  |  |  | (1270) |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Escrow Notes |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds |  |  |  |  |  |  |  |  |  |  |
|  **Total** | $28616371 | $(298860) | $(5201898) | $103708 | $872372 | $(2954445) | $— | $(69334) | $21067914 | $(4972793) |

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| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **DoubleLine<br>Income Fund** | **Fair Value<br>as of<br>3/31/2022** | **Net<br>Realized<br>Gain<br>(Loss)** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<sup>(c)</sup>** | **Net Accretion<br>(Amortization)** | **Purchases<sup>(a)</sup>** | **Sales<sup>(b)</sup>** | **Transfers<br>Into<br>Level 3<sup>(d)</sup>** | **Transfers<br>Out of<br>Level 3<sup>(d)</sup>** | **Fair<br>Value as<br>of<br>12/31/2022** | **Net Change in<br>Unrealized<br>Appreciation<br>(Depreciation)<br>on securities<br>held at<br>12/31/2022<sup>(c)</sup>** |
|  **Investments in Securities** |  |  |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | $7811068 | $(131791) | $(2084252) | $(819) | $307518 | $(653935) | $— | $— | $5247789 | $(2003287) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | 1157833 | (97758) | 149266 | 5659 |  | (1215000) |  |  |  |  |
|  **Total** | $8968901 | $(229549) | $(1934986) | $4840 | $307518 | $(1868935) | $— | $— | $5247789 | $(2003287) |

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*<sup>(a)</sup>* *Purchases include all purchases of securities, payups and corporate actions.* 

*<sup>(b)</sup>* *Sales include all sales of securities, maturities, and paydowns.* 

*<sup>(c)</sup>* *Any difference between Net Change in Unrealized Appreciation (Depreciation) and Net Change in Unrealized Appreciation (Depreciation) on securities held at December 31, 2022 may be due to a security that was not held or categorized as Level 3 at either period end.* 

*<sup>(a)</sup>* *Transfers into or out of Level 3 can be attributed to changes in the availability of pricing sources and/or in the observability of significant inputs used to measure the fair value of those instruments.* 

The following is a summary of quantitative information about Level 3 Fair Value Measurements:

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DoubleLine Flexible Income<br>Fund** | **Fair<br>Value as<br>of<br>12/31/2022** | **Valuation<br>Techniques** | **Unobservable<br>Input** | **Unobservable Input Values<br>(Weighted Average)<sup>(e)</sup>** | **Impact to valuation from an<br>increase to input** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | $12496159 | Market Comparables | Market Quotes | $45.42 - $84.55 ($61.34) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Residential Collateralized Mortgage Obligations | $7167239 | Market Comparables | Market Quotes | $91.47 ($91.47) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Non-Agency Commercial Mortgage Backed Obligations | $987716 | Market Comparables | Market Quotes | $75.63 ($75.63) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Common Stocks | $304112 | Market Comparables | Market Quotes | $0.02 - $24.00 ($15.54) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bank Loans | $107387 | Market Comparables | Market Quotes | $100.00 ($100.00) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rights | $5301 | Intrinsic Value | Asset Sale Proceeds | $6.75 - $7.50 ($7.14) | Significant changes in asset sale proceeds would have resulted in direct changes in fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Warrants | $— | Intrinsic Value | Underlying Equity Price | $0.00 ($0.00) | Significant changes in the Underlying Equity Price would have resulted in direct changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Escrow Notes | $— | Income Approach | Expected Value | $0.00 ($0.00) | Significant changes in the expected value would have resulted in direct changes in the fair value of the security |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Corporate Bonds | $— | Market Comparables | EBITDA Multiples | $0.00 ($0.00) | Significant changes in the EBITDA multiple would have resulted in direct changes in the fair value of the security |

---

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **DoubleLine Income Fund** | **Fair<br>Value as<br>of<br>12/30/2022** | **Valuation<br>Techniques** | **Unobservable<br>Input** | **Unobservable Input Values<br>(Weighted Average)<sup>(e)</sup>** | **Impact to valuation from an<br>increase to input** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asset Backed Obligations | $5247789 | Market Comparables | Market Quotes | $32.33 - $5.533.79 ($1,241.25) | Significant changes in the market quotes would have resulted in direct and proportional changes in the fair value of the security |

---

*<sup>(e)</sup>* *Unobservable inputs were weighted by the relative fair value of the instruments.*

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** DoubleLine Funds Trust

- **b. Investment Company Act file number:** 811-22378

- **c. CIK number of Registrant:** 0001480207

- **d. LEI of Registrant:** 549300MUFFXFRMY0RH66

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

  - **Street Address 1:** 2002 North Tampa Street

  - **City:** Tampa

  - **State:** FL

  - **Foreign country:** US

  - **Zip / Postal Code:** 33602

  - **Telephone number:** 813-791-7333

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

- **a. Name of Series:** DoubleLine Total Return Bond Fund

- **b. EDGAR series identifier (if any):** S000028163

- **c. LEI of Series:** 54930080M2JY1L0IFX13

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

- **a. Date of fiscal year-end:** 2023-03-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $32527017352.39

**Total Liabilities:** $154186761.87

**Net Assets:** $32372830590.52

**Cash Not Reported:** $71285344.05

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 4722.000000000000 | **1-Year:** 714848.000000000000 | **5-Year:** 4127690.000000000000 | **10-Year:** 5376701.000000000000 | **30-Year:** 332899.000000000000

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

- **3-Month:** 22781.000000000000 | **1-Year:** 584695.000000000000 | **5-Year:** 1497126.000000000000 | **10-Year:** 782699.000000000000 | **30-Year:** 70657.000000000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000086126 | -2.25%               | 2.77%                | -0.56%               |
| Class ID C000086127 | -2.27%               | 2.63%                | -0.47%               |
| Class ID C000213584 | -2.25%               | 2.77%                | -0.44%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-59827838.72            | $-773321093.44                             |
| Month 2  | $-103997348.76           | $831810657.46                              |
| Month 3  | $-63995270.17            | $-157788236.76                             |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5456274 | PA      | $2760563.78    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-9                                           | CUSIP: 12544XAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     718088 | PA      | $363311.78     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2015-C4 Commercial Mortgage Trust                                          | CUSIP: 12635RAZ1<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |  277985409 | PA      | $5007907.14    | 0.02%             | 2048-11-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Trust 2013-9R                                                               | CUSIP: 12647LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9255696 | PA      | $7920141.27    | 0.02%             | 2043-05-27      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2006-5                                    | CUSIP: 05950BAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     517660 | PA      | $450120.18     | 0.00%             | 2046-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-6 Trust                                             | CUSIP: 05950RAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1320149 | PA      | $1157713.24    | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-7                                           | CUSIP: 12544TAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2005563 | PA      | $1056782.91    | 0.00%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2017-PANW Mortgage Trust                                                    | CUSIP: 12595HAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5524000 | PA      | $4837333.66    | 0.01%             | 2029-10-10      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4315524 | PA      | $2083608.61    | 0.01%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2264771 | PA      | $1020920.09    | 0.00%             | 2038-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Trust 2017-CALI                                                             | CUSIP: 12652FAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3799000 | PA      | $2503210.87    | 0.01%             | 2032-11-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Trust 2017-CALI                                                             | CUSIP: 12652FAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6050000 | PA      | $3980223.01    | 0.01%             | 2032-11-10      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2017-CX10 Commercial Mortgage Trust                                        | CUSIP: 12595JAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   77867734 | PA      | $2052227.48    | 0.01%             | 2050-11-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2017-CX10 Commercial Mortgage Trust                                        | CUSIP: 12595JAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4399000 | PA      | $3781754.75    | 0.01%             | 2050-11-15      | Variable      | 3.89%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2007-5 Trust                                             | CUSIP: 059523AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1224435 | PA      | $937411.07     | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2017-BNK4                                                                   | CUSIP: 06541FBB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32533370 | PA      | $1431364.15    | 0.00%             | 2050-05-15      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3670704 | PA      | $1772278.62    | 0.01%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-8                                           | CUSIP: 12545AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5258322 | PA      | $2638767.78    | 0.01%             | 2038-01-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortg                    | CSWF 2018-TOP                                                                    | CUSIP: 12653BAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3461045 | PA      | $3432670.86    | 0.01%             | 2035-08-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Credit Suisse Mortgage Capital Certificates 2019-ICE4                            | CUSIP: 12653VAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16723000 | PA      | $16197491.43   | 0.05%             | 2036-05-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2017-CX10 Commercial Mortgage Trust                                        | CUSIP: 12595JAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3356000 | PA      | $2824745.54    | 0.01%             | 2050-11-15      | Variable      | 4.18%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                          | CSMCM Trust                                                                      | CUSIP: 12595TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   71537511 | PA      | $49571560.86   | 0.15%             | 2056-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A1                               | CUSIP: 12566QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2275615 | PA      | $2009221.33    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A1                               | CUSIP: 12566QAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3008475 | PA      | $2501414.10    | 0.01%             | 2037-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3803578 | PA      | $3179523.98    | 0.01%             | 2037-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3803578 | PA      | $301015.18     | 0.00%             | 2037-04-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-10                                          | CUSIP: 12545CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3842584 | PA      | $1893004.05    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHCP 2021-FL1 Ltd.                                | CHCP 2021-FL1 Ltd                                                                | CUSIP: 12546JAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5275000 | PA      | $5009456.50    | 0.02%             | 2038-02-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A4                               | CUSIP: 12566VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4028185 | PA      | $3597398.32    | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A5                               | CUSIP: 12566WAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7073735 | PA      | $6382897.12    | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A5                               | CUSIP: 12566WAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     536528 | PA      | $484129.45     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5364365 | PA      | $287490.27     | 0.00%             | 2037-03-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-CCRE12 Mortgage Trust                                                  | CUSIP: 12591KAF2<br>LEI: 549300MGZ5FI5VFL1177 | Long             | ABS-MBS          | CORP              | US        |  168894486 | PA      | $901541.88     | 0.00%             | 2046-10-10      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CCRE16 Mortgage Trust                                                  | CUSIP: 12591VAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4345000 | PA      | $3942415.33    | 0.01%             | 2047-04-10      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| CLI Funding LLC                                   | CLI Funding VI LLC                                                               | CUSIP: 12563LAN7<br>LEI: 549300NQLBWJD5AREU05 | Long             | ABS-O            | CORP              | US        |   13409375 | PA      | $11631932.96   | 0.04%             | 2045-09-18      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| CLNC 2019-FL1, Ltd                                | CLNC 2019-FL1 Ltd                                                                | CUSIP: 12565DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   18762467 | PA      | $18287082.71   | 0.06%             | 2035-08-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| CLNC 2019-FL1, Ltd                                | CLNC 2019-FL1 Ltd                                                                | CUSIP: 12565DAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   32731000 | PA      | $31776465.85   | 0.10%             | 2035-08-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| CLNC 2019-FL1, Ltd                                | CLNC 2019-FL1 Ltd                                                                | CUSIP: 12565DAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   29797989 | PA      | $28536431.54   | 0.09%             | 2035-08-20      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-UBS3 Mortgage Trust                                                    | CUSIP: 12591YBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   90331218 | PA      | $901035.83     | 0.00%             | 2047-06-10      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CCRE19 Mortgage Trust                                                  | CUSIP: 12592GBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7635000 | PA      | $7171415.02    | 0.02%             | 2047-08-10      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A1                               | CUSIP: 12566QAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1109513 | PA      | $979628.33     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A1                               | CUSIP: 12566QAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2838831 | PA      | $108892.43     | 0.00%             | 2037-01-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2014-CCRE20 Mortgage Trust                                                  | CUSIP: 12592LBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25400000 | PA      | $23430717.68   | 0.07%             | 2047-11-10      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2015-3BP Mortgage Trust                                                     | CUSIP: 12592TAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     833000 | PA      | $678989.46     | 0.00%             | 2035-02-10      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2006-A6                               | CUSIP: 12566RAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4599035 | PA      | $3947183.08    | 0.01%             | 2036-11-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2330995 | PA      | $2050656.81    | 0.01%             | 2037-03-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2018-COR3 Mortgage Trust                                                    | CUSIP: 12595VAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5248500 | PA      | $4259992.26    | 0.01%             | 2051-05-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2018-C14 Commercial Mortgage Trust                                         | CUSIP: 12596GBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1677000 | PA      | $1398408.54    | 0.00%             | 2051-11-15      | Variable      | 4.92%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2021-SFR3 Trust                                                             | CUSIP: 00180UAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18500000 | PA      | $15481031.25   | 0.05%             | 2038-10-17      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                    | Accredited Mortgage Loan Trust 2006-2                                            | CUSIP: 00437NAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13085000 | PA      | $9565390.16    | 0.03%             | 2036-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-WM1                       | CUSIP: 004424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   73588631 | PA      | $25736210.85   | 0.08%             | 2036-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A3                               | CUSIP: 12567AAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2102180 | PA      | $1824537.20    | 0.01%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CIFC Funding Ltd                                  | CIFC Funding 2022-III Ltd                                                        | CUSIP: 12571KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11500000 | PA      | $10981338.50   | 0.03%             | 2035-04-21      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2015-CCRE22 Mortgage Trust                                                  | CUSIP: 12592XBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  150028009 | PA      | $2155032.33    | 0.01%             | 2048-03-10      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2015-CCRE22 Mortgage Trust                                                  | CUSIP: 12592XBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     905000 | PA      | $824783.52     | 0.00%             | 2048-03-10      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| ACRE COMMERCIAL MORTGAGE TRUST                    | ACRE Commercial Mortgage 2021-FL4 Ltd                                            | CUSIP: 00489TAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2010000 | PA      | $1940407.77    | 0.01%             | 2037-12-18      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2006-2                                            | CUSIP: 007034AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6974056 | PA      | $6134144.95    | 0.02%             | 2036-05-25      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2015-CCRE23 Mortgage Trust                                                  | CUSIP: 12593ABE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5360000 | PA      | $4905828.44    | 0.02%             | 2048-05-10      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2016-DC2 Mortgage Trust                                                     | CUSIP: 12594CBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1403000 | PA      | $1256739.21    | 0.00%             | 2049-02-10      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2015-CCRE26 Mortgage Trust                                                  | CUSIP: 12593QBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   75178529 | PA      | $1448795.50    | 0.00%             | 2048-10-10      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2017-C8 Commercial Mortgage Trust                                          | CUSIP: 12595BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  134088636 | PA      | $4794821.89    | 0.01%             | 2050-06-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities                     | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-1        | CUSIP: 00764MBE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800034 | PA      | $720640.92     | 0.00%             | 2034-04-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities                     | Aegis Asset Backed Securities Trust Mortgage Pass-Through Ctfs Ser 2004-2        | CUSIP: 00764MBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     617792 | PA      | $582713.12     | 0.00%             | 2034-06-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-B33                                                                    | CUSIP: 12658WAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4887333 | PA      | $3699015.12    | 0.01%             | 2043-10-10      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-JR2 Trust                                                              | CUSIP: 12659NAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15540806 | PA      | $14749533.19   | 0.05%             | 2061-11-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities                     | Aegis Asset Backed Securities Trust 2004-6                                       | CUSIP: 00764MDY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5270423 | PA      | $4883952.77    | 0.02%             | 2035-03-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities                     | Aegis Asset Backed Securities Trust 2006-1                                       | CUSIP: 00764SAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9902686 | PA      | $7542834.20    | 0.02%             | 2037-01-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2016-C7 Commercial Mortgage Trust                                          | CUSIP: 12637UBB4<br>LEI: 5493006MX7HG5PC85C29 | Long             | ABS-MBS          | CORP              | US        |   11020000 | PA      | $9549318.19    | 0.03%             | 2049-11-15      | Variable      | 4.33%                 | No            |                  2 | On Loan: No      |
| MKS CLO Ltd                                       | MKS CLO 2017-2 Ltd                                                               | CUSIP: 12662CAA5<br>LEI: 549300JCIKT6NT8T1275 | Long             | ABS-CBDO         | CORP              | US        |   61250000 | PA      | $60356791.25   | 0.19%             | 2031-01-20      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Coinstar Funding, LLC                             | Coinstar Funding LLC Series 2017-1                                               | CUSIP: 19260MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12091275 | PA      | $9293954.90    | 0.03%             | 2047-04-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2022-4 Mortgage Loan Trust                                                  | CUSIP: 19685GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12731763 | PA      | $12212402.46   | 0.04%             | 2067-03-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2019-C16 Commercial Mortgage Trust                                         | CUSIP: 12596WAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15894000 | PA      | $13128366.12   | 0.04%             | 2052-06-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2019-C17 Commercial Mortgage Trust                                         | CUSIP: 12597BAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26184359 | PA      | $1589833.08    | 0.00%             | 2052-09-15      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7082378 | PA      | $808988.83     | 0.00%             | 2037-01-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Ameriquest Mortgage Securities Trust 2006-M3                                     | CUSIP: 03076MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  109748881 | PA      | $63895425.30   | 0.20%             | 2036-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $3718235.40    | 0.01%             | 2066-10-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A2M67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30000000 | PA      | $29314782.00   | 0.09%             | 2041-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-28CB                                                 | CUSIP: 12667GYP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     991969 | PA      | $481801.50     | 0.00%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | CWABS Asset-Backed Certificates Trust 2006-25                                    | CUSIP: 12667TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20933490 | PA      | $19189150.26   | 0.06%             | 2047-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2020-SFR5 Trust                                                             | CUSIP: 03217JAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $8743296.00    | 0.03%             | 2037-11-17      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                         | Anchorage Capital CLO 3-R Ltd                                                    | CUSIP: 03330AAC6<br>LEI: 549300V7DN3VJ8H1GE96 | Long             | ABS-CBDO         | CORP              | US        |    2000000 | PA      | $1952937.20    | 0.01%             | 2031-01-28      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A4GN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10666787 | PA      | $9868542.22    | 0.03%             | 2042-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A4LE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27913351 | PA      | $25820379.65   | 0.08%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO LTD                         | Anchorage Capital CLO 2018-10 Ltd                                                | CUSIP: 03331JAA0<br>LEI: 549300PXQERPW8QV9145 | Long             | ABS-CBDO         | CORP              | US        |   36000000 | PA      | $35451010.80   | 0.11%             | 2031-10-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust I LLC 2019-2                                            | CUSIP: 03463WAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9667931 | PA      | $9472244.45    | 0.03%             | 2049-03-25      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-46CB                                                 | CUSIP: 12668ABD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1114580 | PA      | $802930.22     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J10                                                  | CUSIP: 12668ABH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1298050 | PA      | $932643.61     | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A8UD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15254505 | PA      | $13730365.21   | 0.04%             | 2042-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A95R5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17445586 | PA      | $15787941.44   | 0.05%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Angel Oak Mortgage Trust                          | Angel Oak Mortgage Trust 2021-7                                                  | CUSIP: 03464JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9121000 | PA      | $5492402.60    | 0.02%             | 2066-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Apidos CLO                                        | Apidos CLO XII                                                                   | CUSIP: 03764DAK7<br>LEI: 549300M5NMLBQJXUO195 | Long             | ABS-CBDO         | CORP              | US        |    3000000 | PA      | $2778950.40    | 0.01%             | 2031-04-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A9GU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14515342 | PA      | $13538925.10   | 0.04%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AAPV1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14208174 | PA      | $12743025.49   | 0.04%             | 2032-12-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Cathedral Lake LTD                                | Cathedral Lake VIII Ltd                                                          | CUSIP: 14919GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $9660659.00    | 0.03%             | 2035-01-20      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| Centex Home Equity                                | Centex Home Equity Loan Trust 2004-A                                             | CUSIP: 152314HZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2750000 | PA      | $2606794.30    | 0.01%             | 2034-01-25      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2019-C18 Commercial Mortgage Trust                                         | CUSIP: 12597DAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  246858786 | PA      | $11435807.34   | 0.04%             | 2052-12-15      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2019-C18 Commercial Mortgage Trust                                         | CUSIP: 12597DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7924000 | PA      | $6374948.33    | 0.02%             | 2052-12-15      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136ADT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6724376 | PA      | $6034910.32    | 0.02%             | 2033-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136AK2E2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   88754579 | PA      | $86008858.45   | 0.27%             | 2024-08-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J10                                                  | CUSIP: 12668ABK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295406 | PA      | $202795.05     | 0.00%             | 2035-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J13                                                  | CUSIP: 12668AC86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     454830 | PA      | $299444.03     | 0.00%             | 2035-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                   | ChaseFlex Trust Series 2005-1                                                    | CUSIP: 16165TAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1523825 | PA      | $1293624.68    | 0.00%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                   | ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates Series 2007-M1    | CUSIP: 16165YAT9<br>LEI: 5493006ND0ASVXWQFQ18 | Long             | ABS-MBS          | CORP              | US        |    5118932 | PA      | $4297330.34    | 0.01%             | 2037-08-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                          | CSMCM 2020-RPL1 Trust                                                            | CUSIP: 12597LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9596334 | PA      | $7839625.32    | 0.02%             | 2046-01-25      | Variable      | 3.23%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-AFC1 Trust                                                             | CUSIP: 12597MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4227000 | PA      | $2997085.03    | 0.01%             | 2050-02-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AK4F7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38656636 | PA      | $33425747.27   | 0.10%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AK5T6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13611708 | PA      | $11857706.15   | 0.04%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                   | ChaseFlex Trust Multi-Class Mortgage Pass-Through Certificates Series 2007-M1    | CUSIP: 16165YAU6<br>LEI: 5493006ND0ASVXWQFQ18 | Long             | ABS-MBS          | CORP              | US        |    5324145 | PA      | $4469177.48    | 0.01%             | 2037-08-25      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2006-16                                          | CUSIP: 170257AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3243182 | PA      | $1282678.94    | 0.00%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2020-C19 Commercial Mortgage Trust                                         | CUSIP: 12597NAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  197199153 | PA      | $11324259.95   | 0.03%             | 2053-03-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2020-C19 Commercial Mortgage Trust                                         | CUSIP: 12597NAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   81465000 | PA      | $480016.22     | 0.00%             | 2053-03-15      | Variable      | 0.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AKHX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32998282 | PA      | $27746872.95   | 0.09%             | 2044-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AKUJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     106791 | PA      | $76292.36      | 0.00%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-5 Mortgage Loan Trust                                                  | CUSIP: 12598RAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14812000 | PA      | $9155510.49    | 0.03%             | 2066-11-26      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2012-CCRE3 Mortgage Trust                                                   | CUSIP: 12624PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11975270 | PA      | $419.13        | 0.00%             | 2045-10-15      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-15                                          | CUSIP: 17025TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1485179 | PA      | $937598.06     | 0.00%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-15                                          | CUSIP: 17025TAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     515625 | PA      | $325888.42     | 0.00%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-RPL1 Trust                                                             | CUSIP: 12656EBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  181784906 | PA      | $144550358.44  | 0.45%             | 2069-10-25      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2019-RPL6 Trust                                                             | CUSIP: 12656JCL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  189803108 | PA      | $162775278.20  | 0.50%             | 2058-11-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2013-CCRE10 Mortgage Trust                                                  | CUSIP: 12626BAF1<br>LEI: 549300YJIXJB9DCDOI21 | Long             | ABS-MBS          | CORP              | US        |  101068829 | PA      | $186128.36     | 0.00%             | 2046-08-10      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2015-C1 Commercial Mortgage Trust                                          | CUSIP: 126281BF0<br>LEI: 549300UFJ8EKD81Y8R30 | Long             | ABS-MBS          | CORP              | US        |    4606000 | PA      | $3961931.97    | 0.01%             | 2050-04-15      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                     | Citicorp Mortgage Securities Inc                                                 | CUSIP: 172973M97<br>LEI: 549300ISEJNGWSXAKR30 | Long             | ABS-MBS          | CORP              | US        |    2154188 | PA      | $1970565.70    | 0.01%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2006-4                                             | CUSIP: 172981AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1186356 | PA      | $1114038.15    | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J13                                                  | CUSIP: 12668AC94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     909659 | PA      | $48295.36      | 0.00%             | 2035-11-25      | Floating      | 0.63%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-48T1                                                 | CUSIP: 12668AFH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3774786 | PA      | $2377965.89    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136B9NV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   79331801 | PA      | $2825425.91    | 0.01%             | 2030-09-25      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BAR97<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36321842 | PA      | $31191966.26   | 0.10%             | 2046-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2006-AR3                                           | CUSIP: 17306SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4604154 | PA      | $4222858.29    | 0.01%             | 2036-06-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2006-WF1                                           | CUSIP: 17307G4J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9325139 | PA      | $4508054.60    | 0.01%             | 2036-03-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust                        | CSAB Mortgage-Backed Trust 2006-3                                                | CUSIP: 12628KAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3983395 | PA      | $713539.53     | 0.00%             | 2036-11-25      | Variable      | 6.61%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust                        | CSAB Mortgage-Backed Trust 2006-4                                                | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2314067 | PA      | $506954.77     | 0.00%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136BAST2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  127667587 | PA      | $5549416.39    | 0.02%             | 2031-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BASX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11263085 | PA      | $6872329.12    | 0.02%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J11                                                  | CUSIP: 12668AJB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364875 | PA      | $219261.02     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J11                                                  | CUSIP: 12668AJU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     216667 | PA      | $200979.31     | 0.00%             | 2032-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSAB Mortgage Backed Trust                        | CSAB Mortgage-Backed Trust 2007-1                                                | CUSIP: 12629EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8470767 | PA      | $2214405.05    | 0.01%             | 2037-05-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2015-DC1 Mortgage Trust                                                     | CUSIP: 12629NAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  272303085 | PA      | $4141811.62    | 0.01%             | 2048-02-10      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-JR1 Trust                                                              | CUSIP: 12657XAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17222406 | PA      | $16454493.65   | 0.05%             | 2066-09-27      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| CSMCM Trust Certificates                          | CSMCM 2019-RPL6 Trust                                                            | CUSIP: 12658CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8020951 | PA      | $6605185.52    | 0.02%             | 2058-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GYS1<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    1287386 | PA      | $883230.21     | 0.00%             | 2035-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2006-A1                               | CUSIP: 17309AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1647417 | PA      | $1458444.02    | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BBG63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7362873 | PA      | $5804333.00    | 0.02%             | 2060-09-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BBGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12831274 | PA      | $1382616.01    | 0.00%             | 2050-08-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2015-DC1 Mortgage Trust                                                     | CUSIP: 12629NAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17822000 | PA      | $15365853.94   | 0.05%             | 2048-02-10      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | Comm 2013-CCRE13 Mortgage Trust                                                  | CUSIP: 12630BBF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     843000 | PA      | $794433.76     | 0.00%             | 2046-11-10      | Variable      | 4.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-55CW                                                 | CUSIP: 12668AMX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29334897 | PA      | $20362501.80   | 0.06%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-54CB                                                 | CUSIP: 12668APP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1359039 | PA      | $791870.77     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BBY22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19239844 | PA      | $3602893.61    | 0.01%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BBYS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   75108412 | PA      | $57394318.14   | 0.18%             | 2050-09-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | Csail 2015-C2 Commercial Mortgage Trust                                          | CUSIP: 12634NAX6<br>LEI: 549300D5DIOOMKWXVZ20 | Long             | ABS-MBS          | CORP              | US        |   13360000 | PA      | $12523388.78   | 0.04%             | 2057-06-15      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2015-C3 Commercial Mortgage Trust                                          | CUSIP: 12635FAY0<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    9205000 | PA      | $8192994.02    | 0.03%             | 2048-08-15      | Variable      | 4.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2006-WF2                                           | CUSIP: 17309BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9334353 | PA      | $3463918.81    | 0.01%             | 2036-05-25      | Variable      | 6.66%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2006-A2                               | CUSIP: 17309CAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1836239 | PA      | $1626764.75    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2015-C4 Commercial Mortgage Trust                                          | CUSIP: 12635RBD9<br>LEI: 54930025J96YEH8FQE77 | Long             | ABS-MBS          | CORP              | US        |    2299000 | PA      | $2049399.18    | 0.01%             | 2048-11-15      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2016-C5 Commercial Mortgage Trust                                          | CUSIP: 12636LBE9<br>LEI: 549300FU8TZDHFLQZL50 | Long             | ABS-MBS          | CORP              | US        |    9425000 | PA      | $8509128.45    | 0.03%             | 2048-11-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136BD5K0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23029515 | PA      | $20340524.58   | 0.06%             | 2033-01-25      | Variable      | 1.46%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136BDDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  166688115 | PA      | $13751402.76   | 0.04%             | 2033-12-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                    | CSAIL 2016-C6 Commercial Mortgage Trust                                          | CUSIP: 12636MAG3<br>LEI: 549300C2HE5FJAWYZL57 | Long             | ABS-MBS          | CORP              | US        |   35947509 | PA      | $1687850.57    | 0.01%             | 2049-01-15      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8502801 | PA      | $2218194.63    | 0.01%             | 2037-02-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2006-A4                               | CUSIP: 17309VAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1441513 | PA      | $1273351.29    | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Residential Mortgage                     | Citicorp Residential Mortgage Trust Series 2006-2                                | CUSIP: 17310EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     389440 | PA      | $387360.26     | 0.00%             | 2036-09-25      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5453663 | PA      | $962102.56     | 0.00%             | 2022-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2007-1                                                | CUSIP: 126378BN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3054998 | PA      | $1842883.72    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citicorp Mortgage Securities,                     | Citicorp Mortgage Securities Trust Series 2006-7                                 | CUSIP: 17311AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     636819 | PA      | $530236.63     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-OPX1                                          | CUSIP: 17311FAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3634910 | PA      | $1708917.84    | 0.01%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2431187 | PA      | $1440843.92    | 0.00%             | 2036-05-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20280070 | PA      | $5230897.39    | 0.02%             | 2036-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-OPX1                                          | CUSIP: 17311FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3577942 | PA      | $1758501.41    | 0.01%             | 2037-01-25      | Variable      | 5.97%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-OPX1                                          | CUSIP: 17311FAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7887072 | PA      | $3879194.16    | 0.01%             | 2037-01-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-73CB                                                 | CUSIP: 12668AU29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1005194 | PA      | $945298.37     | 0.00%             | 2036-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-64CB                                                 | CUSIP: 12668AZP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5289552 | PA      | $4647542.47    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-B33                                                                    | CUSIP: 12658WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5903500 | PA      | $4985480.96    | 0.02%             | 2043-10-10      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-B33                                                                    | CUSIP: 12658WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23397500 | PA      | $18301023.79   | 0.06%             | 2043-10-10      | Fixed         | 3.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-13                                          | CUSIP: 17025JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2865620 | PA      | $1534869.76    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-13                                          | CUSIP: 17025JAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4695477 | PA      | $2514968.62    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-AR5                                           | CUSIP: 17311LAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     407234 | PA      | $394705.27     | 0.00%             | 2037-04-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-AMC2                                          | CUSIP: 17311XAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   44322697 | PA      | $40250810.49   | 0.12%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BDEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23415626 | PA      | $2897789.06    | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BDQ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45625015 | PA      | $6517364.57    | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-12                                          | CUSIP: 17025LAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6644619 | PA      | $3676671.03    | 0.01%             | 2037-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-J3                                          | CUSIP: 17025QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     390843 | PA      | $121513.67     | 0.00%             | 2037-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17312EAE6<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |    1580625 | PA      | $1307005.90    | 0.00%             | 2037-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-AR8                                           | CUSIP: 17313FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2043576 | PA      | $1791203.16    | 0.01%             | 2047-08-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BF4W0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15721343 | PA      | $13496039.07   | 0.04%             | 2041-05-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A4EL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5598620 | PA      | $5401491.94    | 0.02%             | 2030-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-J3                                          | CUSIP: 17025QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1954214 | PA      | $218635.15     | 0.00%             | 2037-07-25      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-15                                          | CUSIP: 17025TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3691549 | PA      | $2333154.41    | 0.01%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7AW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   54774038 | PA      | $49379055.17   | 0.15%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7K65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15866878 | PA      | $14272763.10   | 0.04%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-15                                          | CUSIP: 17025TBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1813983 | PA      | $1147887.88    | 0.00%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-21                                          | CUSIP: 17025WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37981185 | PA      | $20096490.79   | 0.06%             | 2038-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-9                                             | CUSIP: 17313NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15005303 | PA      | $8459893.93    | 0.03%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2020-GC46                                    | CUSIP: 17328RBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2853000 | PA      | $2223809.94    | 0.01%             | 2053-02-15      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2016-GC37                                    | CUSIP: 17290XAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33365948 | PA      | $1358768.17    | 0.00%             | 2049-04-10      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2016-C1                                      | CUSIP: 17290YAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   96810449 | PA      | $4614576.55    | 0.01%             | 2049-05-10      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-B33                                                                    | CUSIP: 12658WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  109000000 | PA      | $3557291.30    | 0.01%             | 2043-10-10      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30843185 | PA      | $28426781.92   | 0.09%             | 2061-02-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-WM1                       | CUSIP: 004424AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4040128 | PA      | $1764567.99    | 0.01%             | 2036-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2006-2                                            | CUSIP: 007034AN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10289180 | PA      | $2784412.54    | 0.01%             | 2036-05-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7XX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21195784 | PA      | $19972002.89   | 0.06%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7XZ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6416351 | PA      | $6045854.39    | 0.02%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust Inc                                                | CUSIP: 17307GK98<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     472948 | PA      | $426884.88     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2006-A3                               | CUSIP: 17309KAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1917925 | PA      | $1694174.27    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A4ET0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13865761 | PA      | $13331421.70   | 0.04%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A4FE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6243115 | PA      | $6108766.65    | 0.02%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2004-4                                            | CUSIP: 007036EA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3028143 | PA      | $2441238.08    | 0.01%             | 2035-03-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2005-4                                            | CUSIP: 007036KC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1678421 | PA      | $1560754.77    | 0.00%             | 2035-08-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2006-FX1                                           | CUSIP: 17309YAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2342910 | PA      | $1535212.16    | 0.00%             | 2036-10-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2007-A8                               | CUSIP: 17313MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     221940 | PA      | $193443.32     | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128S12P7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6123821 | PA      | $5548583.33    | 0.02%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128S1NH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1002711 | PA      | $937411.73     | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2005-7                                            | CUSIP: 007036MV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139170 | PA      | $131814.26     | 0.00%             | 2035-10-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2005-8                                            | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4293071 | PA      | $3308291.58    | 0.01%             | 2035-11-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A4FY8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1514737 | PA      | $1461402.78    | 0.00%             | 2030-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A57F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5170293 | PA      | $5059092.18    | 0.02%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-79CB                                                 | CUSIP: 12668BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     455677 | PA      | $280068.74     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | CWABS Asset-Backed Certificates Trust 2007-BC1                                   | CUSIP: 12668TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11502411 | PA      | $10546063.59   | 0.03%             | 2037-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2020-RP1                                           | CUSIP: 17328MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  226348922 | PA      | $199028403.47  | 0.61%             | 2064-08-25      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2020-RP1                                           | CUSIP: 17328MAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26293400 | PA      | $20256422.21   | 0.06%             | 2064-08-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2005-10                                           | CUSIP: 007036TH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600072 | PA      | $549836.68     | 0.00%             | 2036-01-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2005-11                                           | CUSIP: 007036VG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19729658 | PA      | $12229603.94   | 0.04%             | 2036-02-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31292K2X4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2142906 | PA      | $2128730.64    | 0.01%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31307BEF3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10321781 | PA      | $9840543.28    | 0.03%             | 2028-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2007-1                                            | CUSIP: 007037AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5321611 | PA      | $4595832.94    | 0.01%             | 2037-03-25      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2007-3                                            | CUSIP: 00703RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     909507 | PA      | $865507.97     | 0.00%             | 2037-11-25      | Variable      | 4.03%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A5CS1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     494570 | PA      | $465689.58     | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A6T69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5142626 | PA      | $4959084.11    | 0.02%             | 2031-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4294000 | PA      | $2645939.18    | 0.01%             | 2066-10-25      | Variable      | 3.11%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137ALAH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19986380 | PA      | $18777268.34   | 0.06%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Aegis Asset Backed Securities                     | Aegis Asset Backed Securities Corp Mortgage Pass-Through Certificates Ser 2003-2 | CUSIP: 00764MAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     269496 | PA      | $239745.22     | 0.00%             | 2033-11-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Ajax E Master Trust I                             | Ajax E Master Trust II                                                           | CUSIP: 009631AB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   39357850 | PA      | $27954881.26   | 0.09%             | 2056-10-25      | Variable      | 3.02%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31322YVB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1078504 | PA      | $977854.25     | 0.00%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31323AC59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7046555 | PA      | $6151489.03    | 0.02%             | 2048-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137ALRB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2855076 | PA      | $2681923.63    | 0.01%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137ANAB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   34293899 | PA      | $32792203.83   | 0.10%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | CWABS Asset-Backed Certificates Trust 2007-4                                     | CUSIP: 12668WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21669347 | PA      | $15538371.42   | 0.05%             | 2047-04-25      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2006-8                                           | CUSIP: 1266943D8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16875992 | PA      | $10756227.13   | 0.03%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Ajax E Master Trust I                             | Ajax E Master Trust I                                                            | CUSIP: 009631AC6<br>LEI: 5493006SKYMM71U1OG24 | Long             | ABS-MBS          | USGSE             | US        |   46738759 | PA      | $36619345.83   | 0.11%             | 2057-06-25      | Variable      | 3.24%                 | No            |                  3 | On Loan: No      |
| ALEN 2021-ACEN Mortgage Trust                     | Alen 2021-ACEN Mortgage Trust                                                    | CUSIP: 01449NAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11551000 | PA      | $8940179.45    | 0.03%             | 2034-04-15      | Floating      | 8.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AQJB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      63850 | PA      | $63676.06      | 0.00%             | 2041-05-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AQLG1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     513082 | PA      | $496575.62     | 0.00%             | 2041-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31323EAR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     568348 | PA      | $559603.01     | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132H7D76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1419455 | PA      | $1285167.34    | 0.00%             | 2043-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-32CB                                                 | CUSIP: 02147XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2106302 | PA      | $1117610.08    | 0.00%             | 2036-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     831700 | PA      | $675006.41     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132H7GB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24061088 | PA      | $22526903.85   | 0.07%             | 2044-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A1Z30<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2044097 | PA      | $2040964.52    | 0.01%             | 2037-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A6US9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6090921 | PA      | $5873266.03    | 0.02%             | 2031-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A6XX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17913855 | PA      | $18158844.42   | 0.06%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-24                                          | CUSIP: 126694JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1377426 | PA      | $787501.63     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                   | ChaseFlex Trust Series 2006-2                                                    | CUSIP: 16165MAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2563343 | PA      | $2093659.28    | 0.01%             | 2036-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7082378 | PA      | $3266946.39    | 0.01%             | 2037-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3049423 | PA      | $1767018.87    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WEJZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12247039 | PA      | $11375281.01   | 0.04%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31394VRC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49053 | PA      | $48205.12      | 0.00%             | 2026-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A77D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1391345 | PA      | $1315947.12    | 0.00%             | 2041-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A7JS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11040863 | PA      | $10792310.97   | 0.03%             | 2041-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31395KDY6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4462419 | PA      | $4442220.79    | 0.01%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31395MA58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4708326 | PA      | $4691870.23    | 0.01%             | 2035-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152AAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7421697 | PA      | $2349653.69    | 0.01%             | 2037-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152AAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2149138 | PA      | $3087453.86    | 0.01%             | 2037-08-25      | Floating      | 18.01%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A7PG9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1481950 | PA      | $1460658.12    | 0.00%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A7SN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12479568 | PA      | $12032386.16   | 0.04%             | 2031-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                   | ChaseFlex Trust Series 2007-1                                                    | CUSIP: 16165VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3207705 | PA      | $1182352.87    | 0.00%             | 2037-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-9                                             | CUSIP: 17313NAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     667009 | PA      | $599417.51     | 0.00%             | 2037-05-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31395NYT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3368221 | PA      | $270508.87     | 0.00%             | 2036-07-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                        | CUSIP: 31395QDF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31514767 | PA      | $27938502.50   | 0.09%             | 2042-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-16CB                                                 | CUSIP: 02152ABS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2685883 | PA      | $2124092.72    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm                    | American Home Mortgage Investment Trust 2005-4                                   | CUSIP: 02660TGS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3004258 | PA      | $2128960.40    | 0.01%             | 2045-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AGNT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1454946 | PA      | $1096511.36    | 0.00%             | 2041-10-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AKAE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2001888 | PA      | $1792113.80    | 0.01%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31395V3A5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     101122 | PA      | $490.65        | 0.00%             | 2035-03-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31395WNC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1956102 | PA      | $137477.04     | 0.00%             | 2035-07-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm                    | American Home Mortgage Investment Trust 2005-4                                   | CUSIP: 02660TGW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13267049 | PA      | $6288455.42    | 0.02%             | 2045-11-25      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Assets                     | American Home Mortgage Assets Trust 2006-2                                       | CUSIP: 02660XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3272014 | PA      | $2775523.12    | 0.01%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-10                                            | CUSIP: 17313QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1680435 | PA      | $1479343.71    | 0.00%             | 2037-04-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2010-7                                             | CUSIP: 17317EBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3144593 | PA      | $2717401.41    | 0.01%             | 2037-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B3H35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5572998 | PA      | $4977541.99    | 0.02%             | 2043-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BDC53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55092877 | PA      | $47571123.93   | 0.15%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-41CB                                                 | CUSIP: 02149CAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2895879 | PA      | $1678046.22    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BFCY5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13638307 | PA      | $12689728.45   | 0.04%             | 2044-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BGA33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8057947 | PA      | $7734578.64    | 0.02%             | 2034-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2010-8                                             | CUSIP: 17317HEV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16307193 | PA      | $14343518.53   | 0.04%             | 2037-06-25      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2014-GC19                                    | CUSIP: 17322AAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  129638778 | PA      | $1053652.13    | 0.00%             | 2047-03-11      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm                    | American Home Mortgage Investment Trust 2006-2                                   | CUSIP: 02660YAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2146383 | PA      | $369394.49     | 0.00%             | 2036-06-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| American Home Mortgage Investm                    | American Home Mortgage Investment Trust 2007-A                                   | CUSIP: 026931AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7248123 | PA      | $1411079.74    | 0.00%             | 2037-01-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3168314 | PA      | $310123.16     | 0.00%             | 2037-02-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1335749 | PA      | $755387.86     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2019-SFR1 Trust                                                             | CUSIP: 00178XAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   41588000 | PA      | $36036638.30   | 0.11%             | 2039-01-19      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2021-SFR3 Trust                                                             | CUSIP: 00180UAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6500000 | PA      | $5452318.95    | 0.02%             | 2038-10-17      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7N21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13241129 | PA      | $12327736.32   | 0.04%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132L7P94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7137490 | PA      | $6645884.48    | 0.02%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-8CB                                                  | CUSIP: 02150FAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     259668 | PA      | $270383.41     | 0.00%             | 2037-05-25      | Floating      | 13.75%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-8CB                                                  | CUSIP: 02150FAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     243252 | PA      | $254513.76     | 0.00%             | 2037-05-25      | Floating      | 13.87%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31396AL36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1208670 | PA      | $74902.58      | 0.00%             | 2035-09-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31396CBT6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     432737 | PA      | $36168.00      | 0.00%             | 2035-10-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2014-GC21                                    | CUSIP: 17322MBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   66755577 | PA      | $764358.03     | 0.00%             | 2047-05-10      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2014-GC25                                    | CUSIP: 17322YAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  160609911 | PA      | $1995305.11    | 0.01%             | 2047-10-10      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2021-SFR3 Trust                                                             | CUSIP: 00180UAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11000000 | PA      | $9215781.30    | 0.03%             | 2038-10-17      | Fixed         | 2.43%                 | No            |                  2 | On Loan: No      |
| Apollo Aviation Securitization                    | AASET 2020-1 Trust                                                               | CUSIP: 00255UAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12952549 | PA      | $10205714.65   | 0.03%             | 2040-01-16      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| Ameriquest Mortgage Securities                    | Ameriquest Mortgage Securities Asset-Backed Pass-Through Ctfs Ser 2004 FR1       | CUSIP: 03072SQR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6862903 | PA      | $6519326.86    | 0.02%             | 2034-05-25      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                | Aqua Finance Trust 2017-A                                                        | CUSIP: 03837PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2551060 | PA      | $2513674.37    | 0.01%             | 2035-11-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151ABW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27008973 | PA      | $11914527.69   | 0.04%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-22                                                   | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18051397 | PA      | $7652936.58    | 0.02%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132M4EZ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3172594 | PA      | $3063406.42    | 0.01%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132M4JR7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2683193 | PA      | $2590851.51    | 0.01%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-21CB                                                 | CUSIP: 02151FAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2706851 | PA      | $2437176.22    | 0.01%             | 2037-09-25      | Floating      | 10.85%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1004510 | PA      | $1102839.45    | 0.00%             | 2037-10-25      | Floating      | 15.37%                | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo                    | Arbor Realty Collateralized Loan Obligation 2020-FL1 Ltd                         | CUSIP: 03880WAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2531000 | PA      | $2466312.70    | 0.01%             | 2035-02-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| Arbor Realty Collateralized Lo                    | Arbor Realty Commercial Real Estate Notes 2021-FL1 Ltd                           | CUSIP: 03881CAE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6300000 | PA      | $5834190.60    | 0.02%             | 2035-12-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2014-8                                             | CUSIP: 17323AAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2908978 | PA      | $2609637.62    | 0.01%             | 2037-03-25      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2015-GC27                                    | CUSIP: 17323CAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  171521245 | PA      | $3508947.33    | 0.01%             | 2048-02-10      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2008595 | PA      | $396944.61     | 0.00%             | 2037-10-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-18CB                                                 | CUSIP: 02151NBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     755059 | PA      | $464913.58     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| arbor multifamily mortgage sec                    | Arbor Multifamily Mortgage Securities Trust 2021-MF3                             | CUSIP: 03882KAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21947000 | PA      | $776814.07     | 0.00%             | 2054-10-15      | Variable      | 0.49%                 | No            |                  2 | On Loan: No      |
| BDS Ltd                                           | BDS 2019-FL4 LTD                                                                 | CUSIP: 05492KAE9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4125000 | PA      | $4103735.63    | 0.01%             | 2036-08-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Accredited Mortgage Loan Trust                    | Accredited Mortgage Loan Trust 2006-1                                            | CUSIP: 004375EY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12875000 | PA      | $9165663.58    | 0.03%             | 2036-04-25      | Floating      | 0.92%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-WM1                       | CUSIP: 004424AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4367692 | PA      | $1927935.96    | 0.01%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132M5FU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2781587 | PA      | $2678735.74    | 0.01%             | 2044-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132QPFB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4567449 | PA      | $4258911.05    | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2004-W11     | CUSIP: 040104ML2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9652851 | PA      | $8345568.48    | 0.03%             | 2034-11-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Trust 2006-W5                                                  | CUSIP: 04012XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12743754 | PA      | $8464114.86    | 0.03%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2015-GC27                                    | CUSIP: 17323CAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9978000 | PA      | $9060945.97    | 0.03%             | 2048-02-10      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2015-GC27                                    | CUSIP: 17323CAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3685000 | PA      | $3230899.66    | 0.01%             | 2048-02-10      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31396HX53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     497730 | PA      | $472890.52     | 0.00%             | 2036-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31396HZ77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3078478 | PA      | $3123071.45    | 0.01%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS Mortgage Trust 2020-C6                                                     | CUSIP: 05492TAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   93866925 | PA      | $4901139.48    | 0.02%             | 2053-02-15      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS Mortgage Trust 2020-C6                                                     | CUSIP: 05492TBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11799000 | PA      | $8429080.53    | 0.03%             | 2053-02-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H                    | Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE3              | CUSIP: 04541GJU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1663283 | PA      | $1600675.77    | 0.00%             | 2034-06-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp H                    | Asset Backed Securities Corp Home Equity Loan Trust Series AMQ 2006-HE7          | CUSIP: 04544QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20218987 | PA      | $18034752.34   | 0.06%             | 2036-11-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A4UV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4726742 | PA      | $4481595.40    | 0.01%             | 2042-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A5JE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19875183 | PA      | $18829396.65   | 0.06%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2016-GC36                                    | CUSIP: 17324TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  194597065 | PA      | $5488707.51    | 0.02%             | 2049-02-10      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2016-P5                                      | CUSIP: 17325DAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   86083455 | PA      | $3382029.55    | 0.01%             | 2049-10-10      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certifica                    | ABFC 2007-WMC1 Trust                                                             | CUSIP: 04545EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   90956927 | PA      | $63485070.05   | 0.20%             | 2037-06-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS Trust 2018-BXH                                                             | CUSIP: 05491RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3066263 | PA      | $2952678.32    | 0.01%             | 2037-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS Mortgage Trust 2020-C6                                                     | CUSIP: 05492TBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12497250 | PA      | $8449606.93    | 0.03%             | 2053-02-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS Mortgage Trust 2021-C9                                                     | CUSIP: 05493EAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  136679529 | PA      | $12398500.78   | 0.04%             | 2054-02-15      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396LBJ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     263303 | PA      | $21071.26      | 0.00%             | 2036-10-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396LHY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2084069 | PA      | $188062.85     | 0.00%             | 2036-10-25      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A5UD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37430965 | PA      | $35382944.63   | 0.11%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A66Y5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29302247 | PA      | $28025911.06   | 0.09%             | 2042-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                    | Carrington Mortgage Loan Trust Series 2006-FRE2                                  | CUSIP: 14454AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4349196 | PA      | $3547899.58    | 0.01%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                    | Carrington Mortgage Loan Trust Series 2006-FRE2                                  | CUSIP: 14454AAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20971280 | PA      | $17108179.79   | 0.05%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396X6V1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     510158 | PA      | $28259.80      | 0.00%             | 2037-05-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396YGA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     422193 | PA      | $27981.42      | 0.00%             | 2038-02-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1                     | CUSIP: 00442JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1590535 | PA      | $640942.33     | 0.00%             | 2037-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-WM2                       | CUSIP: 00442KAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2868878 | PA      | $1220588.65    | 0.00%             | 2037-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2019-A                                             | CUSIP: 17327JBY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  115572485 | PA      | $95900198.93   | 0.30%             | 2058-10-25      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2020-555                                     | CUSIP: 17328EAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4175000 | PA      | $2933059.83    | 0.01%             | 2041-12-10      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397ARJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2195880 | PA      | $2191771.64    | 0.01%             | 2036-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397MLV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     900802 | PA      | $65090.94      | 0.00%             | 2038-08-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A74X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34871707 | PA      | $31889350.00   | 0.10%             | 2042-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A7EN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8343892 | PA      | $8175240.48    | 0.03%             | 2042-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                    | Carrington Mortgage Loan Trust Series 2006-FRE2                                  | CUSIP: 14454AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6454801 | PA      | $5265770.46    | 0.02%             | 2036-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Trust Series 2007-A2                                      | CUSIP: 16163LBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2953429 | PA      | $2539461.76    | 0.01%             | 2037-07-25      | Variable      | 3.49%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS Mortgage Trust 2021-C9                                                     | CUSIP: 05493EBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   68467000 | PA      | $4308956.95    | 0.01%             | 2054-02-15      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS Mortgage Trust 2021-C11                                                    | CUSIP: 05493MAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   34040000 | PA      | $2222713.28    | 0.01%             | 2054-09-15      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2020-RP1                                           | CUSIP: 17328MAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22116950 | PA      | $16981044.76   | 0.05%             | 2064-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2020-RP1                                           | CUSIP: 17328MAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18676200 | PA      | $13824267.05   | 0.04%             | 2064-08-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-WM2                       | CUSIP: 00442KAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2515033 | PA      | $1070023.01    | 0.00%             | 2037-02-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-HE1                       | CUSIP: 00443LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11224755 | PA      | $6573280.39    | 0.02%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Figure Line of Credit Trust 20                    | Figure Line of Credit Trust 2020-1                                               | CUSIP: 302452AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22437567 | PA      | $21485242.33   | 0.07%             | 2049-09-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| FS Rialto 2019-FL1 Issuer, Ltd                    | FS Rialto 2019-FL1                                                               | CUSIP: 30312UAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    1259933 | PA      | $1255282.69    | 0.00%             | 2036-12-16      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397MUN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     162672 | PA      | $161230.35     | 0.00%             | 2038-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397NS71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     822793 | PA      | $58587.87      | 0.00%             | 2039-06-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A7QB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19403492 | PA      | $18117948.22   | 0.06%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A7VC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     293584 | PA      | $280025.15     | 0.00%             | 2042-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC Trust 2007-AA2                                                          | CUSIP: 05530NAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25455909 | PA      | $24929475.28   | 0.08%             | 2047-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470ZA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7389665 | PA      | $3273235.11    | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Falcon Aerospace Ltd                              | Falcon Aerospace Ltd 2017-1                                                      | CUSIP: 30605YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2561426 | PA      | $2138048.08    | 0.01%             | 2042-02-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128E54G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6870956 | PA      | $6667544.68    | 0.02%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A8AA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8105424 | PA      | $7922301.93    | 0.02%             | 2040-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A8DQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14782108 | PA      | $13721951.61   | 0.04%             | 2042-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397QB23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19746661 | PA      | $19015757.65   | 0.06%             | 2031-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397QDT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7726248 | PA      | $7169053.32    | 0.02%             | 2041-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2020-RP1                                           | CUSIP: 17328MBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   49066855 | PA      | $35820486.93   | 0.11%             | 2064-08-25      | Variable      | 7.30%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2020-420K                                    | CUSIP: 17328QAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3625000 | PA      | $2677506.56    | 0.01%             | 2042-11-10      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                               | CUSIP: 3128HX2L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36820678 | PA      | $33909439.18   | 0.10%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                               | CUSIP: 3128HXRT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12762999 | PA      | $11589356.75   | 0.04%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DB Master Finance LLC                             | DB Master Finance LLC                                                            | CUSIP: 233046AS0<br>LEI: 549300F17UZJL70BPB08 | Long             | ABS-O            | CORP              | US        |   28462500 | PA      | $22011642.30   | 0.07%             | 2051-11-20      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26281615 | PA      | $23633620.45   | 0.07%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397RK54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     331168 | PA      | $21973.92      | 0.00%             | 2038-02-15      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397UJU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10152921 | PA      | $9958610.61    | 0.03%             | 2041-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A9FV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2358307 | PA      | $2192922.37    | 0.01%             | 2041-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AJMU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14991457 | PA      | $13295064.13   | 0.04%             | 2044-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BGAL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18168160 | PA      | $17472243.63   | 0.05%             | 2034-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BP6Q7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11898780 | PA      | $11205252.56   | 0.03%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128LXBH2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7390555 | PA      | $7562675.51    | 0.02%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6VJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1468652 | PA      | $1500209.74    | 0.00%             | 2038-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398E3V4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     155047 | PA      | $10855.47      | 0.00%             | 2039-06-15      | Floating      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398GW62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2129660 | PA      | $165779.79     | 0.00%             | 2040-02-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-HE1                       | CUSIP: 00443LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2615632 | PA      | $1531714.29    | 0.00%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Ace Securities Corp.                              | ACE Securities Corp Home Equity Loan Trust Series 2007-HE1                       | CUSIP: 00443LAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2452155 | PA      | $1435952.59    | 0.00%             | 2037-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AKMP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23729312 | PA      | $21062229.54   | 0.07%             | 2044-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A5PB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4409938 | PA      | $4252985.56    | 0.01%             | 2031-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58489698 | PA      | $52596469.05   | 0.16%             | 2046-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18439045 | PA      | $16563964.82   | 0.05%             | 2046-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJW89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12803841 | PA      | $11519450.17   | 0.04%             | 2045-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJWU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11344929 | PA      | $10213373.15   | 0.03%             | 2045-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BQCE5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12360376 | PA      | $11754883.16   | 0.04%             | 2044-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BSTE3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7632922 | PA      | $7311647.54    | 0.02%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398GY86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     655772 | PA      | $623848.95     | 0.00%             | 2040-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398JQB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2861510 | PA      | $227841.45     | 0.00%             | 2035-08-15      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A5VL5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2984617 | PA      | $2169175.02    | 0.01%             | 2041-01-15      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A7VG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3350433 | PA      | $2042207.06    | 0.01%             | 2041-02-15      | Floating      | 0.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   62046161 | PA      | $55793137.55   | 0.17%             | 2045-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A4B97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14479556 | PA      | $14307589.95   | 0.04%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJYM6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21330790 | PA      | $19148355.04   | 0.06%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7RH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16184194 | PA      | $15705044.91   | 0.05%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398TVD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     948665 | PA      | $927256.01     | 0.00%             | 2040-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398TWK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2633064 | PA      | $2574682.32    | 0.01%             | 2040-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Ajax E Master Trust I                             | Ajax E Master Trust I                                                            | CUSIP: 009631AA0<br>LEI: 5493006SKYMM71U1OG24 | Long             | ABS-MBS          | CORP              | US        |   36622625 | PA      | $27841611.08   | 0.09%             | 2057-01-01      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Ajax Mortgage Loan Trust                          | Ajax Mortgage Loan Trust 2020-D                                                  | CUSIP: 00970CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18201265 | PA      | $17039354.65   | 0.05%             | 2060-06-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WJGQ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14361764 | PA      | $12981408.07   | 0.04%             | 2041-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WJJA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16824544 | PA      | $14918925.25   | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A8HP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4468222 | PA      | $4198217.57    | 0.01%             | 2041-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AL6T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   47027298 | PA      | $43361867.86   | 0.13%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LC2A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15464009 | PA      | $11669644.80   | 0.04%             | 2046-09-01      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LC2N0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3000000 | PA      | $2404891.89    | 0.01%             | 2033-08-01      | Fixed         | 2.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7RY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8297473 | PA      | $8051769.48    | 0.02%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7SA2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8384222 | PA      | $8136017.31    | 0.03%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2020-420K                                    | CUSIP: 17328QAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7800000 | PA      | $5530302.96    | 0.02%             | 2042-11-10      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2021-JL1                                           | CUSIP: 17329CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21515166 | PA      | $19488069.73   | 0.06%             | 2062-02-27      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138YBX24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14026857 | PA      | $12438394.40   | 0.04%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398TVG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1897326 | PA      | $1854507.73    | 0.01%             | 2040-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LCX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48883000 | PA      | $38121502.38   | 0.12%             | 2033-09-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LCX63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5592000 | PA      | $4646028.76    | 0.01%             | 2030-06-01      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7SE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4277014 | PA      | $4150388.13    | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128P7TC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17114742 | PA      | $16607848.60   | 0.05%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2021-RP2                                           | CUSIP: 17329JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  300195813 | PA      | $271473918.18  | 0.84%             | 2065-03-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2021-RP2                                           | CUSIP: 17329JAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   34186100 | PA      | $29588524.23   | 0.09%             | 2065-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B1RL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9850990 | PA      | $8980317.48    | 0.03%             | 2038-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B2SU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40143373 | PA      | $26075072.04   | 0.08%             | 2043-06-15      | Floating      | 0.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140F5AD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16664451 | PA      | $14962356.57   | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140FXK43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   82259127 | PA      | $73343958.27   | 0.23%             | 2053-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aligned Data Centers Issuer LL                    | Aligned Data Centers Issuer LLC                                                  | CUSIP: 01627AAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12950000 | PA      | $11086987.10   | 0.03%             | 2046-08-15      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     737095 | PA      | $452594.72     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128S15N9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6809403 | PA      | $6169765.23    | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128S15P4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7052436 | PA      | $6394172.71    | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LD3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11900000 | PA      | $9355420.03    | 0.03%             | 2033-10-01      | Fixed         | 2.08%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDDK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22000000 | PA      | $17335536.68   | 0.05%             | 2033-09-01      | Fixed         | 1.81%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2021-RP2                                           | CUSIP: 17329JAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28635750 | PA      | $23972071.62   | 0.07%             | 2065-03-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-J7                                                   | CUSIP: 23244FAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1025006 | PA      | $511453.45     | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140FXMB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   68285706 | PA      | $60884402.31   | 0.19%             | 2053-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HWZW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17125000 | PA      | $14402436.16   | 0.04%             | 2032-02-01      | Fixed         | 2.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDEG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9975000 | PA      | $6851950.39    | 0.02%             | 2041-08-01      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LE2R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   93256269 | PA      | $78169764.93   | 0.24%             | 2032-01-01      | Fixed         | 2.07%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31323EBT0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12476433 | PA      | $11403102.27   | 0.04%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A5H32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7118197 | PA      | $6342310.78    | 0.02%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HXP20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8190000 | PA      | $6705839.98    | 0.02%             | 2035-02-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J0ED8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3568101 | PA      | $2427272.00    | 0.01%             | 2040-07-01      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KKVK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22430432 | PA      | $19080767.31   | 0.06%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KLQV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16901825 | PA      | $14588250.46   | 0.05%             | 2046-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-23CB                                                 | CUSIP: 02147RAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4107431 | PA      | $1475119.70    | 0.00%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-26CB                                                 | CUSIP: 02147WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1872996 | PA      | $1076528.34    | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380RYD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34460634 | PA      | $2633846.91    | 0.01%             | 2062-08-16      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381E6V5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   99208784 | PA      | $5611338.13    | 0.02%             | 2064-07-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132AEA48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15626020 | PA      | $13991833.62   | 0.04%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DMBC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17278951 | PA      | $15581774.77   | 0.05%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KLZ83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   64615153 | PA      | $56853073.29   | 0.18%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KPP36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  193007060 | PA      | $186008241.85  | 0.57%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J0HA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20400000 | PA      | $14746667.34   | 0.05%             | 2035-08-01      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J16P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17000000 | PA      | $13286541.93   | 0.04%             | 2030-11-01      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381EGK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   89636095 | PA      | $6428288.39    | 0.02%             | 2063-11-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381EHE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  188564807 | PA      | $11158058.44   | 0.03%             | 2064-06-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DMX42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   35788187 | PA      | $29731513.87   | 0.09%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DMYL3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   49759103 | PA      | $41314083.71   | 0.13%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-26CB                                                 | CUSIP: 02147WAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1459191 | PA      | $819386.20     | 0.00%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-32CB                                                 | CUSIP: 02147XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3513311 | PA      | $287735.29     | 0.00%             | 2036-11-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KPUH9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  145176182 | PA      | $140010985.77  | 0.43%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KTYK0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   61289839 | PA      | $51213093.49   | 0.16%             | 2041-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWBV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   90707279 | PA      | $79806686.93   | 0.25%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWCD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3456430 | PA      | $3040240.02    | 0.01%             | 2051-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J1CB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   40000000 | PA      | $30651780.40   | 0.09%             | 2032-09-01      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16125000 | PA      | $12699743.95   | 0.04%             | 2033-10-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWCE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10029565 | PA      | $9125038.76    | 0.03%             | 2051-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWDT7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42313913 | PA      | $38524717.69   | 0.12%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B3H84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31182361 | PA      | $29985563.52   | 0.09%             | 2043-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B3MY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19309604 | PA      | $12889421.35   | 0.04%             | 2043-07-15      | Floating      | 0.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132FCDW2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   85502067 | PA      | $77497762.35   | 0.24%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132GABS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     139101 | PA      | $133066.27     | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDWF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21000000 | PA      | $15825941.25   | 0.05%             | 2036-10-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDY52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12048000 | PA      | $9374011.46    | 0.03%             | 2033-11-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382HHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21941083 | PA      | $3156152.38    | 0.01%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382HJR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6057345 | PA      | $907332.17     | 0.00%             | 2050-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KYU72<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8992612 | PA      | $7918544.32    | 0.02%             | 2041-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KYUN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   80266345 | PA      | $65478051.12   | 0.20%             | 2040-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398EPV0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      64499 | PA      | $4369.82       | 0.00%             | 2039-07-15      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398FC82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     514484 | PA      | $21582.14      | 0.00%             | 2037-04-25      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDY86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6536000 | PA      | $5085370.09    | 0.02%             | 2033-11-01      | Fixed         | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDYY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25042000 | PA      | $19660915.44   | 0.06%             | 2031-11-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398FDS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8742996 | PA      | $911455.58     | 0.00%             | 2039-10-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398FJM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1285936 | PA      | $1176388.23    | 0.00%             | 2039-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382HKW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11798709 | PA      | $1517383.59    | 0.00%             | 2050-08-20      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382J3Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   21568900 | PA      | $2879407.13    | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BGJS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31613447 | PA      | $26825059.13   | 0.08%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BHFL6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   31455970 | PA      | $27197832.39   | 0.08%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDZY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49716000 | PA      | $39951765.67   | 0.12%             | 2033-10-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38378UCV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12338314 | PA      | $939444.20     | 0.00%             | 2043-09-16      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398FKF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5736493 | PA      | $431490.97     | 0.00%             | 2036-01-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398FU25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     362954 | PA      | $347223.41     | 0.00%             | 2039-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380RM64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  609405629 | PA      | $38120881.62   | 0.12%             | 2063-04-16      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380RNM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   63696319 | PA      | $4115489.26    | 0.01%             | 2063-06-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398G6G9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      45724 | PA      | $268.37        | 0.00%             | 2049-12-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398G6J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     965225 | PA      | $93274.10      | 0.00%             | 2050-02-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382KL76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12215754 | PA      | $1509018.19    | 0.00%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382KMG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39037516 | PA      | $4516664.02    | 0.01%             | 2050-10-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BJGS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14373636 | PA      | $13913992.74   | 0.04%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BJGU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42076528 | PA      | $39161364.69   | 0.12%             | 2044-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380RQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   68766720 | PA      | $5075224.65    | 0.02%             | 2063-05-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380RR93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  163381302 | PA      | $8326777.08    | 0.03%             | 2061-01-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398GRB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     297638 | PA      | $27044.28      | 0.00%             | 2040-01-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398GV30<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1032281 | PA      | $61983.23      | 0.00%             | 2040-02-25      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382KN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49449647 | PA      | $6874855.92    | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382KVX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28594095 | PA      | $3657207.67    | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B3N53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25322898 | PA      | $24432985.91   | 0.08%             | 2043-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B4MC7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23203461 | PA      | $21578185.81   | 0.07%             | 2033-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398K2Q2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     902192 | PA      | $883220.51     | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398KC40<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     869567 | PA      | $50853.55      | 0.00%             | 2049-10-15      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-4CB                                                  | CUSIP: 02148FAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15342616 | PA      | $1673614.01    | 0.01%             | 2037-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13283292 | PA      | $999077.58     | 0.00%             | 2037-01-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382KVZ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   54815778 | PA      | $6731174.69    | 0.02%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382KYC1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   39697242 | PA      | $30248055.63   | 0.09%             | 2050-10-20      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381DW22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15548985 | PA      | $1156533.54    | 0.00%             | 2063-05-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                     | Homeward Opportunities Fund I Trust 2020-1                                       | CUSIP: 43789WBK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13276000 | PA      | $12863484.15   | 0.04%             | 2059-11-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398LHN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1685488 | PA      | $88952.64      | 0.00%             | 2032-03-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398MSN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3574245 | PA      | $206761.15     | 0.00%             | 2040-03-25      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B4QW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8852526 | PA      | $6278346.00    | 0.02%             | 2043-09-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B5ZU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10089748 | PA      | $9709216.05    | 0.03%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J93H2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19343068 | PA      | $17327488.77   | 0.05%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J9VE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43046215 | PA      | $41010213.45   | 0.13%             | 2033-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382L2Q3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   99738673 | PA      | $14405745.22   | 0.04%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382L3L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40806947 | PA      | $4408068.39    | 0.01%             | 2050-12-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L4J5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6965603 | PA      | $2711006.96    | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-A1                                   | CUSIP: 45660L6U8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10289850 | PA      | $5060863.22    | 0.02%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BJZ48<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58029899 | PA      | $54169343.55   | 0.17%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BJZC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29884578 | PA      | $27872064.07   | 0.09%             | 2045-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JAHK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29845520 | PA      | $26716826.91   | 0.08%             | 2047-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JAPU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4370287 | PA      | $3875212.71    | 0.01%             | 2048-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LAD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30266444 | PA      | $23315642.96   | 0.07%             | 2050-11-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LBD2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36452840 | PA      | $4802275.21    | 0.01%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-12T1                                                 | CUSIP: 02150LAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9582111 | PA      | $4768121.59    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-HY4                                                  | CUSIP: 02150QAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20699149 | PA      | $17712936.69   | 0.05%             | 2037-06-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B6HE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   24880940 | PA      | $23343255.47   | 0.07%             | 2033-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BBM80<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20497371 | PA      | $19650204.29   | 0.06%             | 2044-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2005-A11CB                                | CUSIP: 45660LA74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4544457 | PA      | $2390791.64    | 0.01%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LK99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1569341 | PA      | $739136.65     | 0.00%             | 2035-11-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LBH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18051855 | PA      | $2364269.47    | 0.01%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LBR1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16479865 | PA      | $1815314.86    | 0.01%             | 2050-11-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JBQ90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49342644 | PA      | $38832446.39   | 0.12%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JBSV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  171236553 | PA      | $135371757.01  | 0.42%             | 2033-10-01      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BKP38<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8200415 | PA      | $7441601.50    | 0.02%             | 2045-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BL4A3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     922921 | PA      | $909333.45     | 0.00%             | 2042-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-39CB                                                 | CUSIP: 02148JAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4523588 | PA      | $571850.71     | 0.00%             | 2037-01-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2005-A8CB                                 | CUSIP: 45660LSQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3003788 | PA      | $137301.64     | 0.00%             | 2035-07-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2005-A8CB                                 | CUSIP: 45660LSZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2971414 | PA      | $1919300.36    | 0.01%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382TB45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30532036 | PA      | $3190787.05    | 0.01%             | 2051-06-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382UBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   70690873 | PA      | $9875571.48    | 0.03%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BL5L8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6340659 | PA      | $4801758.69    | 0.01%             | 2045-08-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BL6T0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11432286 | PA      | $10836269.11   | 0.03%             | 2044-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JBTP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  177355958 | PA      | $143978607.58  | 0.44%             | 2031-12-01      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140KSEE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8412045 | PA      | $6620326.91    | 0.02%             | 2051-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru                    | IndyMac IMJA Mortgage Loan Trust 2007-A2                                         | CUSIP: 456654AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18077843 | PA      | $5700833.34    | 0.02%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru                    | IndyMac IMJA Mortgage Loan Trust 2007-A3                                         | CUSIP: 456669AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15418841 | PA      | $7250207.52    | 0.02%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8786261 | PA      | $4581052.82    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151AAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     597792 | PA      | $683698.20     | 0.00%             | 2037-08-25      | Floating      | 12.67%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383CNL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   25892955 | PA      | $3625870.71    | 0.01%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-BCON                 | CUSIP: 46590WAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11745000 | PA      | $11715840.69   | 0.04%             | 2031-01-05      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BCTM0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17328936 | PA      | $14883554.55   | 0.05%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BCZY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1742722 | PA      | $1607136.96    | 0.00%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC Trust 2007-AA2                                                          | CUSIP: 05530NAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2243768 | PA      | $1131637.37    | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                | BX Trust 2019-OC11                                                               | CUSIP: 05606FAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  326679000 | PA      | $4119683.53    | 0.01%             | 2041-12-09      | Variable      | 0.18%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                    | IndyMac INDX Mortgage Loan Trust 2007-AR13                                       | CUSIP: 456681AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2504303 | PA      | $1925370.31    | 0.01%             | 2037-07-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-S3                                                 | CUSIP: 46629AAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7423570 | PA      | $1081810.14    | 0.00%             | 2036-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BDH58<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     436282 | PA      | $434572.35     | 0.00%             | 2040-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BDM86<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   30114681 | PA      | $26106751.36   | 0.08%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                    | JPMDB Commercial Mortgage Securities Trust 2018-C8                               | CUSIP: 46591ABG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1844000 | PA      | $1551114.34    | 0.00%             | 2051-06-15      | Variable      | 4.81%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JPMCC Commercial Mortgage Securities Trust 2019-COR5                             | CUSIP: 46591EAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   89647866 | PA      | $5582991.16    | 0.02%             | 2052-06-13      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-19                                                   | CUSIP: 02151ABK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10714191 | PA      | $5586252.53    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-15CB                                                 | CUSIP: 02151CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8885904 | PA      | $5783893.66    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140KSJJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16664202 | PA      | $13114667.36   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDLA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39850000 | PA      | $31155570.04   | 0.10%             | 2033-09-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FFVP9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13573618 | PA      | $1949691.47    | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EEPZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1779150 | PA      | $1646425.40    | 0.01%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2005-5                                              | CUSIP: 576434S96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74967 | PA      | $70346.61      | 0.00%             | 2025-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2003263 | PA      | $181638.86     | 0.00%             | 2037-03-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2021-VIEW                                                               | CUSIP: 05606GAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3450000 | PA      | $3141565.86    | 0.01%             | 2036-06-15      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2017-SLCT                                                               | CUSIP: 05607DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   33284034 | PA      | $32788174.70   | 0.10%             | 2034-07-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BDXY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  152626521 | PA      | $131808232.61  | 0.41%             | 2044-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FVB92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12983568 | PA      | $1614262.64    | 0.00%             | 2050-07-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                      | Atrium Hotel Portfolio Trust 2018-ATRM                                           | CUSIP: 04965KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10001000 | PA      | $9663276.23    | 0.03%             | 2035-06-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | Barclays Commercial Mortgage Trust 2019-C5                                       | CUSIP: 05492JBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   73789563 | PA      | $2847258.83    | 0.01%             | 2052-11-15      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS7 Trust                                                       | CUSIP: 74923WAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5415303 | PA      | $2283150.27    | 0.01%             | 2037-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS10 Trust                                                      | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24116894 | PA      | $19063572.44   | 0.06%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34043000 | PA      | $26967945.10   | 0.08%             | 2033-09-01      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDQR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2595000 | PA      | $2141928.62    | 0.01%             | 2030-08-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ELDD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   50236835 | PA      | $44934301.64   | 0.14%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138L9N40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   25308129 | PA      | $22147777.77   | 0.07%             | 2035-05-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                    | Structured Asset Investment Loan Trust 2006-4                                    | CUSIP: 86360WAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20800000 | PA      | $6878121.12    | 0.02%             | 2036-07-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                    | Structured Adjustable Rate Mortgage Loan Trust Series 2007-7                     | CUSIP: 86364DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7679580 | PA      | $6404163.56    | 0.02%             | 2037-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-5                                           | CUSIP: 12544VAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1221135 | PA      | $679690.14     | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategi                    | CARLYLE US CLO 2022-2 LTD                                                        | CUSIP: 143119AE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   18500000 | PA      | $17712129.40   | 0.05%             | 2035-04-20      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2019-IMC                                            | CUSIP: 05608BAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5160000 | PA      | $4823043.74    | 0.01%             | 2034-04-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2021-SOAR                                           | CUSIP: 05608WAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20212883 | PA      | $18657679.79   | 0.06%             | 2038-06-15      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19880000 | PA      | $14292000.38   | 0.04%             | 2036-09-01      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LE3U9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   69169000 | PA      | $56182588.73   | 0.17%             | 2032-01-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FWW89<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13847084 | PA      | $2260969.92    | 0.01%             | 2050-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit                    | Freddie Mac Whole Loan Securities Trust 2016-SC01                                | CUSIP: 3137G1AV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4916435 | PA      | $4544735.78    | 0.01%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TAL Advantage VII LLC                             | TAL Advantage VII LLC                                                            | CUSIP: 87407RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15275000 | PA      | $13420903.70   | 0.04%             | 2045-09-20      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| TAL Advantage VII LLC                             | TAL Advantage VII LLC                                                            | CUSIP: 87407RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3245938 | PA      | $2826832.44    | 0.01%             | 2045-09-20      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-S2                                                 | CUSIP: 466247VF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     376766 | PA      | $304870.13     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Corp 2005-WMC1                                    | CUSIP: 46626LBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2179200 | PA      | $1766650.20    | 0.01%             | 2035-09-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138LJCS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4680100 | PA      | $4256262.98    | 0.01%             | 2037-06-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138LKM61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  217500000 | PA      | $169875449.63  | 0.52%             | 2047-11-01      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                    | Carrington Mortgage Loan Trust Series 2007-RFC1                                  | CUSIP: 144526AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14392514 | PA      | $13691391.31   | 0.04%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                    | Carrington Mortgage Loan Trust Series 2006-NC3                                   | CUSIP: 144528AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4759594 | PA      | $4472685.03    | 0.01%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| TENN VALLEY AUTHORITY                             | Tennessee Valley Authority                                                       | CUSIP: 880591ES7<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |   54900000 | PA      | $46740753.77   | 0.14%             | 2065-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities                     | Thornburg Mortgage Securities Trust 2003-6                                       | CUSIP: 885220EQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157445 | PA      | $147623.38     | 0.00%             | 2033-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4653036 | PA      | $4385816.63    | 0.01%             | 2038-10-15      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2021-VOLT                                           | CUSIP: 05609VAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   56748000 | PA      | $52945242.75   | 0.16%             | 2036-09-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LE5P8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53950000 | PA      | $43237475.44   | 0.13%             | 2032-01-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEHK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43652000 | PA      | $34826403.28   | 0.11%             | 2033-12-01      | Fixed         | 2.09%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T                    | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46627MAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1666761 | PA      | $1211533.50    | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T                    | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46627MAW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5199227 | PA      | $3779208.15    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137GABL0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6560389 | PA      | $555209.00     | 0.00%             | 2040-09-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137H17K6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44959560 | PA      | $39674676.20   | 0.12%             | 2037-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C6                                            | CUSIP: 90276UBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2886000 | PA      | $2423101.18    | 0.01%             | 2050-12-15      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust                                                    | CUSIP: 90278MBD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8350000 | PA      | $6963392.32    | 0.02%             | 2052-10-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138LMAX1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20700000 | PA      | $18187861.04   | 0.06%             | 2035-01-01      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138LTJ25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5010286 | PA      | $4636446.26    | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470YY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13108301 | PA      | $1071737.32    | 0.00%             | 2036-03-25      | Floating      | 0.91%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470YZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2730441 | PA      | $1250702.44    | 0.00%             | 2036-03-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T                    | JP Morgan Alternative Loan Trust 2006-S1                                         | CUSIP: 46627MEE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2236758 | PA      | $1261793.82    | 0.00%             | 2036-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-S4                                                 | CUSIP: 46629SAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5560342 | PA      | $1001495.51    | 0.00%             | 2037-01-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2019-C18                                           | CUSIP: 90278PBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9705000 | PA      | $7881724.56    | 0.02%             | 2052-12-15      | Variable      | 3.68%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2018-C9                                            | CUSIP: 90291JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40462172 | PA      | $1499366.23    | 0.00%             | 2051-03-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEMD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7339000 | PA      | $5474800.35    | 0.02%             | 2036-12-01      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEMY0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46000000 | PA      | $37363892.84   | 0.12%             | 2032-01-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2021-VOLT                                           | CUSIP: 05609VAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24745000 | PA      | $22851188.44   | 0.07%             | 2036-09-15      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-B Trust                                             | CUSIP: 058928AN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     299103 | PA      | $246671.67     | 0.00%             | 2036-03-20      | Variable      | 2.61%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2008-2R                                                              | CUSIP: 225492AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2527267 | PA      | $1954315.73    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Credit Suisse First Boston Mor                    | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254W0NF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4177796 | PA      | $3091867.05    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2018-C9                                            | CUSIP: 90291JBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1270810.50    | 0.00%             | 2051-03-15      | Variable      | 4.95%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1340000000 | PA      | $961842579.80  | 2.97%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEPE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43600000 | PA      | $35311902.91   | 0.11%             | 2031-12-01      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LER82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21200000 | PA      | $17018581.75   | 0.05%             | 2034-01-01      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS17 Trust                                                      | CUSIP: 74922SAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1107453 | PA      | $875489.28     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RSFR 2020-1 TRUST                                 | RSFR 2020-1                                                                      | CUSIP: 74985BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38115744 | PA      | $33651170.68   | 0.10%             | 2025-02-17      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Credit Suisse ABS Trust                           | Credit Suisse ABS Trust 2020-AT1                                                 | CUSIP: 22551XAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4951174 | PA      | $4732134.19    | 0.01%             | 2026-10-15      | Fixed         | 2.61%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6937059 | PA      | $3715162.75    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 1340000000 | PA      | $1104453125.00 | 3.41%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-3 Trust                                             | CUSIP: 058931AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293922 | PA      | $261262.49     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-3 Trust                                             | CUSIP: 058931BN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     231491 | PA      | $227073.90     | 0.00%             | 2036-03-25      | Variable      | 6.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BTP88<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   36999031 | PA      | $33317853.29   | 0.10%             | 2046-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BXBD3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26818370 | PA      | $24066384.42   | 0.07%             | 2047-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-6                                                | CUSIP: 22942JAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10035754 | PA      | $1603254.82    | 0.00%             | 2036-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-7                                                | CUSIP: 22942KAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114122 | PA      | $47458.60      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LESP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46000000 | PA      | $38320146.36   | 0.12%             | 2031-12-01      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru                    | IndyMac IMSC Mortgage Loan Trust 2007-F2                                         | CUSIP: 45670JAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     261311 | PA      | $193909.42     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1124930 | PA      | $534331.76     | 0.00%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS12 Trust                                                      | CUSIP: 751151AX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1887777 | PA      | $1467842.73    | 0.00%             | 2036-09-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AS7J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   68628486 | PA      | $64386510.87   | 0.20%             | 2042-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137ATRR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   46254832 | PA      | $42846720.32   | 0.13%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-7                                                | CUSIP: 22942KBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1591641 | PA      | $1247236.82    | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2007-5                                                | CUSIP: 22944BAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2542114 | PA      | $2068689.83    | 0.01%             | 2037-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru                    | IndyMac IMSC Mortgage Loan Trust 2007-F2                                         | CUSIP: 45670JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25080901 | PA      | $8142837.91    | 0.03%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru                    | IndyMac IMSC Mortgage Loan Trust 2007-HOA1                                       | CUSIP: 45670LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3080873 | PA      | $2124327.89    | 0.01%             | 2047-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS10 Trust                                                      | CUSIP: 751155AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2134665 | PA      | $1785433.44    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS10 Trust                                                      | CUSIP: 751155AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     656431 | PA      | $541353.26     | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F4ZU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   32146874 | PA      | $27937164.04   | 0.09%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F4ZY1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4780717 | PA      | $632306.18     | 0.00%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2006-7                                    | CUSIP: 059469AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8271095 | PA      | $2428038.64    | 0.01%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2006-2                                    | CUSIP: 05948K3A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2113610 | PA      | $1840869.02    | 0.01%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2007-5                                                | CUSIP: 22944BBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10950270 | PA      | $8425385.45    | 0.03%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2007-5                                                | CUSIP: 22944BBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24821158 | PA      | $19096272.18   | 0.06%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS8 Trust                                                       | CUSIP: 75115AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6548763 | PA      | $478014.49     | 0.00%             | 2036-08-25      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS9 Trust                                                       | CUSIP: 75115CAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2433046 | PA      | $128095.03     | 0.00%             | 2036-07-25      | Floating      | 0.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F52B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4780717 | PA      | $3655819.71    | 0.01%             | 2048-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F5A74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5817383 | PA      | $941795.98     | 0.00%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru                    | IndyMac IMJA Mortgage Loan Trust 2007-A4                                         | CUSIP: 45670VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12548611 | PA      | $4509205.40    | 0.01%             | 2038-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2015-C32                              | CUSIP: 46590JAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   56505455 | PA      | $986308.36     | 0.00%             | 2048-11-15      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2010-R1 Trust                                            | CUSIP: 05955VAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     645334 | PA      | $598837.93     | 0.00%             | 2036-07-26      | Floating      | 8.06%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2014-R6 Trust                                            | CUSIP: 05969KAG8<br>LEI: 549300R28UJ0IF8WGK39 | Long             | ABS-MBS          | CORP              | US        |    5316091 | PA      | $4413780.67    | 0.01%             | 2036-10-26      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM5 Trust                                                             | CUSIP: 22946DAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6225825 | PA      | $3157290.80    | 0.01%             | 2066-05-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| EquiFirst Loan Securitization                     | Equifirst Loan Securitization Trust 2007-1                                       | CUSIP: 29445UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10913077 | PA      | $9306426.12    | 0.03%             | 2037-04-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QH7 Trust                                                       | CUSIP: 75115LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10119928 | PA      | $8659712.70    | 0.03%             | 2037-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS3 Trust                                                       | CUSIP: 75116BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13817943 | PA      | $10915292.29   | 0.03%             | 2037-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F5A82<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18765753 | PA      | $14219034.36   | 0.04%             | 2048-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F5AA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13678537 | PA      | $11886822.42   | 0.04%             | 2048-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2015-C32                              | CUSIP: 46590JBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23865000 | PA      | $17343566.57   | 0.05%             | 2048-11-15      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1                    | CUSIP: 46590KAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   51669527 | PA      | $1165153.01    | 0.00%             | 2049-01-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138M8KB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10864658 | PA      | $9834734.80    | 0.03%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138MMEP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6779097 | PA      | $6175224.99    | 0.02%             | 2042-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                          | FBR Securitization Trust 2005-2                                                  | CUSIP: 30246QAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22750000 | PA      | $19707981.48   | 0.06%             | 2035-09-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJS35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8672811 | PA      | $7909293.63    | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2014-R8 Trust                                            | CUSIP: 05969MAB5<br>LEI: 5493001796TAQ7M7QX12 | Long             | ABS-MBS          | CORP              | US        |   13046026 | PA      | $10888296.95   | 0.03%             | 2036-06-26      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2015-R2 Trust                                            | CUSIP: 05990TAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21184973 | PA      | $16452686.76   | 0.05%             | 2036-09-29      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                    | JPMDB Commercial Mortgage Securities Trust 2016-C2                               | CUSIP: 46590LAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  107570881 | PA      | $3981811.47    | 0.01%             | 2049-06-15      | Variable      | 1.49%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                    | JPMDB Commercial Mortgage Securities Trust 2017-C5                               | CUSIP: 46590TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  141117727 | PA      | $3803461.41    | 0.01%             | 2050-03-15      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS3 Trust                                                       | CUSIP: 75116BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2203357 | PA      | $1713893.28    | 0.01%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3670233 | PA      | $2928764.57    | 0.01%             | 2037-04-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F5NR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8089460 | PA      | $5981934.83    | 0.02%             | 2048-05-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F8UA9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6530042 | PA      | $4956079.49    | 0.02%             | 2051-01-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJV56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   63745505 | PA      | $57493241.10   | 0.18%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJVM9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18160772 | PA      | $16409548.30   | 0.05%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138W75S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6765339 | PA      | $6162606.78    | 0.02%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WBHQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7085311 | PA      | $6966981.59    | 0.02%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FCNQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6585822 | PA      | $6156076.04    | 0.02%             | 2046-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FDKT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21534000 | PA      | $18014424.90   | 0.06%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     517119 | PA      | $534454.30     | 0.00%             | 2037-04-25      | Floating      | 18.43%                | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust                                               | CUSIP: 75970JAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5779950 | PA      | $1687914.10    | 0.01%             | 2037-04-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JP Morgan Chase Commercial Mortgage Securities Trust 2020-ACE                    | CUSIP: 46591PAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7366000 | PA      | $6037939.66    | 0.02%             | 2037-01-10      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-S1                                                 | CUSIP: 466247MQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3766461 | PA      | $3733587.38    | 0.01%             | 2035-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJVQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23640674 | PA      | $21351234.87   | 0.07%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJVU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   44999682 | PA      | $40660450.27   | 0.13%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2020-BNK30                                                                  | CUSIP: 06541UCC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   62007000 | PA      | $2740157.54    | 0.01%             | 2053-12-15      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2017-BNK5                                                                   | CUSIP: 06541WBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4916000 | PA      | $4293014.98    | 0.01%             | 2060-06-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FG3E3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6466546 | PA      | $4828825.05    | 0.01%             | 2048-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A2HS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     144745 | PA      | $138695.44     | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust 2007-2                                        | CUSIP: 75970QAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22755581 | PA      | $7762447.49    | 0.02%             | 2037-06-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust                                               | CUSIP: 75971EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18049871 | PA      | $7017511.69    | 0.02%             | 2036-11-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJVZ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22550803 | PA      | $20348313.70   | 0.06%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJXD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  150493778 | PA      | $135397447.20  | 0.42%             | 2045-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T                    | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3439970 | PA      | $2865064.61    | 0.01%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Trust 2006-WF1                                    | CUSIP: 46628SAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3020955 | PA      | $913087.90     | 0.00%             | 2036-07-25      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XD5G7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19755952 | PA      | $16786227.03   | 0.05%             | 2051-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2005-AA4                     | CUSIP: 32051GNH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3090665 | PA      | $1717721.19    | 0.01%             | 2035-05-25      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128S1XJ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1692985 | PA      | $1585698.61    | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397SPS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2042967 | PA      | $1984120.75    | 0.01%             | 2026-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B19 Mortgage Trust                                                | CUSIP: 08162WBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  238283107 | PA      | $18239332.77   | 0.06%             | 2053-09-15      | Variable      | 1.77%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B18 Mortgage Trust                                                | CUSIP: 08163AAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   91163576 | PA      | $7165922.02    | 0.02%             | 2053-07-15      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS15 Trust                                                      | CUSIP: 761118KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1574714 | PA      | $1341550.63    | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QA11 Trust                                                      | CUSIP: 761118LM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15541782 | PA      | $11264270.39   | 0.03%             | 2035-10-25      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-S2                                                 | CUSIP: 46628YBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1051629 | PA      | $458693.33     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-S2                                                 | CUSIP: 46628YBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3397507 | PA      | $1627247.89    | 0.01%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WBYP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4320846 | PA      | $4248681.40    | 0.01%             | 2044-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WBZR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2166474 | PA      | $2130710.28    | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th                    | First Horizon Mortgage Pass-Through Trust 2006-1                                 | CUSIP: 32051GZ99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     928299 | PA      | $459267.09     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2005-FA8                     | CUSIP: 32051GZD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260899 | PA      | $259724.33     | 0.00%             | 2020-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS16 Trust                                                      | CUSIP: 761118MA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1486975 | PA      | $1196394.07    | 0.00%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QA13 Trust                                                      | CUSIP: 761118PE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8425960 | PA      | $6732659.51    | 0.02%             | 2035-12-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-S3                                                 | CUSIP: 46629AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1786086 | PA      | $788328.15     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-S3                                                 | CUSIP: 46629AAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     832270 | PA      | $367340.64     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397SW83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3848311 | PA      | $3796191.83    | 0.01%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397SWA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3826074 | PA      | $3598874.13    | 0.01%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-S3                                                 | CUSIP: 46629AAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7423570 | PA      | $1257741.32    | 0.00%             | 2036-08-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Trust 2006-RM1                                    | CUSIP: 46629NAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22976478 | PA      | $10459161.61   | 0.03%             | 2036-08-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     854193 | PA      | $719884.53     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1759600 | PA      | $1392569.92    | 0.00%             | 2035-12-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2007-FA4                     | CUSIP: 32052WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1898423 | PA      | $818783.04     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2007-FA4                     | CUSIP: 32052WAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1079369 | PA      | $465527.95     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397SWN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1181688 | PA      | $1155036.52    | 0.00%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397SZH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1886758 | PA      | $1840879.43    | 0.01%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WCCB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2068809 | PA      | $2034653.21    | 0.01%             | 2044-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WCRX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9989059 | PA      | $9376713.65    | 0.03%             | 2034-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2007-FA4                     | CUSIP: 32052WAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     614958 | PA      | $265229.34     | 0.00%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2007-FA3                     | CUSIP: 32053GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10637943 | PA      | $4426242.82    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Trust 2006-RM1                                    | CUSIP: 46629NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21235885 | PA      | $9714217.56    | 0.03%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Trust 2006-CH2                                    | CUSIP: 46629QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5939011 | PA      | $3777375.81    | 0.01%             | 2029-09-25      | Variable      | 5.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397TP71<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     233186 | PA      | $15651.21      | 0.00%             | 2037-02-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397UAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5385534 | PA      | $5147893.21    | 0.02%             | 2041-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1759600 | PA      | $64832.12      | 0.00%             | 2035-12-25      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1415829 | PA      | $1193212.50    | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2007-FA3                     | CUSIP: 32053GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     547377 | PA      | $227752.90     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Mortgage Pass-Th                    | First Horizon Mortgage Pass-Through Trust 2007-4                                 | CUSIP: 32056CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1532056 | PA      | $651315.78     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WCZW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4851771 | PA      | $4554368.95    | 0.01%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WDVE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8057028 | PA      | $7563052.28    | 0.02%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397UG52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6975770 | PA      | $6727694.07    | 0.02%             | 2041-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397UVX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     731088 | PA      | $707795.10     | 0.00%             | 2041-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-S4                                                 | CUSIP: 46629SAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5697542 | PA      | $2442843.76    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-S4                                                 | CUSIP: 46629SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2372738 | PA      | $1024849.81    | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2020-SFR2 Trust                                                   | CUSIP: 33767JAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18000000 | PA      | $15792564.60   | 0.05%             | 2037-10-19      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2020-SFR2 Trust                                                   | CUSIP: 33767JAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   26225000 | PA      | $23157705.64   | 0.07%             | 2037-10-19      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS1 Trust                                                       | CUSIP: 761118SE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     667865 | PA      | $642997.09     | 0.00%             | 2036-01-25      | Floating      | 9.21%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                    | RAMP Series 2006-RS2 Trust                                                       | CUSIP: 76112B2D1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9510881 | PA      | $9156409.03    | 0.03%             | 2036-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397UY60<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3027392 | PA      | $2938684.48    | 0.01%             | 2026-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397WHP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     242544 | PA      | $12752.89      | 0.00%             | 2038-06-15      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397FEN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2071836 | PA      | $132967.51     | 0.00%             | 2037-02-15      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397H3E6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     414418 | PA      | $417600.12     | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2006-S4                                                 | CUSIP: 46629SAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5560342 | PA      | $1730614.32    | 0.01%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30934473 | PA      | $4965620.17    | 0.02%             | 2036-12-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAL4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $6594106.40    | 0.02%             | 2038-09-17      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2021-SFR1 Trust                                                   | CUSIP: 33767WAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16250000 | PA      | $13588583.13   | 0.04%             | 2038-08-17      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| GMAC Mortgage Corporation Loan                    | GMACM Mortgage Loan Trust 2005-AR5                                               | CUSIP: 76112BYB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1872663 | PA      | $1588149.91    | 0.00%             | 2035-09-19      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| SMR 2022-IND Mortgage Trust                       | SMR 2022-IND Mortgage Trust                                                      | CUSIP: 78458MAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4352232 | PA      | $3957602.28    | 0.01%             | 2039-02-15      | Floating      | 11.84%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397WSE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     100612 | PA      | $5511.32       | 0.00%             | 2038-07-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397Y6G1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1834440 | PA      | $93614.41      | 0.00%             | 2038-08-15      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2006-B                                     | CUSIP: 78443CCU6<br>LEI: 549300MJYMBTZU2FTV38 | Long             | ABS-O            | CORP              | US        |    4292266 | PA      | $4062634.13    | 0.01%             | 2039-12-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                       | SREIT Trust 2021-MFP                                                             | CUSIP: 78472UAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5300000 | PA      | $4996473.24    | 0.02%             | 2038-11-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397JHY3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1596542 | PA      | $130220.70     | 0.00%             | 2037-06-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397JR97<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     377446 | PA      | $376999.68     | 0.00%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume                    | Sofi Alternative Consumer Loan Program 2021-2                                    | CUSIP: 78472Q107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     500000 | PA      | $12140261.00   | 0.04%             | 2030-08-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Suntrust Adjustable Rate Mortg                    | STARM Mortgage Loan Trust 2007-2                                                 | CUSIP: 78473TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3696647 | PA      | $1671016.31    | 0.01%             | 2037-04-25      | Variable      | 2.26%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398C5A2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2551327 | PA      | $114363.24     | 0.00%             | 2038-02-15      | Floating      | 1.23%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398CKP2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     775570 | PA      | $729577.03     | 0.00%             | 2038-06-15      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2021-SFR1 Trust                                                   | CUSIP: 33767WAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11500000 | PA      | $9605457.80    | 0.03%             | 2038-08-17      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes  2021-SFR3 Trus                    | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   34891000 | PA      | $30250566.78   | 0.09%             | 2038-12-17      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                       | SREIT Trust 2021-IND                                                             | CUSIP: 78473JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1629000 | PA      | $1455361.14    | 0.00%             | 2038-10-15      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                       | SREIT Trust 2021-IND                                                             | CUSIP: 78473JAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   56592000 | PA      | $50045041.30   | 0.15%             | 2038-10-15      | Floating      | 7.58%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                    | Securitized Asset Backed Receivables LLC Trust 2007-BR4                          | CUSIP: 81378EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15417532 | PA      | $9407855.16    | 0.03%             | 2037-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2021-FL4 Issuer Ltd                                                         | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12261000 | PA      | $11891588.33   | 0.04%             | 2038-03-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398CYE2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      67039 | PA      | $60494.64      | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398E4P6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2327485 | PA      | $212476.82     | 0.00%             | 2039-06-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes  2021-SFR3 Trus                    | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   29584000 | PA      | $25351783.96   | 0.08%             | 2038-12-17      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes  2021-SFR3 Trus                    | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   22626000 | PA      | $19445472.23   | 0.06%             | 2038-12-17      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397KCA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4837793 | PA      | $327749.36     | 0.00%             | 2037-08-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397KN98<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     199495 | PA      | $202633.83     | 0.00%             | 2037-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2020-SFR1                                                  | CUSIP: 89613GAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8900000 | PA      | $7736074.02    | 0.02%             | 2038-07-17      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16000000 | PA      | $13822953.60   | 0.04%             | 2038-07-17      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes  2021-SFR3 Trus                    | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   45314000 | PA      | $38665548.05   | 0.12%             | 2038-12-17      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes  2021-SFR3 Trus                    | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAL5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25293000 | PA      | $21448203.48   | 0.07%             | 2038-12-17      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| SECURITIZED MORTGAGE ASSET LOA                    | Securitized Mortgage Asset Loan Trust 2015-1                                     | CUSIP: 81379DAA2<br>LEI: 5493008VRMUX8NL6RQ80 | Long             | ABS-MBS          | CORP              | US        |  199461839 | PA      | $170715977.37  | 0.53%             | 2054-02-25      | Variable      | 2.32%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                    | Structured Adjustable Rate Mortgage Loan Trust Series 2006-1                     | CUSIP: 863579R42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7444087 | PA      | $4623920.94    | 0.01%             | 2036-02-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398GVG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1927691 | PA      | $1842951.29    | 0.01%             | 2040-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398MCQ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     437476 | PA      | $19815.74      | 0.00%             | 2040-02-25      | Floating      | 0.91%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13250000 | PA      | $11396582.05   | 0.04%             | 2038-07-17      | Fixed         | 2.34%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5250000 | PA      | $4477122.83    | 0.01%             | 2038-07-17      | Fixed         | 2.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397L3D9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     309728 | PA      | $17767.84      | 0.00%             | 2037-02-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397L3Y3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     314818 | PA      | $15605.86      | 0.00%             | 2038-07-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes  2021-SFR3 Trus                    | FirstKey Homes 2021-SFR3 Trust                                                   | CUSIP: 33768JAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10174000 | PA      | $8427399.92    | 0.03%             | 2038-12-17      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2016-GS3                                            | CUSIP: 36251PAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  260374407 | PA      | $8888375.10    | 0.03%             | 2049-10-10      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398MUE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1378930 | PA      | $1373599.55    | 0.00%             | 2040-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398MUP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     579189 | PA      | $9099.35       | 0.00%             | 2040-03-25      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $8365228.00    | 0.03%             | 2038-07-17      | Fixed         | 2.89%                 | No            |                  2 | On Loan: No      |
| 20 TSQ GroundCo LLC                               | 20 Times Square Trust 2018-20TS                                                  | CUSIP: 90137LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7949000 | PA      | $6633892.80    | 0.02%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                    | Structured Asset Investment Loan Trust 2006-3                                    | CUSIP: 863587AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   74701567 | PA      | $49452116.38   | 0.15%             | 2036-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collate                    | Amortizing Residential Collateral Trust 2002-BC7                                 | CUSIP: 86358R7M3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5268638 | PA      | $4038262.83    | 0.01%             | 2032-10-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398RNM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2825990 | PA      | $179115.79     | 0.00%             | 2040-06-25      | Floating      | 1.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398RQ81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3214319 | PA      | $3200467.89    | 0.01%             | 2040-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397LC56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     118226 | PA      | $8360.27       | 0.00%             | 2038-07-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398SLC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4683481 | PA      | $4408408.95    | 0.01%             | 2040-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382WSF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51466834 | PA      | $8460066.66    | 0.03%             | 2051-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382X6X8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   70044912 | PA      | $11005540.67   | 0.03%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities                     | Thornburg Mortgage Securities Trust 2004-4                                       | CUSIP: 885220GK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3101848 | PA      | $2607685.54    | 0.01%             | 2044-12-25      | Variable      | 2.62%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities                     | Thornburg Mortgage Securities Trust 2007-1                                       | CUSIP: 88522EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4355704 | PA      | $3932732.19    | 0.01%             | 2037-03-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398RS22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7482194 | PA      | $7378539.75    | 0.02%             | 2040-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398RSA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     197484 | PA      | $193035.84     | 0.00%             | 2040-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382XA21<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   43701926 | PA      | $6302381.48    | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Trust 2006-WMC4                                   | CUSIP: 46630BAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   35550679 | PA      | $2816136.40    | 0.01%             | 2036-12-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398SQX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      88008 | PA      | $76773.69      | 0.00%             | 2040-12-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-1F                                                  | CUSIP: 36242DVJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1720858 | PA      | $1525493.74    | 0.00%             | 2035-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities                     | Thornburg Mortgage Securities Trust 2007-1                                       | CUSIP: 88522EAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1599642 | PA      | $1350620.11    | 0.00%             | 2037-03-25      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                             | Toorak Mortgage Corp 2020-1 Ltd                                                  | CUSIP: 89052WAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $3905032.29    | 0.01%             | 2023-03-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398RXA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     305783 | PA      | $255944.18     | 0.00%             | 2040-06-25      | Floating      | 1.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398S5D1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2023936 | PA      | $28094.26      | 0.00%             | 2026-01-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Toorak Mortgage Corp.                             | Toorak Mortgage Corp 2021-1 Ltd                                                  | CUSIP: 89053BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30000000 | PA      | $28498812.00   | 0.09%             | 2024-06-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2019-SFR1 Trust                                            | CUSIP: 89612LAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5000000 | PA      | $4477526.00    | 0.01%             | 2038-03-17      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Jol Air                                           | JOL Air Ltd                                                                      | CUSIP: 46651NAA2<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-O            | CORP              | US        |    9119519 | PA      | $7406800.18    | 0.02%             | 2044-04-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN                    | CUSIP: 46652BBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40424000 | PA      | $34239237.14   | 0.11%             | 2037-01-16      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2011-GC3                                            | CUSIP: 36248FAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     601596 | PA      | $6.02          | 0.00%             | 2044-03-10      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                   | CUSIP: 36250SBD0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    3443000 | PA      | $3189896.46    | 0.01%             | 2033-03-10      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398SBU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     178693 | PA      | $144002.58     | 0.00%             | 2040-11-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398SBZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     242685 | PA      | $349024.19     | 0.00%             | 2040-11-25      | Floating      | 9.68%                 | No            |                  2 | On Loan: No      |
| Tricon American Homes                             | Tricon American Homes 2020-SFR1                                                  | CUSIP: 89613GAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1600000 | PA      | $1422083.36    | 0.00%             | 2038-07-17      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                | Tricon Residential 2021-SFR1 Trust                                               | CUSIP: 89614YAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11300000 | PA      | $9590654.65    | 0.03%             | 2038-07-17      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                    | JPMDB Commercial Mortgage Securities Trust 2020-COR7                             | CUSIP: 46652JAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  279632440 | PA      | $21051009.70   | 0.07%             | 2053-05-13      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                    | JPMDB Commercial Mortgage Securities Trust 2020-COR7                             | CUSIP: 46652JBB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1435000 | PA      | $1098805.19    | 0.00%             | 2053-05-13      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398SJL8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1127506 | PA      | $1072240.30    | 0.00%             | 2040-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398TR78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6218263 | PA      | $6078014.60    | 0.02%             | 2040-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Trimaran CAVU Ltd                                 | Trimaran Cavu 2021-3 Ltd                                                         | CUSIP: 89624GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20000000 | PA      | $19172388.00   | 0.06%             | 2035-01-18      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| TVC Mortgage Trust 2020-RTL1                      | TVC Mortgage Trust 2020-RTL1                                                     | CUSIP: 90114YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6089893 | PA      | $6075378.93    | 0.02%             | 2024-09-25      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Kestrel Aircraft Funding Limit                    | Kestrel Aircraft Funding Ltd                                                     | CUSIP: 49255PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | AE        |    6707056 | PA      | $5355933.10    | 0.02%             | 2038-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                              | LHOME Mortgage Trust 2021-RTL1                                                   | CUSIP: 501894AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9300000 | PA      | $8283458.85    | 0.03%             | 2026-02-25      | Variable      | 2.86%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                   | CUSIP: 36250SBF5<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    6834000 | PA      | $6109110.79    | 0.02%             | 2033-03-10      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                   | CUSIP: 36250SBH1<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    9287000 | PA      | $8072995.00    | 0.02%             | 2033-03-10      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Tr                    | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850000 | PA      | $747301.81     | 0.00%             | 2035-08-10      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| 20 TSQ GroundCo LLC                               | 20 Times Square Trust 2018-20TS                                                  | CUSIP: 90137LAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5856000 | PA      | $4721265.90    | 0.01%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HTRZ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5000000 | PA      | $4627908.80    | 0.01%             | 2031-05-01      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HVPY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8860000 | PA      | $7589198.33    | 0.02%             | 2034-09-01      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| LHOME Mortgage Trust                              | LHOME Mortgage Trust 2021-RTL2                                                   | CUSIP: 501895AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   92000000 | PA      | $86893889.60   | 0.27%             | 2026-06-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| LCM Ltd Partnership                               | LCM XVII LP                                                                      | CUSIP: 50190AAP7<br>LEI: 549300K6S4MWQOINB710 | Long             | ABS-CBDO         | CORP              | US        |   30000000 | PA      | $29396844.00   | 0.09%             | 2031-10-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                    | 280 Park Avenue 2017-280P Mortgage Trust                                         | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3683000 | PA      | $3321775.78    | 0.01%             | 2034-09-15      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C2                                            | CUSIP: 90276CAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1154000 | PA      | $960361.34     | 0.00%             | 2050-08-15      | Variable      | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HVUY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13075000 | PA      | $11091838.39   | 0.03%             | 2031-10-01      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HW3Z3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30200000 | PA      | $25723197.90   | 0.08%             | 2032-01-01      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                   | CUSIP: 36250SBK4<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    8990000 | PA      | $7567961.80    | 0.02%             | 2033-03-10      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                   | CUSIP: 36250SBM0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   11236750 | PA      | $9247650.85    | 0.03%             | 2033-03-10      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| Ladder Capital Commercial Mort                    | LCCM 2021-FL3 Trust                                                              | CUSIP: 50190FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13713000 | PA      | $13371861.70   | 0.04%             | 2038-11-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| Labrador Aviation Finance Limi                    | Labrador Aviation Finance Ltd 2016-1A                                            | CUSIP: 50543LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   59213850 | PA      | $47347750.01   | 0.15%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                    | Upgrade Master Pass-Thru Trust                                                   | CUSIP: 91531XAD6<br>LEI: 54930089533DCF1JSH22 | Long             | ABS-O            | CORP              | US        |    7598903 | PA      | $7280797.58    | 0.02%             | 2027-07-15      | Variable      | 15.57%                | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                    | Upgrade Master Pass-Thru Trust                                                   | CUSIP: 91532QAA6<br>LEI: 54930089533DCF1JSH22 | Long             | ABS-O            | CORP              | US        |     439285 | PA      | $436418.14     | 0.00%             | 2025-09-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HWKW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   63966000 | PA      | $49699032.95   | 0.15%             | 2039-11-01      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HY3U0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36488000 | PA      | $27245918.72   | 0.08%             | 2035-07-01      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137H1NF9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   73298898 | PA      | $14655601.55   | 0.05%             | 2051-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137H23H5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13182302 | PA      | $11304593.77   | 0.03%             | 2040-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AUJM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   48097832 | PA      | $47026193.28   | 0.15%             | 2041-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AV4D6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3863348 | PA      | $3629890.82    | 0.01%             | 2035-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B29 Mortgage Trust                                                | CUSIP: 08163JAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   66420000 | PA      | $3121042.59    | 0.01%             | 2054-09-15      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B30 Mortgage Trust                                                | CUSIP: 08163KBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  365001037 | PA      | $18950744.32   | 0.06%             | 2054-11-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MEX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     955088 | PA      | $413536.35     | 0.00%             | 2036-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MEY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2865264 | PA      | $191935.99     | 0.00%             | 2036-02-25      | Floating      | 0.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDZG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32694000 | PA      | $24089196.83   | 0.07%             | 2036-10-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418UEL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     345096 | PA      | $348847.81     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AVJY4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13883069 | PA      | $11746285.89   | 0.04%             | 2042-08-15      | Fixed         | 1.35%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AXUG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17352326 | PA      | $16223614.01   | 0.05%             | 2033-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2098905 | PA      | $1525468.65    | 0.00%             | 2036-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2098905 | PA      | $58338.02      | 0.00%             | 2036-02-25      | Floating      | 0.36%                 | No            |                  3 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2015-GC34                                           | CUSIP: 36250VAF9<br>LEI: 54930070360RBP384M53 | Long             | ABS-MBS          | CORP              | US        |  149298519 | PA      | $3991137.59    | 0.01%             | 2048-10-10      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2015-GC28                                           | CUSIP: 36251FAY2<br>LEI: 5493002EPQ51IPGGFX73 | Long             | ABS-MBS          | CORP              | US        |  197924827 | PA      | $3004360.32    | 0.01%             | 2048-02-10      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380RE71<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34074904 | PA      | $2218647.65    | 0.01%             | 2063-02-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380RJ84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24798433 | PA      | $1371539.32    | 0.00%             | 2063-04-16      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-1                                                     | CUSIP: 52520MFK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1352307 | PA      | $994377.88     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                    | Long Beach Mortgage Loan Trust 2006-6                                            | CUSIP: 54251RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26862176 | PA      | $19423376.16   | 0.06%             | 2036-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AYJJ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17546871 | PA      | $16227609.25   | 0.05%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B0F33<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9362841 | PA      | $7258371.84    | 0.02%             | 2043-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO 2018-2 Ltd                                                      | CUSIP: 09629VAE3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $4839086.50    | 0.01%             | 2031-08-15      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| Bojangles Issuer, LLC                             | Bojangles Issuer LLC                                                             | CUSIP: 09748RAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   21338750 | PA      | $19204211.36   | 0.06%             | 2050-10-20      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381D5J5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   71019416 | PA      | $4803959.28    | 0.01%             | 2061-12-16      | Variable      | 0.89%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383CMX5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32105083 | PA      | $4979077.77    | 0.02%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2015-GC28                                           | CUSIP: 36251FBD7<br>LEI: 5493002EPQ51IPGGFX73 | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3658736.40    | 0.01%             | 2048-02-10      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15571000 | PA      | $14869053.09   | 0.05%             | 2031-07-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383CQ94<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   58278867 | PA      | $7696149.84    | 0.02%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383CQM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   51909846 | PA      | $7653136.09    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B0GG3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   49616789 | PA      | $46382498.45   | 0.14%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B0U93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3334913 | PA      | $2923791.94    | 0.01%             | 2033-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383CTG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30262856 | PA      | $4403066.94    | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383CUX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52320919 | PA      | $7641412.63    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374LKQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6472504 | PA      | $6502691.53    | 0.02%             | 2034-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38376V4F1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2814652 | PA      | $2770032.52    | 0.01%             | 2040-02-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138E8PZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1470931 | PA      | $1361162.34    | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EEP86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     511060 | PA      | $499475.70     | 0.00%             | 2042-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383CVF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37862095 | PA      | $5154965.82    | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383DCL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   79016753 | PA      | $11484413.48   | 0.04%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Braemar Hotels & Resorts Trust                    | Braemar Hotels & Resorts Trust 2018-Prime                                        | CUSIP: 10482TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27680000 | PA      | $26404209.42   | 0.08%             | 2035-06-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Business Jet Securities, LLC                      | Business Jet Securities 2020-1 LLC                                               | CUSIP: 12327FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4276322 | PA      | $3900223.98    | 0.01%             | 2035-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38376VQP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23241438 | PA      | $2384764.42    | 0.01%             | 2040-02-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377FJK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6873626 | PA      | $6989935.71    | 0.02%             | 2040-05-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31395K3S0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2317593 | PA      | $2307806.41    | 0.01%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31395K4S9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1793274 | PA      | $1794494.90    | 0.01%             | 2034-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383DTN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  138129788 | PA      | $1030710.66    | 0.00%             | 2051-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383FBJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10274574 | PA      | $1525109.46    | 0.00%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Reference Remic                       | Freddie Mac Reference REMIC                                                      | CUSIP: 31396C3Y4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25832040 | PA      | $26295544.56   | 0.08%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396PBM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     812915 | PA      | $73313.43      | 0.00%             | 2037-01-25      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383FLS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37692300 | PA      | $5580895.26    | 0.02%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383FS79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   65502049 | PA      | $8642838.10    | 0.03%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381E2A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  128117527 | PA      | $6919627.62    | 0.02%             | 2063-10-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   93795800 | PA      | $12356142.83   | 0.04%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396QCR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     214167 | PA      | $15279.21      | 0.00%             | 2039-07-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396QFB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     296691 | PA      | $14660.17      | 0.00%             | 2039-07-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Trust 2018-EXCL                                                               | CUSIP: 12433WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     516361 | PA      | $502755.02     | 0.00%             | 2037-09-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | CAFL 2021-RTL1 Issuer LLC                                                        | CUSIP: 12468RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  100200000 | PA      | $91558090.68   | 0.28%             | 2029-03-28      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396QKB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     228256 | PA      | $222081.31     | 0.00%             | 2039-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396QLH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     638895 | PA      | $629678.77     | 0.00%             | 2039-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383LHD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   94475181 | PA      | $12420699.23   | 0.04%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383RA23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   54340737 | PA      | $7304552.56    | 0.02%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus                    | LSTAR Commercial Mortgage Trust 2015-3                                           | CUSIP: 54910JAU8<br>LEI: 549300MAI3U5Y4VL8H37 | Long             | ABS-MBS          | CORP              | US        |    5360000 | PA      | $4621583.35    | 0.01%             | 2048-04-20      | Variable      | 3.14%                 | No            |                  2 | On Loan: No      |
| LSTAR Commercial Mortgage Trus                    | LSTAR Commercial Mortgage Trust 2017-5                                           | CUSIP: 54910TBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16351118 | PA      | $335613.24     | 0.00%             | 2050-03-10      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396QYL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     285145 | PA      | $14953.34      | 0.00%             | 2039-09-25      | Floating      | 1.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31396TQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1496156 | PA      | $1502933.80    | 0.00%             | 2036-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LRF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   56770293 | PA      | $6137680.51    | 0.02%             | 2050-11-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LS36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   56768833 | PA      | $7353897.01    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383YDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   62808811 | PA      | $4408167.34    | 0.01%             | 2065-08-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                    | GreenPoint MTA Trust 2005-AR3                                                    | CUSIP: 39538RBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21694001 | PA      | $5674493.25    | 0.02%             | 2045-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31396UP61<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1081908 | PA      | $1077852.05    | 0.00%             | 2036-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31396UT42<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     398322 | PA      | $400260.93     | 0.00%             | 2036-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Luminent Mortgage Trust                           | Luminent Mortgage Trust 2005-1                                                   | CUSIP: 550279AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2757476 | PA      | $2612396.78    | 0.01%             | 2035-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| LUNAR AIRCRAFT 2020-1 LIMITED                     | LUNAR AIRCRAFT 2020-1 LTD                                                        | CUSIP: 55037LAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12831101 | PA      | $10526738.28   | 0.03%             | 2045-02-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                     | Homeward Opportunities Fund I Trust 2020-1                                       | CUSIP: 43789WAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13161000 | PA      | $12782060.59   | 0.04%             | 2059-11-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                     | Homeward Opportunities Fund I Trust 2020-2                                       | CUSIP: 43789XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28994000 | PA      | $25944840.19   | 0.08%             | 2065-05-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396VEK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1375969 | PA      | $95955.14      | 0.00%             | 2037-04-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396VHJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1593345 | PA      | $134814.35     | 0.00%             | 2037-04-25      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization                     | MASTR Seasoned Securitization Trust 2005-2                                       | CUSIP: 55265WDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250896 | PA      | $1198974.24    | 0.00%             | 2032-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Seasoned Securitization                     | MASTR Seasoned Securitization Trust 2005-2                                       | CUSIP: 55265WDF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     499180 | PA      | $464459.58     | 0.00%             | 2032-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | CAFL 2021-RTL1 Issuer LLC                                                        | CUSIP: 12468RAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12750000 | PA      | $11501247.15   | 0.04%             | 2029-03-28      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Credit-Based Asset Servicing a                    | Credit-Based Asset Servicing and Securitization LLC                              | CUSIP: 12498QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8497927 | PA      | $5590801.79    | 0.02%             | 2036-05-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                    | IndyMac INDX Mortgage Loan Trust 2006-AR7                                        | CUSIP: 45661EDA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2305158 | PA      | $1891383.91    | 0.01%             | 2036-05-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru                    | IndyMac INDA Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     826826 | PA      | $569009.53     | 0.00%             | 2036-09-25      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LWE7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34040195 | PA      | $3667313.63    | 0.01%             | 2050-12-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LWK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30557669 | PA      | $23489349.88   | 0.07%             | 2050-12-20      | Fixed         | 1.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396VJC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     191020 | PA      | $10263.32      | 0.00%             | 2037-04-25      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396W2J4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1697918 | PA      | $127237.87     | 0.00%             | 2037-08-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru                    | IndyMac INDA Mortgage Loan Trust 2006-AR2                                        | CUSIP: 45661SAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     909514 | PA      | $769924.69     | 0.00%             | 2036-09-25      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru                    | IndyMac IMJA Mortgage Loan Trust 2007-A1                                         | CUSIP: 456652AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2344330 | PA      | $1010887.39    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru                    | MASTR Asset Securitization Trust 2006-2                                          | CUSIP: 55274QAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1103936 | PA      | $735692.46     | 0.00%             | 2036-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     795194 | PA      | $726398.09     | 0.00%             | 2036-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396WKM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1347831 | PA      | $113149.22     | 0.00%             | 2036-10-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396WMD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1377773 | PA      | $1309307.44    | 0.00%             | 2047-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LX22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6110629 | PA      | $931213.44     | 0.00%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LZ87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30398958 | PA      | $3384355.52    | 0.01%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru                    | IndyMac IMJA Mortgage Loan Trust 2007-A2                                         | CUSIP: 456654AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7339746 | PA      | $3770128.07    | 0.01%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru                    | IndyMac IMJA Mortgage Loan Trust 2007-A2                                         | CUSIP: 456654AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11143892 | PA      | $6237458.23    | 0.02%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                      | CD 2017-CD6 Mortgage Trust                                                       | CUSIP: 125039AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   43007354 | PA      | $1199892.28    | 0.00%             | 2050-11-13      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-17                                          | CUSIP: 12544KAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2769828 | PA      | $2100586.62    | 0.01%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382M4V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   58930609 | PA      | $9006883.63    | 0.03%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382M7D5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  100938738 | PA      | $12887181.83   | 0.04%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2007-1                                              | CUSIP: 55275SAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3780851 | PA      | $1195698.01    | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                     | Mastr Asset Backed Securities Trust 2007-WMC1                                    | CUSIP: 55275TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13570026 | PA      | $4014747.95    | 0.01%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-11                                          | CUSIP: 12544LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13373792 | PA      | $6646611.55    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-4                                           | CUSIP: 12544RBQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3172817 | PA      | $1524345.41    | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Massage Envy Franchising, LLC                     | ME Funding LLC 2019-1                                                            | CUSIP: 55282GAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   33106100 | PA      | $31875450.26   | 0.10%             | 2049-07-30      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru                    | MASTR Asset Securitization Trust 2007-1                                          | CUSIP: 55292AAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2693230 | PA      | $1228394.21    | 0.00%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru                    | IndyMac INDA Mortgage Loan Trust 2007-AR1                                        | CUSIP: 45669AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3154977 | PA      | $2652510.27    | 0.01%             | 2037-03-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-A6                                                 | CUSIP: 466247UA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132206 | PA      | $129923.97     | 0.00%             | 2035-08-25      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382ME47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   65592484 | PA      | $6872708.37    | 0.02%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382MF61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   86478394 | PA      | $11325400.72   | 0.03%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                               | MRCD 2019-MARK Mortgage Trust                                                    | CUSIP: 55348UAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32926000 | PA      | $26826056.80   | 0.08%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                    | MASTR Adjustable Rate Mortgages Trust 2007-1                                     | CUSIP: 576431AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5308995 | PA      | $3138679.03    | 0.01%             | 2036-11-25      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T                    | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3217600 | PA      | $3185182.07    | 0.01%             | 2036-05-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                    | MASTR Adjustable Rate Mortgages Trust 2005-6                                     | CUSIP: 576433A71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     763621 | PA      | $657833.76     | 0.00%             | 2035-07-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-OA7                                                  | CUSIP: 02146BAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2925153 | PA      | $2402739.86    | 0.01%             | 2046-06-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2005-5                                              | CUSIP: 576434T20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6724913 | PA      | $3546994.70    | 0.01%             | 2035-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2004-9                                              | CUSIP: 576434UK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6651000 | PA      | $5140943.66    | 0.02%             | 2034-08-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382MJ42<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   90334419 | PA      | $8686611.91    | 0.03%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382ND95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28296702 | PA      | $4107738.82    | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS17 Trust                                                      | CUSIP: 74922SAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6152532 | PA      | $4863839.72    | 0.02%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2007-A3                                   | CUSIP: 76113WAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     722570 | PA      | $846266.85     | 0.00%             | 2037-04-25      | Floating      | 12.74%                | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510HV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1541574 | PA      | $54860.45      | 0.00%             | 2035-11-25      | Floating      | 0.91%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-6                  | CUSIP: 251510KF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5266809 | PA      | $4474561.02    | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382NTW7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12634865 | PA      | $1608139.13    | 0.00%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382TJ39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27929433 | PA      | $3653418.43    | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2005-6                                              | CUSIP: 576434V92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1572122 | PA      | $1122437.71    | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                     | Mastr Asset Backed Securities Trust 2003-OPT1                                    | CUSIP: 57643LAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2429690 | PA      | $2251420.05    | 0.01%             | 2032-12-25      | Floating      | 8.51%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB1                    | CUSIP: 251510MF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3366051 | PA      | $3041177.30    | 0.01%             | 2036-02-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-B SECURITIES INC                     | Deutsche Alt-B Securities Inc Mortgage Loan Trust Series 2006-AB2                | CUSIP: 251511AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     428696 | PA      | $354866.92     | 0.00%             | 2036-06-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382TJ62<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9957175 | PA      | $916252.27     | 0.00%             | 2051-06-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382TL51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   78297412 | PA      | $887931.80     | 0.00%             | 2051-03-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396WSP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2122293 | PA      | $2171667.90    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396YF72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1714432 | PA      | $1676166.57    | 0.01%             | 2038-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                     | Mastr Asset Backed Securities Trust 2007-HE1                                     | CUSIP: 576457AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10796726 | PA      | $10171218.82   | 0.03%             | 2037-05-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2006-3                                              | CUSIP: 57645DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1290887 | PA      | $759742.93     | 0.00%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     755835 | PA      | $660886.33     | 0.00%             | 2036-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132HQBE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23224902 | PA      | $21180853.35   | 0.07%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382TQ72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  121207661 | PA      | $18329264.84   | 0.06%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382UL33<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   49913889 | PA      | $926890.94     | 0.00%             | 2051-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2007-A6                                   | CUSIP: 76114CAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7626110 | PA      | $4564666.27    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2007-A5                                   | CUSIP: 76114HAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22787711 | PA      | $1330784.07    | 0.00%             | 2037-05-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3322664 | PA      | $1548814.71    | 0.00%             | 2036-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1319036 | PA      | $751182.67     | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132HQBF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23345297 | PA      | $21290605.43   | 0.07%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136B1RS5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17889654 | PA      | $13582637.77   | 0.04%             | 2048-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MED Trust                                         | Med Trust 2021-MDLN                                                              | CUSIP: 58403YBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16733000 | PA      | $15199525.97   | 0.05%             | 2038-11-15      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 1998-C1-CTL                        | CUSIP: 589929PZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202877 | PA      | $10.63         | 0.00%             | 2026-11-15      | Variable      | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382URD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27912851 | PA      | $213209.52     | 0.00%             | 2051-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382VED7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   37807185 | PA      | $1259255.26    | 0.00%             | 2051-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2007-A7                                   | CUSIP: 76114QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7740930 | PA      | $3128780.85    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM Student Loan Trust                            | SLM Private Credit Student Loan Trust 2006-A                                     | CUSIP: 78443CCL6<br>LEI: 549300I2YWZ9E1B0EY33 | Long             | ABS-O            | CORP              | US        |    5562969 | PA      | $5241257.47    | 0.02%             | 2039-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3860658 | PA      | $685687.20     | 0.00%             | 2036-08-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-24CB                                                 | CUSIP: 02146TAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3095745 | PA      | $1808562.56    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136B1TS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10831290 | PA      | $1685541.59    | 0.01%             | 2048-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136B1YW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13046734 | PA      | $11635069.36   | 0.04%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382W3R6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   70815466 | PA      | $10510431.40   | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20                    | CUSIP: 46642CBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9535000 | PA      | $8915565.40    | 0.03%             | 2047-07-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397AQY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1674909 | PA      | $120033.18     | 0.00%             | 2036-08-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397ARK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3479387 | PA      | $3472877.59    | 0.01%             | 2036-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-30T1                                                 | CUSIP: 02146VAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2681925 | PA      | $2004990.25    | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2017-BNK5                                                                   | CUSIP: 06541WAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   74212027 | PA      | $2368885.01    | 0.01%             | 2060-06-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2005-AR1                           | CUSIP: 59020UG33<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18713749 | PA      | $16025378.35   | 0.05%             | 2036-06-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2006-AR1                           | CUSIP: 59020VAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8113482 | PA      | $2604494.96    | 0.01%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397N6A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2311992 | PA      | $140218.18     | 0.00%             | 2039-07-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397NCG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     245518 | PA      | $243243.87     | 0.00%             | 2029-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136B3QE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23682806 | PA      | $17555069.11   | 0.05%             | 2048-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136B56P5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  495671190 | PA      | $15256560.97   | 0.05%             | 2029-08-25      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| SLG Office Trust                                  | SLG Office Trust 2021-OVA                                                        | CUSIP: 78449RAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37079000 | PA      | $24273025.77   | 0.07%             | 2041-07-15      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume                    | Sofi Alternative Consumer Loan Program 2021-2                                    | CUSIP: 78472QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   58861024 | PA      | $55619841.32   | 0.17%             | 2030-08-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2006-HE3                           | CUSIP: 590212AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10603915 | PA      | $2936684.17    | 0.01%             | 2037-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2006-F1                            | CUSIP: 590218AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     772112 | PA      | $391529.72     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2017-BNK5                                                                   | CUSIP: 06541WBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1960000 | PA      | $1664132.90    | 0.01%             | 2060-06-15      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2004-11                                                 | CUSIP: 07386HMX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264053 | PA      | $260601.99     | 0.00%             | 2034-11-25      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2006-FM1                           | CUSIP: 59021AAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23671902 | PA      | $14986094.33   | 0.05%             | 2037-04-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2017-H1                                           | CUSIP: 61691JAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  141307442 | PA      | $5317413.17    | 0.02%             | 2050-06-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance I Li                    | SAPPHIRE AVIATION FINANCE II LTD                                                 | CUSIP: 80307AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   37704848 | PA      | $28607007.69   | 0.09%             | 2040-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Sapphire Aviation Finance I Li                    | SAPPHIRE AVIATION FINANCE II LTD                                                 | CUSIP: 80307AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9351338 | PA      | $5459863.10    | 0.02%             | 2040-03-15      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136B5C86<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5713209 | PA      | $5287558.55    | 0.02%             | 2049-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136B7DM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5771113 | PA      | $5019737.93    | 0.02%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2014-C21                              | CUSIP: 46642EBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4787000 | PA      | $4412202.31    | 0.01%             | 2047-08-15      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2014-C25                              | CUSIP: 46643PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  155501147 | PA      | $1912508.60    | 0.01%             | 2047-11-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2017-ASHF                                         | CUSIP: 61691KAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5023000 | PA      | $4582367.37    | 0.01%             | 2034-11-15      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2006-7                                        | CUSIP: 61749JAM8<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |    1640563 | PA      | $914745.54     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397NV51<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     638060 | PA      | $45317.23      | 0.00%             | 2039-06-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397PWJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     554871 | PA      | $551230.00     | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                    | Securitized Asset Backed Receivables LLC Trust 2006-NC3                          | CUSIP: 81377CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3684699 | PA      | $1374103.44    | 0.00%             | 2036-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                    | Securitized Asset Backed Receivables LLC Trust 2007-BR3                          | CUSIP: 81377NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5781215 | PA      | $3879298.78    | 0.01%             | 2037-04-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Recei                    | Securitized Asset Backed Receivables LLC Trust 2007-BR3                          | CUSIP: 81377NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5650235 | PA      | $3791337.95    | 0.01%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69273 | PA      | $63115.81      | 0.00%             | 2033-07-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2007-HE4                            | CUSIP: 07386RAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25081425 | PA      | $22617237.55   | 0.07%             | 2037-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2007-1                                                  | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5893492 | PA      | $4655076.28    | 0.01%             | 2047-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ServiceMaster Brands                              | ServiceMaster Funding LLC                                                        | CUSIP: 81761TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4087200 | PA      | $3077923.18    | 0.01%             | 2051-01-30      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                      | SG Mortgage Securities Trust 2006-FRE1                                           | CUSIP: 81879MAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4706247 | PA      | $4582941.10    | 0.01%             | 2036-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397QGM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3425482 | PA      | $3226181.48    | 0.01%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397QZE1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     390877 | PA      | $23056.58      | 0.00%             | 2041-03-25      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| SG Mortgage Securities Trust                      | SG Mortgage Securities Trust 2006-FRE1                                           | CUSIP: 81879MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2511852 | PA      | $1485867.52    | 0.00%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                    | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579G51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1372006 | PA      | $1214689.87    | 0.00%             | 2035-12-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4622611 | PA      | $939638.96     | 0.00%             | 2036-08-25      | Variable      | 6.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2007-1XS                                      | CUSIP: 61752JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2961790 | PA      | $713364.80     | 0.00%             | 2046-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp Mortgage Pass-Through Ctfs Ser 2003-24A         | CUSIP: 86359AH71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     826311 | PA      | $798313.36     | 0.00%             | 2033-07-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4                    | CUSIP: 86359RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   69010245 | PA      | $42465951.05   | 0.13%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2007-14AR                                     | CUSIP: 61756VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3989260 | PA      | $2573406.66    | 0.01%             | 2037-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                      | Morgan Stanley Re-REMIC Trust 2010-R5                                            | CUSIP: 61759HBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6827453 | PA      | $5761159.93    | 0.02%             | 2037-01-26      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2006-5                                                  | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4165804 | PA      | $3410955.10    | 0.01%             | 2036-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2004-AC4                            | CUSIP: 073879EB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2756295 | PA      | $2680735.46    | 0.01%             | 2034-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4                    | CUSIP: 86359RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13355091 | PA      | $12965167.45   | 0.04%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                    | Structured Asset Mortgage Investments II Trust 2006-AR3                          | CUSIP: 86360KAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9109086 | PA      | $6969643.18    | 0.02%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                            | Mosaic Solar Loan Trust 2018-2-GS                                                | CUSIP: 61946LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10571401 | PA      | $9590180.76    | 0.03%             | 2044-02-22      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | MSC Trust 2021-ILP                                                               | CUSIP: 62479WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4353603 | PA      | $4191232.55    | 0.01%             | 2023-11-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Structured Asset Investment Lo                    | Structured Asset Investment Loan Trust 2006-4                                    | CUSIP: 86360WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8407948 | PA      | $4987657.74    | 0.02%             | 2036-07-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Sunnova Sol Issuer,LLC                            | Sunnova Sol II Issuer LLC                                                        | CUSIP: 86745PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   29754534 | PA      | $23428955.08   | 0.07%             | 2055-11-01      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2005-AC6                            | CUSIP: 073879M88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29782611 | PA      | $24289660.78   | 0.08%             | 2035-09-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2005-AC2                            | CUSIP: 073879SL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6255400 | PA      | $5299504.53    | 0.02%             | 2035-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | MSC Trust 2021-ILP                                                               | CUSIP: 62479WAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17924725 | PA      | $16848426.28   | 0.05%             | 2023-11-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| NLY Commercial Mortgage Trust                     | NLY Commercial Mortgage Trust                                                    | CUSIP: 629167AC1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14792000 | PA      | $14547932.00   | 0.04%             | 2036-02-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                | Sunnova Helios VII Issuer LLC                                                    | CUSIP: 86745RAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13209054 | PA      | $10628925.66   | 0.03%             | 2048-10-20      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                | THL Credit Wind River 2014-2 CLO Ltd                                             | CUSIP: 88390AAT7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   40000000 | PA      | $39134060.00   | 0.12%             | 2031-01-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| NLY Commercial Mortgage Trust                     | NLY Commercial Mortgage Trust                                                    | CUSIP: 629167AE7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3725000 | PA      | $3644912.50    | 0.01%             | 2036-02-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| NLY Commercial Mortgage Trust                     | NLY Commercial Mortgage Trust                                                    | CUSIP: 629167AG2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4425000 | PA      | $3760524.30    | 0.01%             | 2036-02-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2005-AC2                            | CUSIP: 073879ST6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2022517 | PA      | $1835586.34    | 0.01%             | 2035-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2005-AC7                            | CUSIP: 073879T57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4872051 | PA      | $3283649.51    | 0.01%             | 2035-10-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136B7FY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  264033381 | PA      | $15537862.84   | 0.05%             | 2029-03-25      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136B7FZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  215636745 | PA      | $9075978.08    | 0.03%             | 2031-03-25      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                   | United States Treasury Note/Bond                                                 | CUSIP: 91282CFV8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  530000000 | PA      | $540972653.60  | 1.67%             | 2032-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Unity-Peace Park CLO, Ltd.                        | Unity-Peace Park CLO Ltd                                                         | CUSIP: 913318AE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | GB        |   15000000 | PA      | $14328666.00   | 0.04%             | 2035-04-20      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| NYT Mortgage Trust                                | BF 2019-NYT Mortgage Trust                                                       | CUSIP: 62954PAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30009000 | PA      | $25701244.06   | 0.08%             | 2035-12-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz                    | NRZ Excess Spread-Collateralized Notes                                           | CUSIP: 62955MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   56925607 | PA      | $49771617.66   | 0.15%             | 2026-07-25      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397RVH6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1044188 | PA      | $54439.98      | 0.00%             | 2038-03-15      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397RVZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     171467 | PA      | $8622.42       | 0.00%             | 2038-03-15      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                    | Bear Stearns ARM Trust 2005-12                                                   | CUSIP: 07387AFZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     670445 | PA      | $502014.80     | 0.00%             | 2036-02-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                    | Bear Stearns ARM Trust 2007-2                                                    | CUSIP: 07401EAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11774326 | PA      | $9498594.63    | 0.03%             | 2046-12-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| Nassau 2018-I Ltd.                                | Nassau 2018-I Ltd                                                                | CUSIP: 63170MAA1<br>LEI: 5493003RNMF4L18JF715 | Long             | ABS-CBDO         | CORP              | US        |   30000000 | PA      | $29197500.00   | 0.09%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                    | Natixis Commercial Mortgage Securities Trust 2018-FL1                            | CUSIP: 63874MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7707200 | PA      | $7446929.06    | 0.02%             | 2035-06-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                    | Upgrade Master Pass-Thru Trust Series 2021-PT5                                   | CUSIP: 91533GAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13016557 | PA      | $12570297.09   | 0.04%             | 2027-10-15      | Variable      | 16.50%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397S2Q6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11720933 | PA      | $11237503.49   | 0.03%             | 2031-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397S3P7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3445409 | PA      | $3129196.30    | 0.01%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136B7P88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   46167248 | PA      | $40654079.46   | 0.13%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136B7YZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17038732 | PA      | $1778535.27    | 0.01%             | 2049-12-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                    | Natixis Commercial Mortgage Securities Trust 2020-2PAC                           | CUSIP: 63875DAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13188800 | PA      | $11887447.92   | 0.04%             | 2038-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Loan Trust 2017-A                                      | CUSIP: 63939XAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23000000 | PA      | $21450542.90   | 0.07%             | 2058-12-16      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                     | Bear Stearns Mortgage Funding Trust 2006-AR4                                     | CUSIP: 07401JAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3083762 | PA      | $2735711.90    | 0.01%             | 2037-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                     | Bear Stearns Mortgage Funding Trust 2007-AR3                                     | CUSIP: 07401VAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6947152 | PA      | $6698150.51    | 0.02%             | 2037-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2014-C26                              | CUSIP: 46643TBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  160900424 | PA      | $2146604.74    | 0.01%             | 2048-01-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2015-C27                              | CUSIP: 46644AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10425000 | PA      | $8496643.97    | 0.03%             | 2048-02-15      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Navient Student Loan Trust                        | Navient Private Education Loan Trust 2018-B                                      | CUSIP: 63940QAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11000000 | PA      | $9931229.00    | 0.03%             | 2059-12-15      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| Navigator Aircraft ABS LLC                        | Navigator Aircraft ABS Ltd                                                       | CUSIP: 63943BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12100447 | PA      | $9917151.08    | 0.03%             | 2046-11-15      | Variable      | 3.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136B8ZN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14650771 | PA      | $13018005.61   | 0.04%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136B9DK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53302278 | PA      | $3698149.34    | 0.01%             | 2031-03-25      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Neighborly Issuer LLC                             | Neighborly Issuer LLC                                                            | CUSIP: 64016NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14528750 | PA      | $11685616.01   | 0.04%             | 2051-04-30      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| New Century Alternative Mortga                    | New Century Alternative Mortgage Loan Trust 2006-ALT1                            | CUSIP: 643528AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9748367 | PA      | $2312069.99    | 0.01%             | 2036-07-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2015-C27                              | CUSIP: 46644ABM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13992000 | PA      | $12711259.07   | 0.04%             | 2048-02-15      | Variable      | 4.31%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2015-C28                              | CUSIP: 46644FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   30604919 | PA      | $458424.95     | 0.00%             | 2048-10-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T                    | New Century Home Equity Loan Trust 2005-4                                        | CUSIP: 64352VMY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17829000 | PA      | $16469779.44   | 0.05%             | 2035-09-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2021-SFR4 Trust                                                             | CUSIP: 66982FAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6500000 | PA      | $5505763.90    | 0.02%             | 2038-12-17      | Fixed         | 2.77%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136B9DV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  371219135 | PA      | $35017286.64   | 0.11%             | 2030-12-25      | Variable      | 1.72%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136B9EK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  193866305 | PA      | $4914297.57    | 0.02%             | 2027-12-25      | Variable      | 0.72%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-7                                                     | CUSIP: 52520QAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10311301 | PA      | $1163231.26    | 0.00%             | 2036-11-25      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                    | MF1 Multifamily Housing Mortgage Loan Trust                                      | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $9677010.00    | 0.03%             | 2036-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2021-SFR4 Trust                                                             | CUSIP: 66982FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10500000 | PA      | $8739436.65    | 0.03%             | 2038-12-17      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2020-2                                              | CUSIP: 91680CAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3670621 | PA      | $3551883.85    | 0.01%             | 2030-11-20      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                        | Upstart Pass-Through Trust Series 2020-ST5                                       | CUSIP: 91680WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8099572 | PA      | $7740895.28    | 0.02%             | 2026-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                    | WFRBS Commercial Mortgage Trust 2014-C21                                         | CUSIP: 92939FAX7<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9316766.00    | 0.03%             | 2047-08-15      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                    | WFRBS Commercial Mortgage Trust 2014-C21                                         | CUSIP: 92939FAY5<br>LEI: 5493000F7E2NMQ4HIO61 | Long             | ABS-MBS          | CORP              | US        |    3147000 | PA      | $2829906.39    | 0.01%             | 2047-08-15      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                    | WFRBS Commercial Mortgage Trust 2014-C25                                         | CUSIP: 92939LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  161314707 | PA      | $1879784.15    | 0.01%             | 2047-11-15      | Variable      | 0.79%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2019-L3                                           | CUSIP: 61691UBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  156579975 | PA      | $5080926.24    | 0.02%             | 2052-11-15      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                      | Morgan Stanley Re-REMIC Trust 2010-R9                                            | CUSIP: 61760CAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9921531 | PA      | $7544795.42    | 0.02%             | 2036-11-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2019-B9 Mortgage Trust                                                 | CUSIP: 08160JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   79681588 | PA      | $3774437.14    | 0.01%             | 2052-03-15      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B16 Mortgage Trust                                                | CUSIP: 08161NAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   75229356 | PA      | $3637527.46    | 0.01%             | 2053-02-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                    | WaMu Mortgage Pass-Through Certificates Series 2007-HY5 Trust                    | CUSIP: 92990GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7851105 | PA      | $6692297.07    | 0.02%             | 2037-05-25      | Variable      | 2.98%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                    | WaMu Mortgage Pass-Through Certificates Series 2006-AR5 Trust                    | CUSIP: 93362YAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3414280 | PA      | $3058001.51    | 0.01%             | 2046-06-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                    | WaMu Mortgage Pass-Through Certificates Series 2006-AR10 Trust                   | CUSIP: 93363EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6184678 | PA      | $5581274.90    | 0.02%             | 2036-09-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-4 Trust   | CUSIP: 9393366R9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1075651 | PA      | $900623.08     | 0.00%             | 2035-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19                      | CUSIP: 61764PBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6693500 | PA      | $6041670.24    | 0.02%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20                      | CUSIP: 61764RBL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5457500 | PA      | $5029531.58    | 0.02%             | 2048-02-15      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-7 Trust   | CUSIP: 93934FBR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4126792 | PA      | $3955006.05    | 0.01%             | 2035-08-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-7 Trust   | CUSIP: 93934FBT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2312099 | PA      | $1821236.25    | 0.01%             | 2035-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28                      | CUSIP: 61766LBT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  131812791 | PA      | $3557600.86    | 0.01%             | 2049-01-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31                      | CUSIP: 61766RBE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7564000 | PA      | $6103095.09    | 0.02%             | 2049-11-15      | Variable      | 4.27%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93935BAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13303337 | PA      | $3389417.54    | 0.01%             | 2036-07-25      | Variable      | 6.72%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93935BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5543825 | PA      | $1411431.67    | 0.00%             | 2036-07-25      | Variable      | 6.95%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-IG1 Mortgage Trust                                                | CUSIP: 08162LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  276099000 | PA      | $7305303.44    | 0.02%             | 2043-09-15      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B7 Mortgage Trust                                                 | CUSIP: 08162TBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37093395 | PA      | $631997.27     | 0.00%             | 2053-05-15      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33                      | CUSIP: 61767CAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40286671 | PA      | $1579310.02    | 0.00%             | 2050-05-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2019-L2                                           | CUSIP: 61768HAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   77443682 | PA      | $3697161.36    | 0.01%             | 2052-03-15      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-9 Trust   | CUSIP: 93935WAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2900814 | PA      | $935808.26     | 0.00%             | 2036-10-25      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OC1 Trust | CUSIP: 93936FAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5858508 | PA      | $5102920.35    | 0.02%             | 2047-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2018-B8 Mortgage Trust                                                 | CUSIP: 08162UAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28394811 | PA      | $777597.57     | 0.00%             | 2052-01-15      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                      | CD 2017-CD6 Mortgage Trust                                                       | CUSIP: 125039AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5723000 | PA      | $4957116.09    | 0.02%             | 2050-11-13      | Variable      | 3.91%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-3 Trust   | CUSIP: 93936JAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2483465 | PA      | $2122958.10    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA5 Trust                                      | CUSIP: 949922AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24615304 | PA      | $20800741.95   | 0.06%             | 2037-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2020-L4                                           | CUSIP: 61770KAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  286978558 | PA      | $16660482.80   | 0.05%             | 2053-02-15      | Variable      | 1.07%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2020-L4                                           | CUSIP: 61770KBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24004000 | PA      | $18400489.44   | 0.06%             | 2053-02-15      | Fixed         | 3.08%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                  | CUSIP: 95000KBE4<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |  100320775 | PA      | $4256018.61    | 0.01%             | 2049-11-15      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2016-NXS6                                  | CUSIP: 95000KBH7<br>LEI: 549300CFP9NBBMZH1008 | Long             | ABS-MBS          | CORP              | US        |    2155000 | PA      | $1882820.91    | 0.01%             | 2049-11-15      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Residential Mor                    | Morgan Stanley Residential Mortgage Loan Trust 2020-RPL1                         | CUSIP: 61771HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23352114 | PA      | $22482021.17   | 0.07%             | 2060-10-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                            | Mosaic Solar Loan Trust 2018-1                                                   | CUSIP: 61946FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8416123 | PA      | $7778136.84    | 0.02%             | 2043-06-22      | Fixed         | 4.01%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2017-C41                                   | CUSIP: 95001ABJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8014000 | PA      | $6445139.29    | 0.02%             | 2050-11-15      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2017-RC1                                   | CUSIP: 95001FBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1758000 | PA      | $1513381.33    | 0.00%             | 2060-01-15      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                      | CD 2017-CD6 Mortgage Trust                                                       | CUSIP: 125039AK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5175000 | PA      | $4354461.83    | 0.01%             | 2050-11-13      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| CD Commercial Mortgage Trust                      | CD 2017-CD4 Mortgage Trust                                                       | CUSIP: 12515DAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   71736121 | PA      | $2845205.19    | 0.01%             | 2050-05-10      | Variable      | 1.23%                 | No            |                  2 | On Loan: No      |
| New Century Alternative Mortga                    | New Century Alternative Mortgage Loan Trust 2006-ALT2                            | CUSIP: 643529AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12318861 | PA      | $2602972.85    | 0.01%             | 2036-10-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan T                    | New Century Home Equity Loan Trust 2006-1                                        | CUSIP: 64352VQS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12500000 | PA      | $11047735.00   | 0.03%             | 2036-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2017-C42                                   | CUSIP: 95001GAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   49072901 | PA      | $1674293.78    | 0.01%             | 2050-12-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2017-C42                                   | CUSIP: 95001GAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1904000 | PA      | $1578472.36    | 0.00%             | 2050-12-15      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2018-C43                                   | CUSIP: 95001LAV4<br>LEI: 549300RVQJTKIK3XGD11 | Long             | ABS-MBS          | CORP              | US        |  145075652 | PA      | $3492812.38    | 0.01%             | 2051-03-15      | Variable      | 0.60%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2019-C51                                   | CUSIP: 95001VAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   48270266 | PA      | $2816787.22    | 0.01%             | 2052-06-15      | Variable      | 1.33%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                    | PMT Credit Risk Transfer Trust 2021-1R                                           | CUSIP: 69356UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   72357896 | PA      | $69384001.17   | 0.21%             | 2024-02-27      | Floating      | 7.29%                 | No            |                  2 | On Loan: No      |
| PR Mortgage Loan Trust                            | PR Mortgage Loan Trust 2014-1                                                    | CUSIP: 69358KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  128057136 | PA      | $115800531.44  | 0.36%             | 2049-10-25      | Variable      | 5.87%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2019-C51                                   | CUSIP: 95001VAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3193000 | PA      | $2650550.81    | 0.01%             | 2052-06-15      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2019-C50                                   | CUSIP: 95001XBF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  123252334 | PA      | $7681812.64    | 0.02%             | 2052-05-15      | Variable      | 1.41%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2019-C54                                   | CUSIP: 95001YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  142017272 | PA      | $6048061.18    | 0.02%             | 2052-12-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                    | PRET 2021-RN4 LLC                                                                | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   34202273 | PA      | $30084870.03   | 0.09%             | 2051-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag                    | PRPM 2021-2 LLC                                                                  | CUSIP: 69359UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   90463599 | PA      | $83720297.89   | 0.26%             | 2026-03-25      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag                    | PRPM 2021-2 LLC                                                                  | CUSIP: 69359UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7100000 | PA      | $6111914.30    | 0.02%             | 2026-03-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                              | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5439694 | PA      | $4678344.64    | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Prime Mortgage Trust                              | Prime Mortgage Trust 2006-DR1                                                    | CUSIP: 74159UAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2895660 | PA      | $2352611.51    | 0.01%             | 2035-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Primrose Schools                                  | Primrose Funding LLC                                                             | CUSIP: 74166YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12561500 | PA      | $11495877.81   | 0.04%             | 2049-07-30      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397SAZ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9711617 | PA      | $9353931.46    | 0.03%             | 2031-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397SB52<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1286043 | PA      | $1182746.24    | 0.00%             | 2041-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus                    | CFCRE Commercial Mortgage Trust 2016-C4                                          | CUSIP: 12531YAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   77544417 | PA      | $3065214.48    | 0.01%             | 2058-05-10      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus                    | CFCRE Commercial Mortgage Trust 2016-C4                                          | CUSIP: 12531YAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7155000 | PA      | $6409124.16    | 0.02%             | 2058-05-10      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR2 Trust                                             | CUSIP: 74333DAN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   62271000 | PA      | $52776247.96   | 0.16%             | 2038-04-19      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR5 Trust                                             | CUSIP: 74333FAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $5845327.60    | 0.02%             | 2038-07-17      | Fixed         | 2.21%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2009-RR4 Trust                                                          | CUSIP: 05531RAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2680899 | PA      | $1397759.04    | 0.00%             | 2036-02-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397SGL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1727022 | PA      | $1374728.16    | 0.00%             | 2041-04-25      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397SJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7367052 | PA      | $6758493.72    | 0.02%             | 2041-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fontainebleau Miami Beach Trus                    | Fontainebleau Miami Beach Trust 2019-FBLU                                        | CUSIP: 34461LAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6520000 | PA      | $5873736.95    | 0.02%             | 2036-12-10      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| Foundation Finance Trust                          | Foundation Finance Trust 2019-1                                                  | CUSIP: 35041JAA3<br>LEI: 5493002KPTN6JUQ40J20 | Long             | ABS-O            | CORP              | US        |    2241862 | PA      | $2195904.35    | 0.01%             | 2034-11-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| Franklin Park Place CLO I                         | Franklin Park Place CLO I LLC                                                    | CUSIP: 35455DAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   13000000 | PA      | $12534875.60   | 0.04%             | 2035-04-14      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit                     | Freddie Mac Multifamily Structured Credit Risk                                   | CUSIP: 35563FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1454617 | PA      | $1364040.71    | 0.00%             | 2051-01-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trus                    | CFCRE Commercial Mortgage Trust 2016-C6                                          | CUSIP: 12532ABC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4196885.00    | 0.01%             | 2049-11-10      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2006-J3                                          | CUSIP: 125433AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197308 | PA      | $189040.83     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Multifamily Structured Credit                     | Freddie Mac Multifamily Structured Credit Risk                                   | CUSIP: 35563FAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1250000 | PA      | $1121950.13    | 0.00%             | 2051-01-25      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2022-2                                | CUSIP: 35563PE47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   35000000 | PA      | $25526448.50   | 0.08%             | 2062-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2008-RR3 Trust                                                          | CUSIP: 05531VAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10241132 | PA      | $3103455.66    | 0.01%             | 2036-10-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2009-RR13-I Trust                                                       | CUSIP: 05532KAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1547090 | PA      | $878502.08     | 0.00%             | 2037-07-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR8 Trust                                             | CUSIP: 74333TAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23900000 | PA      | $19633596.66   | 0.06%             | 2038-10-17      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR8 Trust                                             | CUSIP: 74333TAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   19900000 | PA      | $16437007.97   | 0.05%             | 2038-10-17      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2020-2                                | CUSIP: 35563PQN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17622716 | PA      | $14531249.28   | 0.04%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Seasoned Credit Risk Transfer Trust Series 2020-2                                | CUSIP: 35563PQQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10000000 | PA      | $7044617.00    | 0.02%             | 2059-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-3                                           | CUSIP: 12543RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3587525 | PA      | $1943100.78    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-3                                           | CUSIP: 12543RAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1381683 | PA      | $748356.79     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                               | Freddie Mac STACR REMIC Trust 2022-DNA3                                          | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   75600000 | PA      | $74810448.72   | 0.23%             | 2042-04-25      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| Fremont Home Loan Trust                           | Fremont Home Loan Trust 2006-D                                                   | CUSIP: 35729VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  120329651 | PA      | $72030640.68   | 0.22%             | 2036-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   57818574 | PA      | $46533047.45   | 0.14%             | 2040-12-17      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12996982 | PA      | $10679825.44   | 0.03%             | 2040-12-17      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM2 Trust                                                             | CUSIP: 36166XAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7096000 | PA      | $4024389.96    | 0.01%             | 2066-05-25      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2021-NQM6 Trust                                                             | CUSIP: 36167KAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8405000 | PA      | $5323019.30    | 0.02%             | 2066-08-25      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2006-20                                          | CUSIP: 12544AAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1379156 | PA      | $723883.85     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-2                                           | CUSIP: 12544CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1348301 | PA      | $666137.84     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GCAT                                              | GCAT 2019-NQM3 Trust                                                             | CUSIP: 36167VAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2751000 | PA      | $2124803.07    | 0.01%             | 2059-11-25      | Variable      | 3.45%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 36179QYG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     615733 | PA      | $562024.07     | 0.00%             | 2045-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2010-RR6 Trust                                                          | CUSIP: 05533CDQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6540265 | PA      | $3117539.26    | 0.01%             | 2037-02-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS 2018-TALL Mortgage Trust                                                   | CUSIP: 05548WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5775000 | PA      | $3800093.80    | 0.01%             | 2037-03-15      | Floating      | 7.55%                 | No            |                  2 | On Loan: No      |
| Proper Pass-Thru Trust II                         | Prosper Pass-Thru Trust II Series 2019-St1                                       | CUSIP: 74360MAA8<br>LEI: 549300HCI5NYJ9JJET80 | Long             | ABS-O            | CORP              | US        |     908083 | PA      | $909878.58     | 0.00%             | 2025-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PureWest Funding LLC                              | Purewest Funding LLC                                                             | CUSIP: 746245AA7<br>LEI: 549300CU0IQI7FATI376 | Long             | ABS-O            | CORP              | US        |   33634417 | PA      | $31921409.10   | 0.10%             | 2036-12-22      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 36179WBY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11653140 | PA      | $10156878.39   | 0.03%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3617UPUF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10231544 | PA      | $8702350.85    | 0.03%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                     | CoreVest American Finance 2020-3 Trust                                           | CUSIP: 21873CAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9000000 | PA      | $6689327.40    | 0.02%             | 2053-08-15      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-HYB1                                        | CUSIP: 22239EAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9193033 | PA      | $7827050.21    | 0.02%             | 2037-03-25      | Variable      | 3.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3617URCY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2914654 | PA      | $2442278.92    | 0.01%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3617UVEG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9124833 | PA      | $7827910.35    | 0.02%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-19                                                   | CUSIP: 362244AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7392121 | PA      | $2083437.66    | 0.01%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3622AA2F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27449430 | PA      | $23560654.67   | 0.07%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS4 Trust                                                       | CUSIP: 749228AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1063281 | PA      | $915373.77     | 0.00%             | 2036-04-25      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS4 Trust                                                       | CUSIP: 749228AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4205512 | PA      | $3253555.71    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                               | BHMS 2018-ATLS                                                                   | CUSIP: 05549GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   54537000 | PA      | $52452361.35   | 0.16%             | 2035-07-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS Trust 2018-CBM                                                             | CUSIP: 05549RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   45454000 | PA      | $44233246.47   | 0.14%             | 2037-07-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust                                                          | CUSIP: 22541N3S6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     468859 | PA      | $454875.99     | 0.00%             | 2033-08-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                    | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 2254582H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3585874 | PA      | $1801782.09    | 0.01%             | 2035-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3622AA3J1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   94815927 | PA      | $79887316.94   | 0.25%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3622AA3V4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  135362555 | PA      | $114776822.41  | 0.35%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1949945 | PA      | $1576986.85    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS6 Trust                                                       | CUSIP: 74922EAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1344064 | PA      | $1086990.42    | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3622AAYF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   29376839 | PA      | $25200785.04   | 0.08%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3622AAZK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45418342 | PA      | $37044820.97   | 0.11%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS Trust 2018-CBM                                                             | CUSIP: 05549RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15385000 | PA      | $14331604.44   | 0.04%             | 2037-07-15      | Floating      | 7.87%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                     | BAMLL Commercial Mortgage Securities Trust 2020-BOC                              | CUSIP: 05551JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   35435000 | PA      | $28171076.59   | 0.09%             | 2032-01-15      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3622AAZP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13406358 | PA      | $10950816.75   | 0.03%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3622ABC83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30971521 | PA      | $26414853.32   | 0.08%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     820479 | PA      | $625304.65     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust 2006-1                                        | CUSIP: 759950GY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5378046 | PA      | $2569420.64    | 0.01%             | 2036-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3622ABEK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   14811305 | PA      | $12634208.97   | 0.04%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3622ABEL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   33683355 | PA      | $28641375.51   | 0.09%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch                     | BAMLL Commercial Mortgage Securities Trust 2020-BOC                              | CUSIP: 05551JAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7505000 | PA      | $5653259.83    | 0.02%             | 2032-01-15      | Variable      | 3.18%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS 2017-DELC Mortgage Trust                                                   | CUSIP: 05552EAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6010000 | PA      | $5857651.91    | 0.02%             | 2036-08-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3622ABFV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   13976449 | PA      | $11884222.04   | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-15                                                   | CUSIP: 3622E8AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10961769 | PA      | $3136442.87    | 0.01%             | 2036-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor A                    | Research-Driven Pagaya Motor Asset Trust IV                                      | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   40576827 | PA      | $35725352.40   | 0.11%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                    | RAMP Series 2004-RS7 Trust                                                       | CUSIP: 7609857K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1620065 | PA      | $1474830.81    | 0.00%             | 2034-07-25      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1687154 | PA      | $516684.96     | 0.00%             | 2036-11-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-18                                                   | CUSIP: 3622ELAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3932865 | PA      | $1008378.64    | 0.00%             | 2036-11-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg                    | DBJPM 16-C1 Mortgage Trust                                                       | CUSIP: 23312LAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  104949583 | PA      | $3514331.22    | 0.01%             | 2049-05-10      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                        | DOLP Trust 2021-NYC                                                              | CUSIP: 23345LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5750000 | PA      | $3675510.40    | 0.01%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS 2017-DELC Mortgage Trust                                                   | CUSIP: 05552EAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6743000 | PA      | $6556566.16    | 0.02%             | 2036-08-15      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS 2017-DELC Mortgage Trust                                                   | CUSIP: 05552EAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23585000 | PA      | $22909990.22   | 0.07%             | 2036-08-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QA3 Trust                                                       | CUSIP: 76110H2G3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6159022 | PA      | $2495527.36    | 0.01%             | 2035-03-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS5 Trust                                                       | CUSIP: 76110H2Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     617329 | PA      | $494378.38     | 0.00%             | 2035-04-25      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2007-1F                                                  | CUSIP: 3622MPAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215074 | PA      | $410961.29     | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2007-OA1                                                 | CUSIP: 3622NAAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   42215561 | PA      | $23552627.32   | 0.07%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | BBCMS 2017-DELC Mortgage Trust                                                   | CUSIP: 05552EAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13209000 | PA      | $12715583.09   | 0.04%             | 2036-08-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| BNC Mortgage Loan Trust                           | BNC Mortgage Loan Trust 2006-2                                                   | CUSIP: 055683AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8065942 | PA      | $7790965.93    | 0.02%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities C                    | RASC Series 2005-KS4 Trust                                                       | CUSIP: 76110WV29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3860296 | PA      | $3613342.42    | 0.01%             | 2035-05-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS12 Trust                                                      | CUSIP: 761118DY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202153 | PA      | $184072.55     | 0.00%             | 2035-08-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381EDN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  186831798 | PA      | $13684438.97   | 0.04%             | 2062-05-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381EF45<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  424142617 | PA      | $25521212.64   | 0.08%             | 2064-01-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                        | DOLP Trust 2021-NYC                                                              | CUSIP: 23345LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11475000 | PA      | $7107371.73    | 0.02%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                               | DataBank Issuer                                                                  | CUSIP: 23802WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   39300000 | PA      | $34112553.27   | 0.11%             | 2051-02-27      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381EJK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   53498738 | PA      | $3893552.58    | 0.01%             | 2063-01-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381EP36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   95244282 | PA      | $5310230.62    | 0.02%             | 2063-10-16      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| BNC Mortgage Loan Trust                           | BNC Mortgage Loan Trust 2007-1                                                   | CUSIP: 05569GAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6148130 | PA      | $5671673.45    | 0.02%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| BNC Mortgage Loan Trust                           | BNC Mortgage Loan Trust 2007-4                                                   | CUSIP: 05570GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5949500 | PA      | $4916113.14    | 0.02%             | 2037-11-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118GX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     788483 | PA      | $634436.09     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118HA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1623739 | PA      | $1282104.74    | 0.00%             | 2035-09-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381EQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   67822193 | PA      | $4222792.88    | 0.01%             | 2064-03-16      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381ERF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   75951645 | PA      | $4974847.95    | 0.02%             | 2063-10-16      | Variable      | 0.78%                 | No            |                  2 | On Loan: No      |
| BNPP Mortgage Securities LLC                      | BNPP Mortgage Securities LLC 2009-1 Trust                                        | CUSIP: 05570WAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24137424 | PA      | $12964845.37   | 0.04%             | 2037-08-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BSPRT Issuer, Ltd.                                | BSPRT 2021-FL6 Issuer Ltd                                                        | CUSIP: 05601HAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    9834000 | PA      | $9583223.17    | 0.03%             | 2036-03-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS13 Trust                                                      | CUSIP: 761118HB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6657329 | PA      | $218831.06     | 0.00%             | 2035-09-25      | Floating      | 0.66%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2007-A5                                   | CUSIP: 76114HAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5860164 | PA      | $481813.33     | 0.00%             | 2037-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381ERY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  117228956 | PA      | $6562840.39    | 0.02%             | 2061-12-01      | Variable      | 0.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381ET24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   80260936 | PA      | $4599537.55    | 0.01%             | 2064-06-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-D Trust                                             | CUSIP: 058933AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4218329 | PA      | $3312371.72    | 0.01%             | 2036-05-20      | Variable      | 2.89%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2007-2                                    | CUSIP: 059475AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     468731 | PA      | $382142.72     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-4                                                | CUSIP: 92538HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4588000 | PA      | $2461731.32    | 0.01%             | 2066-07-25      | Variable      | 3.05%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-4                                                | CUSIP: 92538HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2300000 | PA      | $1220128.84    | 0.00%             | 2066-07-25      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381EWB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   93922691 | PA      | $6625813.80    | 0.02%             | 2063-09-16      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381EXD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  148068405 | PA      | $9145060.05    | 0.03%             | 2064-03-16      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381EZJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  125128777 | PA      | $7385788.61    | 0.02%             | 2063-12-16      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381HDL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  128668165 | PA      | $6569925.15    | 0.02%             | 2063-10-16      | Variable      | 0.53%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2006-6                                    | CUSIP: 059487AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1190036 | PA      | $993981.28     | 0.00%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2006-2                                    | CUSIP: 05948K2V0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1768240 | PA      | $1551042.58    | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-5                                                | CUSIP: 92538KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9255000 | PA      | $5067261.51    | 0.02%             | 2066-09-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-5                                                | CUSIP: 92538KAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6651000 | PA      | $3463729.06    | 0.01%             | 2066-09-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382GQP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19565551 | PA      | $2236207.43    | 0.01%             | 2050-07-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382JWN2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42263254 | PA      | $5434864.33    | 0.02%             | 2050-09-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382JXJ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  163836392 | PA      | $20349659.53   | 0.06%             | 2050-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382KWC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   36006191 | PA      | $4580693.24    | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2005-10                                   | CUSIP: 05948KS42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     469227 | PA      | $372804.48     | 0.00%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2005-11                                   | CUSIP: 05948KV55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2370125 | PA      | $2105690.53    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382L2G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   45195010 | PA      | $6954544.81    | 0.02%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LCX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   86435474 | PA      | $11181318.91   | 0.03%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2006-8                                    | CUSIP: 06050AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1620552 | PA      | $132990.15     | 0.00%             | 2036-11-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2006-8                                    | CUSIP: 06050AAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     577555 | PA      | $454072.18     | 0.00%             | 2036-11-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136B9MX2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  520441641 | PA      | $29345206.00   | 0.09%             | 2031-09-25      | Variable      | 1.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEVF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12500000 | PA      | $9732900.38    | 0.03%             | 2036-12-01      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LKY6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   41849806 | PA      | $5407099.52    | 0.02%             | 2050-11-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LL66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52503889 | PA      | $6850413.45    | 0.02%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mor                    | Banc of America Commercial Mortgage Trust 2015-UBS7                              | CUSIP: 06054AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   46449421 | PA      | $763990.78     | 0.00%             | 2048-09-15      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mor                    | Banc of America Commercial Mortgage Trust 2015-UBS7                              | CUSIP: 06054ABC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3633078.80    | 0.01%             | 2048-09-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                               | DataBank Issuer                                                                  | CUSIP: 23802WAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   31000000 | PA      | $26903046.20   | 0.08%             | 2051-10-25      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| DataBank Issuer LLC                               | DataBank Issuer                                                                  | CUSIP: 23802WAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3350000 | PA      | $2865382.97    | 0.01%             | 2051-10-25      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382TEA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12822618 | PA      | $1971908.37    | 0.01%             | 2051-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382XAF2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   68494477 | PA      | $10136100.44   | 0.03%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Commercial Mor                    | Bank of America Merrill Lynch Commercial Mortgage Trust 2016-UBS10               | CUSIP: 06054MAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2121000 | PA      | $1904003.67    | 0.01%             | 2049-07-15      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2018-BNK10                                                                  | CUSIP: 065404BF1<br>LEI: 549300GL0Y86051URC66 | Long             | ABS-MBS          | CORP              | US        |  145412090 | PA      | $4139460.51    | 0.01%             | 2061-02-15      | Variable      | 0.69%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2019-L3                                           | CUSIP: 61691UBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3845000 | PA      | $3291355.76    | 0.01%             | 2052-11-15      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2019-PLND                                         | CUSIP: 61691XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1315000 | PA      | $1234155.12    | 0.00%             | 2036-05-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA3                    | CUSIP: 25150WAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15993791 | PA      | $13812164.36   | 0.04%             | 2047-07-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-4                  | CUSIP: 251510FW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8178942 | PA      | $7064064.96    | 0.02%             | 2035-09-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK16                                                                  | CUSIP: 065405AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   91464461 | PA      | $3900319.00    | 0.01%             | 2052-02-15      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK20                                                                  | CUSIP: 06540AAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1099000 | PA      | $931429.21     | 0.00%             | 2062-09-15      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2019-PLND                                         | CUSIP: 61691XAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6002000 | PA      | $5192144.74    | 0.02%             | 2036-05-15      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2019-NUGS                                         | CUSIP: 61692AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3355000 | PA      | $2651509.17    | 0.01%             | 2036-12-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510HR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267454 | PA      | $373111.55     | 0.00%             | 2035-11-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10554614 | PA      | $9231331.60    | 0.03%             | 2036-10-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2019-BNK21                                                                  | CUSIP: 06540BBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3701826.00    | 0.01%             | 2052-10-17      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| BANK 2021-BN35                                    | BANK 2021-BNK35                                                                  | CUSIP: 06540CBM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  112743000 | PA      | $4560555.82    | 0.01%             | 2064-06-15      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     751889 | PA      | $657491.67     | 0.00%             | 2036-10-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513AW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1097378 | PA      | $958293.90     | 0.00%             | 2036-10-25      | Variable      | 5.90%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2020-HR8                                          | CUSIP: 61692BCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $1633590.86    | 0.01%             | 2053-07-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2021-L6                                           | CUSIP: 61692CBX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10779000 | PA      | $7745731.19    | 0.02%             | 2054-06-15      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-B Securities Mortgage Loan Trust Series 2006-AB4                    | CUSIP: 251513BC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2169255 | PA      | $1892147.38    | 0.01%             | 2036-10-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                     | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2838325 | PA      | $2590948.87    | 0.01%             | 2036-04-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley Capital I Inc Trust 2006-NC2                                      | CUSIP: 617451EG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13128594 | PA      | $11270500.19   | 0.03%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley IXIS Real Estat                    | Morgan Stanley IXIS Real Estate Capital Trust 2006-2                             | CUSIP: 617463AP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5185082 | PA      | $1811654.08    | 0.01%             | 2036-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                     | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     331467 | PA      | $296864.00     | 0.00%             | 2036-04-15      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                     | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2909945 | PA      | $2549985.89    | 0.01%             | 2036-04-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-3                                                | CUSIP: 92539LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6100000 | PA      | $3782342.82    | 0.01%             | 2066-06-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| Vibrant CLO Ltd                                   | Vibrant Clo X Ltd                                                                | CUSIP: 92558KAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   60500000 | PA      | $59401289.75   | 0.18%             | 2031-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                     | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GBH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   48202378 | PA      | $42159525.24   | 0.13%             | 2036-04-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| Diamond Issuer LLC                                | Diamond Issuer                                                                   | CUSIP: 25267TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6000000 | PA      | $4903719.00    | 0.02%             | 2051-11-20      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Bank                                              | BANK 2017-BNK4                                                                   | CUSIP: 06541FBF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3554000 | PA      | $3048923.65    | 0.01%             | 2050-05-15      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B18 Mortgage Trust                                                | CUSIP: 08163ABM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13462000 | PA      | $11462571.26   | 0.04%             | 2053-07-15      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| VIVINT SOLAR FINANCING LLC                        | Vivint Solar Financing V LLC                                                     | CUSIP: 92854VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17158948 | PA      | $15242082.20   | 0.05%             | 2048-04-30      | Fixed         | 4.73%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B18 Mortgage Trust                                                | CUSIP: 08163ABP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2432000 | PA      | $1993107.17    | 0.01%             | 2053-07-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B22 Mortgage Trust                                                | CUSIP: 08163BBF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   70880681 | PA      | $6150352.17    | 0.02%             | 2054-01-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                          | Dividend Solar Loans 2019-1 LLC                                                  | CUSIP: 255388AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18552195 | PA      | $16839230.37   | 0.05%             | 2039-08-22      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2016-P3                                      | CUSIP: 29429CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   92352173 | PA      | $3527659.06    | 0.01%             | 2049-04-15      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398MX35<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     720358 | PA      | $24271.45      | 0.00%             | 2040-04-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398NC93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6885545 | PA      | $267367.77     | 0.00%             | 2040-10-25      | Floating      | 0.11%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B24 Mortgage Trust                                                | CUSIP: 08163CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  232812293 | PA      | $14219290.16   | 0.04%             | 2054-03-15      | Variable      | 1.15%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B28 Mortgage Trust                                                | CUSIP: 08163GAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  121643247 | PA      | $8597793.38    | 0.03%             | 2054-08-15      | Variable      | 1.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LP6P2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19967523 | PA      | $17150173.22   | 0.05%             | 2051-06-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140Q75Y9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8418852 | PA      | $7811848.39    | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398NQ56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     257343 | PA      | $7311.78       | 0.00%             | 2040-10-25      | Floating      | 0.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398NQL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1027116 | PA      | $957390.53     | 0.00%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AlphaFlow Transitional Mortgag                    | AlphaFlow Transitional Mortgage Trust 2021-WL1                                   | CUSIP: 02079YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17341606 | PA      | $16577472.37   | 0.05%             | 2026-01-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-16CB                                                 | CUSIP: 021460AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2761934 | PA      | $1652592.04    | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2021-B28 Mortgage Trust                                                | CUSIP: 08163GBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   59609000 | PA      | $3737448.53    | 0.01%             | 2054-08-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                               | CUSIP: 3132HT3B0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5687939 | PA      | $5144640.24    | 0.02%             | 2044-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398NRP1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     775456 | PA      | $723072.63     | 0.00%             | 2040-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398NWB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     730925 | PA      | $72473.97      | 0.00%             | 2050-10-25      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137H2A53<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27771637 | PA      | $360842.43     | 0.00%             | 2051-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137H3RY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12502109 | PA      | $10797542.89   | 0.03%             | 2041-07-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-15CB                                                 | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27824093 | PA      | $13956239.41   | 0.04%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-36T2                                                 | CUSIP: 02146XAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7743365 | PA      | $3534385.96    | 0.01%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398P6F1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3797621 | PA      | $3468700.81    | 0.01%             | 2040-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417BYJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6647167 | PA      | $6443116.05    | 0.02%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                               | CUSIP: 3132HTCE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    6669651 | PA      | $6086737.62    | 0.02%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136ALK42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     981286 | PA      | $972177.45     | 0.00%             | 2041-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-36T2                                                 | CUSIP: 02146XAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     625027 | PA      | $285287.58     | 0.00%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-7T2                                                  | CUSIP: 02147BAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1341688 | PA      | $632169.07     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QB3X4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4545603 | PA      | $3968650.36    | 0.01%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QBKL1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6391606 | PA      | $6009697.26    | 0.02%             | 2034-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136ALPL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24564366 | PA      | $21341639.04   | 0.07%             | 2044-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136ALRD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43514455 | PA      | $37459500.97   | 0.12%             | 2044-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417C6S9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3236445 | PA      | $2926832.45    | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417CR98<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8986411 | PA      | $8458601.22    | 0.03%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137H3X23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   45397825 | PA      | $1647736.77    | 0.01%             | 2050-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137H4N55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25685612 | PA      | $14405585.28   | 0.04%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417DTL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   34549168 | PA      | $31471794.83   | 0.10%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417EXF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12747205 | PA      | $11401821.41   | 0.04%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AMUK3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15262517 | PA      | $13231173.81   | 0.04%             | 2045-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AMXK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6580707 | PA      | $6305922.98    | 0.02%             | 2034-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-18CB                                                 | CUSIP: 02147FAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     725462 | PA      | $328676.70     | 0.00%             | 2036-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-18CB                                                 | CUSIP: 02147FAX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     725462 | PA      | $60873.90      | 0.00%             | 2036-07-25      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397SVV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1664763 | PA      | $1615941.19    | 0.00%             | 2026-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418VWV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     223911 | PA      | $226948.67     | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417FK80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5986438 | PA      | $5634293.95    | 0.02%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417FPE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9148499 | PA      | $8587706.65    | 0.03%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2682474 | PA      | $1615540.16    | 0.00%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     374914 | PA      | $521037.45     | 0.00%             | 2036-10-25      | Floating      | 17.62%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AN7C5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22429792 | PA      | $20844245.69   | 0.06%             | 2044-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136ANGR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7742654 | PA      | $7592899.08    | 0.02%             | 2042-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417FU55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10926569 | PA      | $9822874.90    | 0.03%             | 2038-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417FZY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4689349 | PA      | $4413827.26    | 0.01%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fieldstone Mortgage Investment                    | Fieldstone Mortgage Investment Trust Series 2007-1                               | CUSIP: 31659YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3471493 | PA      | $2457465.47    | 0.01%             | 2047-04-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| First American Government Obli                    | First American Government Obligations Fund                                       | CUSIP: 31846V211<br>LEI: 549300R5MYM6VZF1RM44 | Long             | STIV             | RF                | US        |   38868901 | NS      | $38868900.68   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-29T1                                                 | CUSIP: 02147PBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229643 | PA      | $256393.73     | 0.00%             | 2036-10-25      | Floating      | 14.35%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3531184 | PA      | $1798663.17    | 0.01%             | 2036-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136ANX85<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5520228 | PA      | $5196350.71    | 0.02%             | 2044-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136APGX4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10433511 | PA      | $8928350.42    | 0.03%             | 2045-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417GAW6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9142560 | PA      | $8220057.35    | 0.03%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417GN36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4388934 | PA      | $4120171.13    | 0.01%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                     | First Franklin Mortgage Loan Trust 2006-FF9                                      | CUSIP: 320276AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4000000 | PA      | $3511306.00    | 0.01%             | 2036-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                     | First Franklin Mortgage Loan Trust 2006-FF8                                      | CUSIP: 320278AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7485652 | PA      | $6926791.34    | 0.02%             | 2036-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-19CB                                                 | CUSIP: 02147QAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4788497 | PA      | $442879.48     | 0.00%             | 2036-08-25      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-40T1                                                 | CUSIP: 02148KAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2232471 | PA      | $131189.17     | 0.00%             | 2037-01-25      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417GNY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22935888 | PA      | $21529833.83   | 0.07%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417Y7J0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1193127 | PA      | $1103057.30    | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QFBD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41517612 | PA      | $35391201.42   | 0.11%             | 2050-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QFQZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13147552 | PA      | $11578331.13   | 0.04%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                     | First Franklin Mortgage Loan Trust Series 2007-FF2                               | CUSIP: 32029GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18551440 | PA      | $10732124.98   | 0.03%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset                     | First Franklin Mortgage Loan Trust Series 2007-FF2                               | CUSIP: 32029GAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22201466 | PA      | $11276293.12   | 0.03%             | 2037-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-40T1                                                 | CUSIP: 02148KAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1311624 | PA      | $909718.09     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-HY2                                                  | CUSIP: 02148LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21064977 | PA      | $17953877.90   | 0.06%             | 2047-03-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AE95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13421039 | PA      | $13009079.82   | 0.04%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AEM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2020040 | PA      | $1828327.26    | 0.01%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QFUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22859617 | PA      | $20131197.14   | 0.06%             | 2040-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QKF78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17761642 | PA      | $15628245.71   | 0.05%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-42                                                   | CUSIP: 02148YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3635612 | PA      | $1535392.24    | 0.00%             | 2047-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-42                                                   | CUSIP: 02148YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3635612 | PA      | $453794.50     | 0.00%             | 2047-01-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2006-AA3                     | CUSIP: 320516AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1235547 | PA      | $988422.73     | 0.00%             | 2036-06-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2006-FA2                     | CUSIP: 32051G2Z7<br>LEI: 549300C1T80OPZQ1IW57 | Long             | ABS-MBS          | CORP              | US        |    1255943 | PA      | $573382.58     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QLZN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3752055 | PA      | $2952871.26    | 0.01%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QP2Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   62199122 | PA      | $60159258.82   | 0.19%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-42                                                   | CUSIP: 02148YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2421128 | PA      | $1462647.24    | 0.00%             | 2047-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                        | BFLD 2019-DPLO                                                                   | CUSIP: 054970AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     672000 | PA      | $654177.89     | 0.00%             | 2034-10-15      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AF29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29462803 | PA      | $28558275.51   | 0.09%             | 2032-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AFJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1164333 | PA      | $1053975.92    | 0.00%             | 2042-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2006-FA1                     | CUSIP: 32051GS63<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |    6506629 | PA      | $3162015.64    | 0.01%             | 2036-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2006-FA1                     | CUSIP: 32051GT70<br>LEI: 5493005TE20WPW8O1W08 | Long             | ABS-MBS          | CORP              | US        |    1939023 | PA      | $979131.15     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X4DE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   49924936 | PA      | $44585404.53   | 0.14%             | 2047-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X8KE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52085749 | PA      | $44399898.56   | 0.14%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC Trust 2007-AA2                                                          | CUSIP: 05530NAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2072532 | PA      | $1079386.25    | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2006-8                                                  | CUSIP: 07387QAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3258479 | PA      | $2314668.95    | 0.01%             | 2046-08-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2005-FA8                     | CUSIP: 32051GYJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3481630 | PA      | $1849115.23    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2006-RE1                     | CUSIP: 32051RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2992111 | PA      | $2084719.14    | 0.01%             | 2035-05-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410LMN9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5626398 | PA      | $5125775.59    | 0.02%             | 2043-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412PNV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     353851 | PA      | $356135.81     | 0.00%             | 2039-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AG36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29304523 | PA      | $26525542.51   | 0.08%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AGC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2013546 | PA      | $1863314.46    | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mort                    | First Horizon Alternative Mortgage Securities Trust 2006-FA8                     | CUSIP: 32052DAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1961812 | PA      | $846911.62     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FirstKey Homes 2020-SFR1 Trust                    | FirstKey Homes 2020-SFR1 Trust                                                   | CUSIP: 33767MAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9000000 | PA      | $8049295.80    | 0.02%             | 2037-08-17      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2006-AC1                            | CUSIP: 07387UCE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7970151 | PA      | $4201035.38    | 0.01%             | 2036-02-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2007-HE6                            | CUSIP: 07387YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12902593 | PA      | $11546968.91   | 0.04%             | 2037-08-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AGR3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18006044 | PA      | $17142879.71   | 0.05%             | 2032-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418BMN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14415198 | PA      | $13794983.00   | 0.04%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $6652687.20    | 0.02%             | 2038-09-17      | Fixed         | 2.06%                 | No            |                  2 | On Loan: No      |
| Firstkey Homes Trust                              | FirstKey Homes 2021-SFR2 Trust                                                   | CUSIP: 33767TAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8000000 | PA      | $6648153.60    | 0.02%             | 2038-09-17      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31414SYM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      75330 | PA      | $76954.56      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417BWS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4657017 | PA      | $4514166.51    | 0.01%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418BMQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11107064 | PA      | $10057789.76   | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418BQA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11161899 | PA      | $9898975.11    | 0.03%             | 2045-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                               | DBGS 2018-5BP Mortgage Trust                                                     | CUSIP: 33830CAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7447000 | PA      | $6610762.22    | 0.02%             | 2033-06-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2007-10                                                   | CUSIP: 3622NDAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3983251 | PA      | $2464640.83    | 0.01%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417BZH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4156723 | PA      | $3842861.88    | 0.01%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AHN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32553314 | PA      | $29466946.47   | 0.09%             | 2042-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418BQM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36252392 | PA      | $33671800.21   | 0.10%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418BQY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15832439 | PA      | $14039489.85   | 0.04%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                    | Bear Stearns ARM Trust 2007-1                                                    | CUSIP: 073880AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3044405 | PA      | $2646454.30    | 0.01%             | 2047-02-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                    | Bear Stearns ARM Trust 2007-1                                                    | CUSIP: 073880AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     914975 | PA      | $859691.25     | 0.00%             | 2047-02-25      | Variable      | 3.31%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AHQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12725565 | PA      | $12334814.54   | 0.04%             | 2032-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9342208 | PA      | $8456151.13    | 0.03%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2007-3 Trust                                             | CUSIP: 059515AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     689210 | PA      | $607150.73     | 0.00%             | 2037-04-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2007-1 Trust                                             | CUSIP: 05951FAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     509238 | PA      | $441999.37     | 0.00%             | 2037-01-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11950000 | PA      | $10376266.26   | 0.03%             | 2031-07-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                     | GS Mortgage-Backed Securities Trust 2020-RPL2                                    | CUSIP: 36263GBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   31830484 | PA      | $29354836.41   | 0.09%             | 2060-05-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418APY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9168685 | PA      | $8629464.86    | 0.03%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418ARX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21897895 | PA      | $20609743.74   | 0.06%             | 2033-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-7 Trust                                             | CUSIP: 05951KBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     525100 | PA      | $458777.10     | 0.00%             | 2036-10-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-7 Trust                                             | CUSIP: 05951KBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2474960 | PA      | $2169258.81    | 0.01%             | 2036-10-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2020-GSA2                                           | CUSIP: 36264KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   55898384 | PA      | $5184183.85    | 0.02%             | 2053-12-12      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2007-4F                                                  | CUSIP: 362669BM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12679043 | PA      | $8890835.48    | 0.03%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418CAM6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19269196 | PA      | $17086615.73   | 0.05%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418CBM5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1828411 | PA      | $1621302.32    | 0.01%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418ATR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38250998 | PA      | $35906243.36   | 0.11%             | 2033-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AUQ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4878232 | PA      | $4579167.74    | 0.01%             | 2033-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006 8T2 Trust                                           | CUSIP: 05951UAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     643961 | PA      | $553963.53     | 0.00%             | 2036-10-25      | Variable      | 6.10%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur                    | Banc of America Mortgage 2007-3 Trust                                            | CUSIP: 05954CAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3479327 | PA      | $2933503.65    | 0.01%             | 2037-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2021-1HTL                                      | CUSIP: 36266AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   56900000 | PA      | $56143116.20   | 0.17%             | 2023-10-15      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-5F                                                  | CUSIP: 36297XAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17212125 | PA      | $8477379.40    | 0.03%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418CDL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43289591 | PA      | $38912620.27   | 0.12%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418CEF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13908647 | PA      | $12502343.33   | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2009-R14 Trust                                           | CUSIP: 05955MAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     853819 | PA      | $774350.60     | 0.00%             | 2035-06-26      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2009-R15 Trust                                           | CUSIP: 05955PAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1145087 | PA      | $946962.54     | 0.00%             | 2036-12-26      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate M                    | Bear Stearns ARM Trust 2006-4                                                    | CUSIP: 073882AK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2484282 | PA      | $2039574.13    | 0.01%             | 2046-10-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities Trust 2007-SD1                              | CUSIP: 07389QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1140350 | PA      | $624547.51     | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-7F                                                  | CUSIP: 36298NAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3711684 | PA      | $1360457.56    | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GE-WMC Mortgage Securities LLC                    | GE-WMC Mortgage Securities Trust 2006-1                                          | CUSIP: 36829JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32889370 | PA      | $14783709.12   | 0.05%             | 2036-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136B9NC7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18544956 | PA      | $845167.83     | 0.00%             | 2028-01-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BFJ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15596670 | PA      | $13311653.49   | 0.04%             | 2043-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418CGD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17506866 | PA      | $15666320.11   | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DKG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2479565 | PA      | $2402371.40    | 0.01%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities Trust 2007-SD1                              | CUSIP: 07389QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1288446 | PA      | $699027.03     | 0.00%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities Trust 2007-SD1                              | CUSIP: 07389QAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1612051 | PA      | $1165877.18    | 0.00%             | 2036-10-25      | Variable      | 3.47%                 | No            |                  2 | On Loan: No      |
| Global SC Finance SRL                             | Global SC Finance VII Srl                                                        | CUSIP: 37959PAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CN        |   25016858 | PA      | $22200314.77   | 0.07%             | 2040-10-17      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374BXU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5217748 | PA      | $229814.15     | 0.00%             | 2033-08-20      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BFPE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19363571 | PA      | $16570939.40   | 0.05%             | 2049-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BG5E7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   90972619 | PA      | $3374829.45    | 0.01%             | 2049-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AQJ43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3142710 | PA      | $2813666.59    | 0.01%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AQZR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6175487 | PA      | $5949129.76    | 0.02%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382XRU1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   34893841 | PA      | $5342896.11    | 0.02%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382XZQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   69222917 | PA      | $1313525.62    | 0.00%             | 2051-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374CK26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2148448 | PA      | $2148545.60    | 0.01%             | 2033-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374JVV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2394864 | PA      | $122834.72     | 0.00%             | 2034-10-20      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BLDC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   83323640 | PA      | $46460778.36   | 0.14%             | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BLFB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   82246342 | PA      | $45697523.13   | 0.14%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MSILF Government Portfolio                        | MSILF Government Portfolio                                                       | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   38868534 | NS      | $38868533.82   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2006-16AX                                     | CUSIP: 617487AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6849043 | PA      | $2126323.89    | 0.01%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AQZU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44388478 | PA      | $41810994.65   | 0.13%             | 2044-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AREC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   13991173 | PA      | $13169938.53   | 0.04%             | 2046-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A2                                                 | CUSIP: 46630PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     656558 | PA      | $485392.14     | 0.00%             | 2037-04-25      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-S1                                                 | CUSIP: 46630RAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6178560 | PA      | $2787636.67    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31377U3F8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16419227 | PA      | $15580152.72   | 0.05%             | 2030-08-01      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A1HC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3182583 | PA      | $121055.28     | 0.00%             | 2032-08-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2005-10                                       | CUSIP: 61748HRS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     677539 | PA      | $435048.48     | 0.00%             | 2035-12-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2005-10                                       | CUSIP: 61748HRX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1697548 | PA      | $1215206.69    | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383A3Z5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   91535791 | PA      | $13795487.17   | 0.04%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383AA20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40061958 | PA      | $5047085.64    | 0.02%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-A3                                                 | CUSIP: 46630UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2577414 | PA      | $2296525.56    | 0.01%             | 2037-05-25      | Variable      | 3.28%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Trust 2007-CH3                                    | CUSIP: 46630XAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9690000 | PA      | $8077020.04    | 0.02%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2007-HE2                            | CUSIP: 07389YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3317032 | PA      | $3272499.89    | 0.01%             | 2037-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Mortgage Funding                     | Bear Stearns Mortgage Funding Trust 2006-AR3                                     | CUSIP: 07400HAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6629150 | PA      | $5714649.67    | 0.02%             | 2036-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418B4F0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15304231 | PA      | $13852205.52   | 0.04%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418B5K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16757663 | PA      | $14859529.19   | 0.05%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136ASUJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28539891 | PA      | $26670051.59   | 0.08%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AT5V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7179482 | PA      | $6939819.84    | 0.02%             | 2044-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2005-10                                       | CUSIP: 61748HSE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1978623 | PA      | $1780256.37    | 0.01%             | 2035-12-25      | Variable      | 5.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2006-2                                        | CUSIP: 61748HVK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1875286 | PA      | $1655752.41    | 0.01%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XCDV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   69933608 | PA      | $60163025.70   | 0.19%             | 2051-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XCGN2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52147601 | PA      | $49704270.00   | 0.15%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NBL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4016403 | PA      | $2259873.79    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NCR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1703822 | PA      | $700869.93     | 0.00%             | 2037-08-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383AE67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30491851 | PA      | $4706627.65    | 0.01%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO Ltd                                  | GREYWOLF CLO VI Ltd                                                              | CUSIP: 39809GAA3<br>LEI: 5493006V5AX99BBCEZ73 | Long             | ABS-CBDO         | CORP              | US        |   58370000 | PA      | $57277611.29   | 0.18%             | 2031-04-26      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2020-B17 Mortgage Trust                                                | CUSIP: 08162MAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   75312131 | PA      | $4580303.04    | 0.01%             | 2053-03-15      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-HY1                                         | CUSIP: 12544EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4030987 | PA      | $3570132.42    | 0.01%             | 2037-04-25      | Variable      | 2.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136ATE42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2798628 | PA      | $2727984.35    | 0.01%             | 2044-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136ATH64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19601385 | PA      | $17695434.46   | 0.05%             | 2046-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                    | PMT Credit Risk Transfer Trust 2019-3R                                           | CUSIP: 69349MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9763702 | PA      | $9374344.11    | 0.03%             | 2031-11-27      | Floating      | 8.09%                 | No            |                  2 | On Loan: No      |
| PPM CLO LTD                                       | PPM CLO 2018-1 Ltd                                                               | CUSIP: 69355DAA5<br>LEI: 549300NI5BL19ELU5U14 | Long             | ABS-CBDO         | CORP              | US        |   28000000 | PA      | $27385769.60   | 0.08%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3703315 | PA      | $2055838.37    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NEA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4221445 | PA      | $2343516.25    | 0.01%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                    | Greystone CRE Notes 2019-FL2 Ltd                                                 | CUSIP: 39809LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   25725000 | PA      | $24791954.25   | 0.08%             | 2037-09-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                    | Greystone CRE Notes 2019-FL2 Ltd                                                 | CUSIP: 39809LAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   14873000 | PA      | $14389419.28   | 0.04%             | 2037-09-15      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XDPG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10995256 | PA      | $9004639.97    | 0.03%             | 2051-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XDRL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31768704 | PA      | $26189726.35   | 0.08%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418B5L6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15408847 | PA      | $13946966.02   | 0.04%             | 2046-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418B6K7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5237857 | PA      | $4644566.49    | 0.01%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS5 Trust                                                       | CUSIP: 75114TAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2634889 | PA      | $2110837.00    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS5 Trust                                                       | CUSIP: 75114TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7852960 | PA      | $6291088.26    | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20                 | CUSIP: 46631QAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     801509 | PA      | $1.20          | 0.00%             | 2051-02-12      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                 | Jamestown CLO XII Ltd                                                            | CUSIP: 47047JAC8<br>LEI: 254900TDIR3OOT3N8P57 | Long             | ABS-CBDO         | CORP              | US        |    4500000 | PA      | $4367005.20    | 0.01%             | 2032-04-20      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| Greystone Commercial Real Esta                    | Greystone CRE Notes 2021-FL3 Ltd                                                 | CUSIP: 39809PAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    6083000 | PA      | $5616269.66    | 0.02%             | 2039-07-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                | HERO Funding Trust 2016-4A                                                       | CUSIP: 40417QAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6146025 | PA      | $5870186.11    | 0.02%             | 2047-09-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136B1M27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44638226 | PA      | $33828423.20   | 0.10%             | 2048-05-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136B1Q72<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15362880 | PA      | $13917661.25   | 0.04%             | 2048-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XEB45<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  151400330 | PA      | $138295880.23  | 0.43%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XEC77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   88359396 | PA      | $81211199.50   | 0.25%             | 2051-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418BG42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24258089 | PA      | $23273168.77   | 0.07%             | 2034-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418BK47<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5476060 | PA      | $4958747.45    | 0.02%             | 2044-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                 | Jamestown CLO VI-R Ltd                                                           | CUSIP: 47047LAA7<br>LEI: 254900G01W2J355PT310 | Long             | ABS-CBDO         | CORP              | US        |   55820051 | PA      | $54812359.37   | 0.17%             | 2030-04-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                 | Jamestown CLO VI-R Ltd                                                           | CUSIP: 47047LAC3<br>LEI: 254900G01W2J355PT310 | Long             | ABS-CBDO         | CORP              | US        |    5000000 | PA      | $4860635.00    | 0.02%             | 2030-04-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-18                                          | CUSIP: 12544JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     427810 | PA      | $239603.92     | 0.00%             | 2037-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-7                                           | CUSIP: 12544TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4462625 | PA      | $2474377.80    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XFAK7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37476127 | PA      | $34195154.20   | 0.11%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XGT66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60203440 | PA      | $55276576.31   | 0.17%             | 2050-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corpo                    | HSI Asset Securitization Corp Trust 2007-NC1                                     | CUSIP: 40430TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14442652 | PA      | $10018785.67   | 0.03%             | 2037-04-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corpo                    | HSI Asset Securitization Corp Trust 2007-NC1                                     | CUSIP: 40430TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   62613527 | PA      | $43558032.83   | 0.13%             | 2037-04-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418BL95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4349707 | PA      | $3937153.69    | 0.01%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DYC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   99602048 | PA      | $84719460.76   | 0.26%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Jamestown CLO Ltd                                 | Jamestown CLO XI Ltd                                                             | CUSIP: 47049QAC0<br>LEI: 549300ICXRO4NIJIWJ29 | Long             | ABS-CBDO         | CORP              | US        |    6000000 | PA      | $5754419.40    | 0.02%             | 2031-07-14      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| Jersey Mike's Funding, LLC                        | Jersey Mike's Funding                                                            | CUSIP: 476681AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5508375 | PA      | $4967230.04    | 0.02%             | 2050-02-15      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136B5B46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  206702649 | PA      | $13096638.52   | 0.04%             | 2031-07-25      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BGVC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6399926 | PA      | $3824927.85    | 0.01%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XH2W6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17647731 | PA      | $17068963.96   | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410GKG7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     105408 | PA      | $107746.43     | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COLT Funding LLC                                  | COLT 2021-HX1 Mortgage Loan Trust                                                | CUSIP: 19688KAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4130000 | PA      | $2515328.59    | 0.01%             | 2066-10-25      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| COMM Mortgage Trust                               | COMM 2018-HCLV Mortgage Trust                                                    | CUSIP: 20048KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18570000 | PA      | $17456178.83   | 0.05%             | 2033-09-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation                         | HSI Asset Loan Obligation Trust 2007-WF1                                         | CUSIP: 40431KAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13996426 | PA      | $4720864.19    | 0.01%             | 2036-12-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| HSI Asset Loan Obligation                         | HSI Asset Loan Obligation Trust 2007-2                                           | CUSIP: 40432BAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18928073 | PA      | $6794456.94    | 0.02%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DZE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   52940122 | PA      | $41663868.91   | 0.13%             | 2051-05-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EDE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   54928098 | PA      | $49954860.11   | 0.15%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Jimmy John's Funding LLC                          | Jimmy Johns Funding LLC                                                          | CUSIP: 47760QAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20898000 | PA      | $19269700.98   | 0.06%             | 2047-07-30      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                    | JPMDB Commercial Mortgage Securities Trust 2019-COR6                             | CUSIP: 48129RAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13604000 | PA      | $11377173.48   | 0.04%             | 2052-11-13      | Variable      | 3.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410GTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     648676 | PA      | $663043.01     | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                    | Long Beach Mortgage Loan Trust 2006-5                                            | CUSIP: 54251PAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15658029 | PA      | $7851975.32    | 0.02%             | 2036-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST                     | Commonbond Student Loan Trust 2016-A                                             | CUSIP: 20267TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2697365 | PA      | $2539603.76    | 0.01%             | 2040-05-25      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| CORE 2019-CORE MORTGAGE TRUST                     | CORE 2019-CORE Mortgage Trust                                                    | CUSIP: 21871FAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1425600 | PA      | $1278113.27    | 0.00%             | 2031-12-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| JPMorgan US Government Money M                    | JPMorgan US Government Money Market Fund                                         | CUSIP: 4812C2270<br>LEI: 549300NQ5E5B7ZV4T516 | Long             | STIV             | RF                | US        |   38868534 | NS      | $38868533.82   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| KKR Industrial Portfolio Trust                    | KKR Industrial Portfolio Trust 2021-KDIP                                         | CUSIP: 48254CAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7875000 | PA      | $7283752.88    | 0.02%             | 2037-12-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| MASTR Resecuritization Trust                      | Mastr Resecuritization Trust 2008-1                                              | CUSIP: 55292EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13668725 | PA      | $10218717.24   | 0.03%             | 2037-09-27      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| MASTR Resecuritization Trust                      | Mastr Resecuritization Trust 2008-4                                              | CUSIP: 55292FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7252486 | PA      | $5734543.39    | 0.02%             | 2036-06-27      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Highbridge Loan Management Ltd                    | Highbridge Loan Management 7-2015 Ltd                                            | CUSIP: 40437RAD1<br>LEI: 254900IU43NDZ7HEB142 | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $9836655.00    | 0.03%             | 2027-03-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2006-4                                            | CUSIP: 41161PP98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5597272 | PA      | $2768282.92    | 0.01%             | 2046-05-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BGXT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32174998 | PA      | $451000.17     | 0.00%             | 2051-09-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136BHB32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  934687242 | PA      | $41014730.47   | 0.13%             | 2031-10-25      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                    | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225458Y77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2501082 | PA      | $2122077.63    | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2005-1R                                                              | CUSIP: 22546MAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     807181 | PA      | $585305.80     | 0.00%             | 2035-12-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MKT 2020-525M Mortgage Trust                      | MKT 2020-525M Mortgage Trust                                                     | CUSIP: 55316PAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $544535.60     | 0.00%             | 2040-02-12      | Variable      | 2.94%                 | No            |                  2 | On Loan: No      |
| MSCG Trust                                        | MSCG Trust 2018-SELF                                                             | CUSIP: 55358PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1060091 | PA      | $990792.29     | 0.00%             | 2037-10-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-8                                            | CUSIP: 41161PQS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21799857 | PA      | $11362113.64   | 0.04%             | 2035-09-19      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-8                                            | CUSIP: 41161PRN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   41966611 | PA      | $20821314.16   | 0.06%             | 2035-09-19      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                    | Adjustable Rate Mortgage Trust 2006-1                                            | CUSIP: 225470A94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11551011 | PA      | $6954094.54    | 0.02%             | 2036-03-25      | Variable      | 4.23%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                    | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470EF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2046562 | PA      | $1537916.11    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136BHNT2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11278928 | PA      | $9820618.74    | 0.03%             | 2033-05-25      | Variable      | 2.13%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136BK6Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  714381965 | PA      | $18946909.93   | 0.06%             | 2032-01-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MEF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     850892 | PA      | $668912.39     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-6                                                     | CUSIP: 52520NAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6084073 | PA      | $4242340.37    | 0.01%             | 2036-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO                                  | Marble Point CLO XXII Ltd                                                        | CUSIP: 56606GAA2<br>LEI: 549300MZC31PBFF01E87 | Long             | ABS-CBDO         | CORP              | US        |   55000000 | PA      | $52846612.50   | 0.16%             | 2034-07-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2016-C34                                   | CUSIP: 95000DBJ9<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-MBS          | CORP              | US        |    4250000 | PA      | $3675061.70    | 0.01%             | 2049-06-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-14                                           | CUSIP: 41161PWU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     293512 | PA      | $275268.88     | 0.00%             | 2035-12-19      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Harbourview CLO VII Ltd                           | Harbourview CLO VII-R                                                            | CUSIP: 41165TAC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   28916429 | PA      | $28280906.17   | 0.09%             | 2031-07-18      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                    | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10                    | CUSIP: 225470EG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     430820 | PA      | $323744.80     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-3                                                | CUSIP: 225470P98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1150801 | PA      | $835945.21     | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BLEL0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   56603263 | PA      | $31559217.14   | 0.10%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEVT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18199000 | PA      | $13854997.88   | 0.04%             | 2037-01-01      | Fixed         | 2.36%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Tru                    | MASTR Asset Securitization Trust 2006-1                                          | CUSIP: 57643MMA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1668643 | PA      | $1147817.62    | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities                     | Mastr Asset Backed Securities Trust 2006-AM2                                     | CUSIP: 57645FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6794600 | PA      | $6074302.89    | 0.02%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2016-C34                                   | CUSIP: 95000DBK6<br>LEI: 549300FWFHJGIW2B2U59 | Long             | ABS-MBS          | CORP              | US        |    5888000 | PA      | $4874161.77    | 0.02%             | 2049-06-15      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2016-C35                                   | CUSIP: 95000FAY2<br>LEI: 549300MZIB10PDVAE312 | Long             | ABS-MBS          | CORP              | US        |    2390000 | PA      | $2010775.12    | 0.01%             | 2048-07-15      | Fixed         | 3.44%                 | No            |                  2 | On Loan: No      |
| HERO Funding Trust                                | HERO Funding Trust 2016-3                                                        | CUSIP: 42770XAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2300814 | PA      | $2169528.21    | 0.01%             | 2042-09-20      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| Hilton USA Trust                                  | Hilton USA Trust 2016-SFP                                                        | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5692000 | PA      | $5414127.94    | 0.02%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note                    | Merrill Lynch Alternative Note Asset Trust Series 2007-OAR5                      | CUSIP: 590227AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29098372 | PA      | $9825487.16    | 0.03%             | 2047-10-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2007-HE3                           | CUSIP: 590238AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8799135 | PA      | $3922655.34    | 0.01%             | 2047-04-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2004-7                                                   | CUSIP: 437084FT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     202351 | PA      | $202051.23     | 0.00%             | 2035-01-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back                    | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-D                 | CUSIP: 43709LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8528139 | PA      | $6834893.78    | 0.02%             | 2036-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2019-C53                                   | CUSIP: 95002BAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3798121.00    | 0.01%             | 2052-10-15      | Variable      | 3.58%                 | No            |                  2 | On Loan: No      |
| Zephyrus Capital Aviation Part                    | Zephyrus Capital Aviation Partners 2018-1 Ltd                                    | CUSIP: 98944PAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10227043 | PA      | $8389928.36    | 0.03%             | 2038-10-15      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEX28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   43878000 | PA      | $35154560.85   | 0.11%             | 2032-01-01      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEXB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20000000 | PA      | $16427293.60   | 0.05%             | 2031-12-01      | Fixed         | 1.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I 2017-HR2                                                | CUSIP: 61691NAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4661000 | PA      | $3957251.92    | 0.01%             | 2050-12-15      | Variable      | 4.34%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2006-7                                        | CUSIP: 61749JAJ5<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |    1620586 | PA      | $903607.08     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                    | Home Partners of America 2019-2 Trust                                            | CUSIP: 43732TAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3926217 | PA      | $3274632.21    | 0.01%             | 2039-10-19      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust                           | HomeBanc Mortgage Trust 2005-1                                                   | CUSIP: 43739EAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     415490 | PA      | $338918.29     | 0.00%             | 2035-03-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-3                                                | CUSIP: 225470Q22<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     695689 | PA      | $505350.26     | 0.00%             | 2036-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                    | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225470RW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5675069 | PA      | $4854375.56    | 0.01%             | 2036-01-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| CANON 2021-0001                                   | CANON 2021-0001                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | LON              | CORP              | US        |   15000000 | PA      | $14925000.00   | 0.05%             | 2023-11-05      | Floating      | 3.65%                 | No            |                  3 | On Loan: No      |
| Banc of America Alternative Lo                    | Banc of America Alternative Loan Trust 2006-9                                    | CUSIP: 059494AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2810811 | PA      | $2398857.90    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                  | Great Wolf Trust 2019-WOLF                                                       | CUSIP: 39152TAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   68881000 | PA      | $65321615.65   | 0.20%             | 2036-12-15      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| HalseyPoint CLO I, Ltd.                           | Halsey Point CLO I Ltd                                                           | CUSIP: 406375AC9<br>LEI: 549300POBLM5RW6LD816 | Long             | ABS-CBDO         | CORP              | US        |   13000000 | PA      | $12700794.60   | 0.04%             | 2033-01-20      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEXE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   33675000 | PA      | $27789703.76   | 0.09%             | 2032-01-01      | Fixed         | 2.03%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEY27<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   60975000 | PA      | $49141244.56   | 0.15%             | 2032-02-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2006-11                                       | CUSIP: 61749WAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6813880 | PA      | $3207097.14    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2006-HQ10                                         | CUSIP: 61750HAL0<br>LEI: 549300T7A7LUR8384661 | Long             | ABS-MBS          | CORP              | US        |   15706011 | PA      | $111343.05     | 0.00%             | 2041-11-12      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S6 Trust                                                       | CUSIP: 762009BB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1339355 | PA      | $992216.91     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                   | SEB Funding LLC                                                                  | CUSIP: 78433DAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17705625 | PA      | $15036507.34   | 0.05%             | 2052-01-30      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-2 Trust                                             | CUSIP: 05949QBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2429274 | PA      | $2123602.53    | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-2 Trust                                             | CUSIP: 05949QBG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75246 | PA      | $71798.06      | 0.00%             | 2036-03-25      | Floating      | 9.63%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2006-8                                            | CUSIP: 41161GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   58399621 | PA      | $30239055.11   | 0.09%             | 2036-07-21      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2006-BU1                                          | CUSIP: 41161PG56<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7361064 | PA      | $6134829.66    | 0.02%             | 2046-02-19      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                    | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 225470SA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9670250 | PA      | $1566302.93    | 0.00%             | 2036-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust Series 2006-1                                         | CUSIP: 225470UQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11281289 | PA      | $3798081.60    | 0.01%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2006-HE7                                  | CUSIP: 61750MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17178185 | PA      | $7768478.59    | 0.02%             | 2036-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2006-HE7                                  | CUSIP: 61750MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   22794897 | PA      | $10322860.71   | 0.03%             | 2036-09-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                         | Stonepeak 2021-1 ABS                                                             | CUSIP: 78433XAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4694204 | PA      | $4104011.02    | 0.01%             | 2033-02-28      | Fixed         | 2.67%                 | No            |                  2 | On Loan: No      |
| SHENTON AIRCRAFT INVESTMENT LT                    | Shenton Aircraft Investment I Ltd                                                | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | CN        |   21328644 | PA      | $16181018.78   | 0.05%             | 2042-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-2 Trust                                             | CUSIP: 05949QBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     181458 | PA      | $171224.41     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur                    | Banc of America Mortgage 2006-1 Trust                                            | CUSIP: 05949YAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1339341 | PA      | $1112490.78    | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2005-2                                            | CUSIP: 41161PLQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5236442 | PA      | $1793245.34    | 0.01%             | 2035-05-19      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Trust 2006-HE3                                    | CUSIP: 46629VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11036125 | PA      | $9794099.25    | 0.03%             | 2036-11-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEY43<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19170000 | PA      | $14936733.76   | 0.05%             | 2034-01-01      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEY76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30761000 | PA      | $24498986.31   | 0.08%             | 2032-01-01      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2006-17XS                                     | CUSIP: 61751DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5333460 | PA      | $1632307.98    | 0.01%             | 2046-10-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2006-17XS                                     | CUSIP: 61751DAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1825526 | PA      | $455663.06     | 0.00%             | 2046-10-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust Series 2006-2                                         | CUSIP: 225470YX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2345148 | PA      | $806453.37     | 0.00%             | 2036-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-OA21                                                 | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   31094874 | PA      | $24689634.29   | 0.08%             | 2047-03-20      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                     | Sierra Timeshare 2021-2 Receivables Funding LLC                                  | CUSIP: 82652RAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2951293 | PA      | $2693086.57    | 0.01%             | 2038-09-20      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Project Silver                                    | Project Silver                                                                   | CUSIP: 827304AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CN        |   30500248 | PA      | $24201489.60   | 0.07%             | 2044-07-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Home Equity Loa                    | Morgan Stanley Home Equity Loan Trust 2007-1                                     | CUSIP: 61751QAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26255659 | PA      | $13368307.56   | 0.04%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2007-1XS                                      | CUSIP: 61752JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1982180 | PA      | $570156.39     | 0.00%             | 2046-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $9345567.48    | 0.03%             | 2034-01-01      | Fixed         | 2.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEYC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51025000 | PA      | $40516984.47   | 0.13%             | 2032-01-01      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg                    | DBJPM 20-C9 Mortgage Trust                                                       | CUSIP: 233063AW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   59750657 | PA      | $4155347.47    | 0.01%             | 2053-09-15      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-A Securities Inc Mortgage Loan Trust Series 2005-5                  | CUSIP: 251510HU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     510775 | PA      | $245796.73     | 0.00%             | 2035-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume                    | Sofi Alternative Trust 2021-1                                                    | CUSIP: 83406GAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   16784457 | PA      | $16504374.32   | 0.05%             | 2030-05-25      | Variable      | 9.72%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume                    | SOFI Alternative Trust                                                           | CUSIP: 83407Q107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     950000 | PA      | $28266905.15   | 0.09%             | 2030-11-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-H Trust                                             | CUSIP: 05950PAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130576 | PA      | $108289.31     | 0.00%             | 2046-09-20      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| Banc of America Funding Corpor                    | Banc of America Funding 2006-H Trust                                             | CUSIP: 05950PAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   46622892 | PA      | $18101025.32   | 0.06%             | 2036-10-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAB8<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |     315661 | PA      | $293988.93     | 0.00%             | 2047-01-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAJ1<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |    5374857 | PA      | $2071565.15    | 0.01%             | 2047-01-25      | Variable      | 6.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEYR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27608641 | PA      | $20273132.26   | 0.06%             | 2039-01-01      | Fixed         | 2.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEZ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21800000 | PA      | $15925379.82   | 0.05%             | 2037-01-01      | Fixed         | 2.14%                 | No            |                  2 | On Loan: No      |
| Deutsche Alt-A Securities INC                     | Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-2                      | CUSIP: 25152BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13379849 | PA      | $11311005.49   | 0.03%             | 2047-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                     | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4673269 | PA      | $4242117.19    | 0.01%             | 2036-04-15      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18                 | CUSIP: 46629YAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5961730 | PA      | $163.35        | 0.00%             | 2047-06-12      | Variable      | 0.85%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Trust 2006-WMC4                                   | CUSIP: 46630BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4458223 | PA      | $2685696.84    | 0.01%             | 2036-12-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Secur                    | Banc of America Mortgage 2007-1 Trust                                            | CUSIP: 05952HBR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160804 | PA      | $130483.22     | 0.00%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3593712 | PA      | $2341795.53    | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2007-3XS                                      | CUSIP: 61752RAK8<br>LEI: 549300SRGEL7X4RBPX12 | Long             | ABS-MBS          | CORP              | US        |    3143784 | PA      | $1211402.02    | 0.00%             | 2047-01-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE4                                  | CUSIP: 61753VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5949294 | PA      | $2677370.10    | 0.01%             | 2037-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEZZ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18664681 | PA      | $15535434.68   | 0.05%             | 2032-01-01      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LFA20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   51688000 | PA      | $41560285.84   | 0.13%             | 2032-01-01      | Fixed         | 2.02%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RBU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     635997 | PA      | $292100.20     | 0.00%             | 2036-10-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RCN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6753591 | PA      | $4198707.40    | 0.01%             | 2037-06-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage Securities,                     | Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1             | CUSIP: 25157GAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1741735 | PA      | $1604325.59    | 0.00%             | 2036-04-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Deutsche Mortgage and Asset Re                    | Deutsche Mortgage & Asset Receiving Corp                                         | CUSIP: 25160HAK1<br>LEI: 529900JBPP7HAVCM8C23 | Long             | ABS-MBS          | CORP              | US        |    4007929 | PA      | $3645518.52    | 0.01%             | 2036-10-27      | Floating      | 4.42%                 | No            |                  3 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2007-13                                       | CUSIP: 61756HBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2874170 | PA      | $1691083.73    | 0.01%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                      | Morgan Stanley Re-REMIC Trust 2010-R5                                            | CUSIP: 61759HBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4252696 | PA      | $3647410.88    | 0.01%             | 2036-06-26      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust 2006-5                                                           | CUSIP: 525221JT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6883360 | PA      | $5950172.42    | 0.02%             | 2036-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust 2006-5                                                           | CUSIP: 525221JY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41940 | PA      | $53496.68      | 0.00%             | 2036-04-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LFHN7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41850000 | PA      | $33409872.79   | 0.10%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LFHP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24500000 | PA      | $19558945.84   | 0.06%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380CC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1452747 | PA      | $1239468.46    | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380CD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     236027 | PA      | $292716.87     | 0.00%             | 2036-11-25      | Floating      | 15.80%                | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS8 Trust                                                       | CUSIP: 75115AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3776362 | PA      | $2960078.85    | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS11 Trust                                                      | CUSIP: 75115EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4839124 | PA      | $3835867.04    | 0.01%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SoFi Alternative Trust Consume                    | SOFI Alternative Trust                                                           | CUSIP: 83407QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   64060463 | PA      | $60509719.65   | 0.19%             | 2030-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited                     | Lunar 2021-1 Structured Aircraft Portfolio Notes                                 | CUSIP: 83438LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | MC        |    1142579 | PA      | $913488.44     | 0.00%             | 2046-10-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                      | Morgan Stanley Reremic Trust                                                     | CUSIP: 61761NAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7679950 | PA      | $6450816.28    | 0.02%             | 2036-08-26      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2020-RPL1                                    | CUSIP: 64828XAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16345550 | PA      | $12292294.93   | 0.04%             | 2059-11-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LFQD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20155000 | PA      | $17046902.49   | 0.05%             | 2032-04-01      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LHL73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24762678 | PA      | $23233398.15   | 0.07%             | 2032-10-01      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2006-GP3                                                  | CUSIP: 525228AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8452140 | PA      | $7561568.18    | 0.02%             | 2046-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-10                                                    | CUSIP: 52522QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6006718 | PA      | $2013632.76    | 0.01%             | 2038-01-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QH5 Trust                                                       | CUSIP: 75116EAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24988482 | PA      | $9981916.48    | 0.03%             | 2037-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS9 Trust                                                       | CUSIP: 75116FBH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14268127 | PA      | $11425503.90   | 0.04%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO IX Ltd                                                           | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | US        |   26500000 | PA      | $26001323.00   | 0.08%             | 2032-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sounds Point CLO IV-R LTD                                                        | CUSIP: 83609YAC0<br>LEI: 549300HOEGQTNS4MTZ12 | Long             | ABS-CBDO         | CORP              | US        |   25000000 | PA      | $24522250.00   | 0.08%             | 2031-04-18      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LHVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  139849000 | PA      | $135981256.34  | 0.42%             | 2032-12-01      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LJEB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   41050000 | PA      | $42329810.92   | 0.13%             | 2032-12-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2008-2                                                     | CUSIP: 52522UAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3268147 | PA      | $1145932.94    | 0.00%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust 2006-17                                                          | CUSIP: 52523KAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        886 | PA      | $140474.96     | 0.00%             | 2046-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                           | New York Mortgage Trust 2005-2                                                   | CUSIP: 649603AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     243381 | PA      | $214969.39     | 0.00%             | 2035-08-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Inc                       | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-AF1               | CUSIP: 65535AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15245307 | PA      | $3844046.19    | 0.01%             | 2036-10-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                    | RAMP Series 2006-RS6 Trust                                                       | CUSIP: 75156QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12806831 | PA      | $10739330.99   | 0.03%             | 2036-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Residential Asset Mortgage Pro                    | RAMP Series 2006-RS3 Trust                                                       | CUSIP: 75156VAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13129178 | PA      | $11864071.47   | 0.04%             | 2036-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point Clo XX Ltd                                                           | CUSIP: 83611JAE5<br>LEI: 549300RTEBF0FW35D815 | Long             | ABS-CBDO         | CORP              | US        |   18000000 | PA      | $16454705.40   | 0.05%             | 2031-07-26      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point CLO XXVII Ltd                                                        | CUSIP: 83611VAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   25250000 | PA      | $24529458.43   | 0.08%             | 2034-10-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X7ZM4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26420712 | PA      | $22576725.23   | 0.07%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X8H67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   47554639 | PA      | $40932264.40   | 0.13%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust 2007-1                                                           | CUSIP: 525241AF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5710787 | PA      | $5928182.83    | 0.02%             | 2037-02-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2007-12N                                                  | CUSIP: 52524YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10189703 | PA      | $9577482.33    | 0.03%             | 2047-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Raptor Aircraft Finance LLC                       | Raptor Aircraft Finance I LLC                                                    | CUSIP: 75383HAA9<br>LEI: 549300QFYP8PTWJMXQ65 | Long             | ABS-O            | CORP              | US        |   14344611 | PA      | $10419194.07   | 0.03%             | 2044-08-23      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| REDWOOD FUNDING TRUST 2019-1                      | Redwood Funding Trust 2019-1                                                     | CUSIP: 75806BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57188944 | PA      | $55930210.10   | 0.17%             | 2024-09-27      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2007-2                                                | CUSIP: 126384AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27639 | PA      | $21425.64      | 0.00%             | 2037-03-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2007-3                                                | CUSIP: 12638PBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5172094 | PA      | $2037856.62    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                    | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2005-AP1              | CUSIP: 65535VHH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28879 | PA      | $27486.89      | 0.00%             | 2035-02-25      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                    | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AP1              | CUSIP: 65535VSJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14424919 | PA      | $4448669.46    | 0.01%             | 2036-01-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2016-P4                                      | CUSIP: 29429EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   52865480 | PA      | $2580083.88    | 0.01%             | 2049-07-10      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398MZ66<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     708674 | PA      | $34887.66      | 0.00%             | 2040-04-25      | Floating      | 0.54%                 | No            |                  2 | On Loan: No      |
| Regatta Funding                                   | Regatta XI Funding Ltd                                                           | CUSIP: 75887XAC1<br>LEI: 254900TUAAER6MTE4E64 | Long             | ABS-CBDO         | CORP              | US        |    2500000 | PA      | $2422827.00    | 0.01%             | 2031-07-17      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| Regatta XIV Funding Ltd                           | Regatta XIV Funding Ltd                                                          | CUSIP: 75888MAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   20000000 | PA      | $19640836.00   | 0.06%             | 2031-10-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                    | Soundview Home Loan Trust 2007-OPT3                                              | CUSIP: 83612KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6226897 | PA      | $5351457.80    | 0.02%             | 2037-08-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                    | Soundview Home Loan Trust 2007-WMC1                                              | CUSIP: 83612NAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   43017881 | PA      | $33347474.62   | 0.10%             | 2037-02-25      | Floating      | 3.88%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X8N78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29386665 | PA      | $25038162.30   | 0.08%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X8WL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36964545 | PA      | $30263747.85   | 0.09%             | 2050-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| LoanCore 2019-CRE2 Issuer, Ltd                    | LoanCore 2019-CRE2 Issuer Ltd                                                    | CUSIP: 53946JAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   39407923 | PA      | $38490072.67   | 0.12%             | 2036-05-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| LoanCore 2019-CRE2 Issuer, Ltd                    | LoanCore 2019-CRE2 Issuer Ltd                                                    | CUSIP: 53946JAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12625000 | PA      | $12285501.13   | 0.04%             | 2036-05-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM1                                                                   | CUSIP: 126407AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7469850 | PA      | $4777036.30    | 0.01%             | 2065-05-25      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2009-1R                                                              | CUSIP: 12640XAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24883 | PA      | $24874.16      | 0.00%             | 2035-07-20      | Variable      | 3.19%                 | No            |                  2 | On Loan: No      |
| Falko Regional Aircraft Ltd                       | Regional 2021-1 Ltd                                                              | CUSIP: 75903HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |   39449005 | PA      | $34314243.24   | 0.11%             | 2041-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust                                               | CUSIP: 759676AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2062139 | PA      | $901290.14     | 0.00%             | 2036-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                    | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AP1              | CUSIP: 65535VSK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2438115 | PA      | $751645.01     | 0.00%             | 2036-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                    | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1              | CUSIP: 65536PAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2653565 | PA      | $599695.35     | 0.00%             | 2036-05-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398N4N1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     785753 | PA      | $731274.95     | 0.00%             | 2040-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398PKX6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     213761 | PA      | $8382.03       | 0.00%             | 2040-04-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                    | Soundview Home Loan Trust 2007-NS1                                               | CUSIP: 83612QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11174023 | PA      | $9914589.84    | 0.03%             | 2037-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                    | Soundview Home Loan Trust 2007-OPT1                                              | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3477034 | PA      | $2490672.54    | 0.01%             | 2037-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Loanpal Solar Loan Ltd.                           | Loanpal Solar Loan 2021-1 Ltd                                                    | CUSIP: 53948PAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1618308 | PA      | $1205659.98    | 0.00%             | 2048-01-20      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                    | Long Beach Mortgage Loan Trust 2006-WL1                                          | CUSIP: 542514QX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11639107 | PA      | $10135019.82   | 0.03%             | 2046-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust 2006-4                                        | CUSIP: 75970HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10257172 | PA      | $3458509.25    | 0.01%             | 2037-01-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust 2006-4                                        | CUSIP: 75970HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20198460 | PA      | $7073032.08    | 0.02%             | 2037-01-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12642JDE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8303241 | PA      | $2542262.78    | 0.01%             | 2037-09-26      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12642MAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5788284 | PA      | $3342203.29    | 0.01%             | 2036-06-27      | Fixed         | 6.00%                 | No            |                  3 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust                                               | CUSIP: 75970JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8192822 | PA      | $2533315.55    | 0.01%             | 2037-04-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust                                               | CUSIP: 75970JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3486895 | PA      | $1036199.78    | 0.00%             | 2037-04-25      | Variable      | 5.51%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-NET                                                                    | CUSIP: 126438AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32384445 | PA      | $28970113.75   | 0.09%             | 2037-08-15      | Fixed         | 2.26%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-NET                                                                    | CUSIP: 126438AC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  142322564 | PA      | $3924146.21    | 0.01%             | 2037-08-15      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                    | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-WF1              | CUSIP: 65537BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1165926 | PA      | $332014.27     | 0.00%             | 2036-06-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| Nomura Home Equity Loan Inc                       | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2007-1                 | CUSIP: 65537KAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2619598 | PA      | $757941.41     | 0.00%             | 2037-02-25      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Resid                    | Specialty Underwriting & Residential Finance Trust Series 2006-BC2               | CUSIP: 84751PLM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3961580 | PA      | $1582555.15    | 0.00%             | 2037-02-25      | Variable      | 3.59%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                              | Steele Creek CLO 2014-1 Ltd                                                      | CUSIP: 85816WAC8<br>LEI: 549300ZMV389HVGL0K94 | Long             | ABS-CBDO         | CORP              | US        |   15058825 | PA      | $14781697.65   | 0.05%             | 2031-04-21      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                    | Long Beach Mortgage Loan Trust 2006-2                                            | CUSIP: 542514TU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13698013 | PA      | $5066396.33    | 0.02%             | 2046-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                    | Long Beach Mortgage Loan Trust 2006-3                                            | CUSIP: 542514UK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   48407900 | PA      | $16372302.14   | 0.05%             | 2046-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust                                               | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5072268 | PA      | $1533867.08    | 0.00%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust                                               | CUSIP: 75970JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2781357 | PA      | $862797.26     | 0.00%             | 2037-04-25      | Variable      | 5.76%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2020-NET                                                                    | CUSIP: 126438AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3894000 | PA      | $3516393.37    | 0.01%             | 2037-08-15      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2010-4R                                                              | CUSIP: 12643NEG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7257533 | PA      | $6349737.94    | 0.02%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| Nomura Home Equity Loan Inc                       | Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2007-1                 | CUSIP: 65537KAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13056681 | PA      | $3778454.66    | 0.01%             | 2037-02-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust                     | Nomura Resecuritization Trust 2014-1R                                            | CUSIP: 65540ECP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2880139 | PA      | $2220282.78    | 0.01%             | 2036-08-26      | Variable      | 6.65%                 | No            |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                    | Long Beach Mortgage Loan Trust 2006-3                                            | CUSIP: 542514UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4934625 | PA      | $1669405.70    | 0.01%             | 2046-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust   | CUSIP: 93936HAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7542416 | PA      | $6046347.92    | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398PLB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     117024 | PA      | $2828.75       | 0.00%             | 2040-04-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398PTX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     556954 | PA      | $39959.11      | 0.00%             | 2040-05-25      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust                                               | CUSIP: 75970JAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8232817 | PA      | $2617783.02    | 0.01%             | 2037-04-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust 2007-2                                        | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17696892 | PA      | $5460597.31    | 0.02%             | 2037-06-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                              | Steele Creek CLO 2019-1 LTD                                                      | CUSIP: 85817BAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   10000000 | PA      | $9496460.00    | 0.03%             | 2032-04-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp Trust 2005-5                                    | CUSIP: 863576AK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8618574 | PA      | $4911473.56    | 0.02%             | 2035-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2010-4R                                                              | CUSIP: 12643NMK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3583222 | PA      | $3143032.17    | 0.01%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2010-7R                                                              | CUSIP: 12643RBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8861467 | PA      | $5053922.29    | 0.02%             | 2037-01-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust                     | Nomura Resecuritization Trust 2014-2R                                            | CUSIP: 65540FBS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4587510 | PA      | $3911597.70    | 0.01%             | 2036-07-26      | Variable      | 4.13%                 | No            |                  2 | On Loan: No      |
| Nomura Resecuritization Trust                     | Nomura Resecuritization Trust 2015-4R                                            | CUSIP: 65540WCD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7155856 | PA      | $5371986.89    | 0.02%             | 2036-03-26      | Floating      | 2.22%                 | No            |                  3 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust                                               | CUSIP: 75971EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17385181 | PA      | $6509623.87    | 0.02%             | 2036-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan T                    | Renaissance Home Equity Loan Trust                                               | CUSIP: 75971EAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2933947 | PA      | $1198113.89    | 0.00%             | 2036-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398QG35<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     409081 | PA      | $29527.57      | 0.00%             | 2040-05-15      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398QH59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8301375 | PA      | $8447891.39    | 0.03%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-3 Trust   | CUSIP: 93936JAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3426719 | PA      | $2929017.51    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-4 Trust   | CUSIP: 93936NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2409004 | PA      | $2196549.96    | 0.01%             | 2037-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                   | Renew 2017-2                                                                     | CUSIP: 75973KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7614709 | PA      | $6694433.65    | 0.02%             | 2053-09-22      | Fixed         | 3.22%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS16 Trust                                                      | CUSIP: 761118MB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1486718 | PA      | $41336.86      | 0.00%             | 2035-11-25      | Floating      | 0.41%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                    | Structured Adjustable Rate Mortgage Loan Trust                                   | CUSIP: 863579AZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98208 | PA      | $97701.61      | 0.00%             | 2034-09-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                    | Upgrade Master Pass-Thru Trust Series 2021-PT4                                   | CUSIP: 91533CAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4394518 | PA      | $4180759.60    | 0.01%             | 2027-08-15      | Variable      | 11.57%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2010-13R                                                             | CUSIP: 12644TAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1618776 | PA      | $1334457.92    | 0.00%             | 2035-12-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Series 2010-17R                                                             | CUSIP: 12645BDA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23722185 | PA      | $22405034.49   | 0.07%             | 2037-06-26      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| Northwoods Capital Ltd                            | Northwoods Capital XI-B Ltd                                                      | CUSIP: 66860JAA6<br>LEI: 5493005SOJ8F7B634862 | Long             | ABS-CBDO         | CORP              | US        |   25860959 | PA      | $25279496.21   | 0.08%             | 2031-04-19      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-A14CB                                | CUSIP: 76114BAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14017479 | PA      | $2770507.02    | 0.01%             | 2036-12-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118PZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     883865 | PA      | $744891.78     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS17 Trust                                                      | CUSIP: 761118QA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2475631 | PA      | $2086377.51    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust   | CUSIP: 93936PAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4258677 | PA      | $4128129.52    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-5 Trust   | CUSIP: 93936PAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     170347 | PA      | $205722.23     | 0.00%             | 2037-06-25      | Floating      | 13.15%                | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | Credit Suisse Mortgage Capital Certificates                                      | CUSIP: 12646NBA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7522581 | PA      | $5255548.34    | 0.02%             | 2046-08-26      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2014-USA OA LLC                                                             | CUSIP: 12649AAE9<br>LEI: 549300818AKCJ4Q9TD76 | Long             | ABS-MBS          | CORP              | US        |  147561481 | PA      | $1682436.98    | 0.01%             | 2037-09-15      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2015-C26                                   | CUSIP: 94989CBA8<br>LEI: 549300DT2BKPLXAJ4C66 | Long             | ABS-MBS          | CORP              | US        |  350629695 | PA      | $6885595.83    | 0.02%             | 2048-02-15      | Variable      | 1.20%                 | No            |                  2 | On Loan: No      |
| Upstart Pass Through Trust                        | Upstart Pass-Through Trust Series 2021-ST1                                       | CUSIP: 91681MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6674675 | PA      | $6355309.37    | 0.02%             | 2027-02-20      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                    | VCAT 2021-NPL4 LLC                                                               | CUSIP: 91823DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23382684 | PA      | $21286424.13   | 0.07%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS3 Trust                                                       | CUSIP: 761118XP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4438649 | PA      | $3706944.92    | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-A8                                   | CUSIP: 761119AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2269459 | PA      | $1493291.50    | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410LL67<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4833391 | PA      | $4661816.07    | 0.01%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415RJH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     990064 | PA      | $1059076.76    | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage                     | Waterfall Commercial Mortgage Trust 2015-SBC5                                    | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13630715 | PA      | $13371804.05   | 0.04%             | 2022-09-14      | Variable      | 4.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2006-AR13 Trust                           | CUSIP: 94984DAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     831752 | PA      | $770979.50     | 0.00%             | 2036-09-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398QY92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     186682 | PA      | $138183.47     | 0.00%             | 2040-10-15      | Floating      | 1.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398R2P9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2237869 | PA      | $2092742.60    | 0.01%             | 2040-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2007-A2                                   | CUSIP: 761120AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19261945 | PA      | $11140979.77   | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-A13                                  | CUSIP: 76113HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7270120 | PA      | $2766588.72    | 0.01%             | 2036-12-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Trust 2017-CHOP                                                             | CUSIP: 12651QAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12164000 | PA      | $11134148.32   | 0.03%             | 2032-07-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Trust 2017-CHOP                                                             | CUSIP: 12651QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18723000 | PA      | $17098485.80   | 0.05%             | 2032-07-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                    | VCAT 2021-NPL6 LLC                                                               | CUSIP: 91824WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15706957 | PA      | $13756411.98   | 0.04%             | 2051-09-25      | Variable      | 1.92%                 | No            |                  2 | On Loan: No      |
| VR Funding LLC                                    | VR Funding LLC                                                                   | CUSIP: 91835CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17440347 | PA      | $14539992.86   | 0.04%             | 2050-11-15      | Fixed         | 2.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415RYM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     586552 | PA      | $613451.50     | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416BRY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4908600 | PA      | $4932506.73    | 0.02%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3173278 | PA      | $2657175.51    | 0.01%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GBA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271100 | PA      | $216726.99     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-A10                                  | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4909525 | PA      | $1898795.02    | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-R1                                   | CUSIP: 76113MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4547655 | PA      | $5363413.33    | 0.02%             | 2046-01-25      | Floating      | 10.85%                | No            |                  3 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2017-TIME                                                                   | CUSIP: 12652XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4847000 | PA      | $4139214.40    | 0.01%             | 2039-11-13      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Commercial Mortg                    | CSWF 2018-TOP                                                                    | CUSIP: 12653BAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3928800 | PA      | $3776687.47    | 0.01%             | 2035-08-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398R2T1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8023359 | PA      | $7842250.53    | 0.02%             | 2040-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398RFU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     219885 | PA      | $221391.25     | 0.00%             | 2039-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra                    | VOLT C LLC                                                                       | CUSIP: 91835DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2184759 | PA      | $1961752.06    | 0.01%             | 2051-05-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra                    | VOLT XCVII LLC                                                                   | CUSIP: 91835EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29414656 | PA      | $26025575.84   | 0.08%             | 2051-04-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416CH25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8202272 | PA      | $8383885.60    | 0.03%             | 2036-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416XLD0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6687565 | PA      | $6479415.74    | 0.02%             | 2031-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1295851 | PA      | $1087771.37    | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     310883 | PA      | $250556.04     | 0.00%             | 2037-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra                    | VOLT CV LLC                                                                      | CUSIP: 91835GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13516825 | PA      | $11936404.29   | 0.04%             | 2051-11-27      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra                    | VOLT XCII LLC                                                                    | CUSIP: 91835MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25398649 | PA      | $22051152.50   | 0.07%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31335AH43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   25281740 | PA      | $23568704.21   | 0.07%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31335ANJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   66754970 | PA      | $62191806.45   | 0.19%             | 2046-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398RMZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3407828 | PA      | $166899.75     | 0.00%             | 2040-01-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398T5K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4150199 | PA      | $4346349.65    | 0.01%             | 2040-09-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140245 | PA      | $153079.34     | 0.00%             | 2037-06-25      | Floating      | 12.67%                | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JBH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90124 | PA      | $75092.90      | 0.00%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416XT42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     140548 | PA      | $134729.95     | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417ADT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     468297 | PA      | $453730.35     | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Vantage Data Centers LLC                          | Vantage Data Centers LLC                                                         | CUSIP: 92212KAC0<br>LEI: 5493000RL8X7WTQ7HO20 | Long             | ABS-O            | CORP              | US        |   32425000 | PA      | $26707687.82   | 0.08%             | 2045-09-15      | Fixed         | 1.99%                 | No            |                  2 | On Loan: No      |
| Vault DI Issuer LLC                               | Vault DI Issuer LLC                                                              | CUSIP: 92243JAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   54400000 | PA      | $46226617.60   | 0.14%             | 2046-07-15      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                    | WaMu Asset-Backed Certificates WaMu Series 2007-HE1 Trust                        | CUSIP: 933631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8004950 | PA      | $3669344.39    | 0.01%             | 2037-01-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                    | WaMu Mortgage Pass-Through Certificates Series 2007-HY3 Trust                    | CUSIP: 933634AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5033355 | PA      | $4543065.68    | 0.01%             | 2037-03-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JBK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2918161 | PA      | $2458853.51    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA6 Trust                                      | CUSIP: 94985KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4897296 | PA      | $4450089.08    | 0.01%             | 2037-12-28      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398TFV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9137972 | PA      | $8931274.43    | 0.03%             | 2040-07-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398TQ79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3089913 | PA      | $3010783.49    | 0.01%             | 2040-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                    | WaMu Mortgage Pass-Through Certificates Series 2006-AR6 Trust                    | CUSIP: 93363BAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     484222 | PA      | $406544.76     | 0.00%             | 2036-08-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                    | WaMu Mortgage Pass-Through Certificates Series 2006-AR15 Trust                   | CUSIP: 93363QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6004512 | PA      | $5127982.75    | 0.02%             | 2046-11-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2014-LC18                                  | CUSIP: 94989AAZ8<br>LEI: 5493007CD1Q2V06I4172 | Long             | ABS-MBS          | CORP              | US        |    4346710 | PA      | $4054068.62    | 0.01%             | 2047-12-15      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2015-C26                                   | CUSIP: 94989CBD2<br>LEI: 549300DT2BKPLXAJ4C66 | Long             | ABS-MBS          | CORP              | US        |   11460000 | PA      | $10380384.34   | 0.03%             | 2048-02-15      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| WAMU Asset-Backed Certificates                    | WaMu Asset-Backed Certificates WaMu Series 2007-HE4 Trust                        | CUSIP: 93363XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15099094 | PA      | $10836293.59   | 0.03%             | 2047-07-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-1 Trust   | CUSIP: 9393362K8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3896572 | PA      | $3182738.15    | 0.01%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2015-C27                                   | CUSIP: 94989DAZ2<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-MBS          | CORP              | US        |  186608303 | PA      | $2598539.28    | 0.01%             | 2048-02-15      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2015-C27                                   | CUSIP: 94989DBC2<br>LEI: 5493001SKB2HKIF64L70 | Long             | ABS-MBS          | CORP              | US        |    3187500 | PA      | $2777555.31    | 0.01%             | 2048-02-15      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR4 Trust | CUSIP: 939345AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5839969 | PA      | $4262615.20    | 0.01%             | 2046-06-25      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 Trust   | CUSIP: 93934FAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1372088 | PA      | $1238070.89    | 0.00%             | 2035-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2015-LC20                                  | CUSIP: 94989EAH0<br>LEI: 549300W6NRTMFPYUPG47 | Long             | ABS-MBS          | CORP              | US        |  223592182 | PA      | $4577401.52    | 0.01%             | 2050-04-15      | Variable      | 1.29%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2015-NXS2                                  | CUSIP: 94989MAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8438000 | PA      | $7334323.10    | 0.02%             | 2058-07-15      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-5 Trust   | CUSIP: 93934FAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     423713 | PA      | $392174.13     | 0.00%             | 2035-07-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-7 Trust   | CUSIP: 93934FBS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375163 | PA      | $343901.82     | 0.00%             | 2035-08-25      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2015-LC22                                  | CUSIP: 94989TBF0<br>LEI: 549300XO83D3BDYP0P62 | Long             | ABS-MBS          | CORP              | US        |    3000000 | PA      | $2698974.60    | 0.01%             | 2058-09-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2020-C56                                   | CUSIP: 95002RBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  160980317 | PA      | $10531734.79   | 0.03%             | 2053-06-15      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FEN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4590284 | PA      | $4105808.82    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed                    | Washington Mutural Asset-Backed Certificates WMABS Series 2007-HE2 Trust         | CUSIP: 93934TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19592965 | PA      | $6592991.57    | 0.02%             | 2037-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR5 Trust | CUSIP: 93935AAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5018855 | PA      | $3875911.75    | 0.01%             | 2046-06-25      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-8 Trust   | CUSIP: 93935EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7933044 | PA      | $2926861.83    | 0.01%             | 2036-10-25      | Variable      | 4.17%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2020-C58                                   | CUSIP: 95002UBE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   96263202 | PA      | $9478883.46    | 0.03%             | 2053-07-15      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417AGE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3449225 | PA      | $3343381.96    | 0.01%             | 2031-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417AH44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     727170 | PA      | $672279.34     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417ALD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     552628 | PA      | $510716.86     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417BUJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1664328 | PA      | $1613257.81    | 0.00%             | 2032-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398TQ95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6840197 | PA      | $255077.80     | 0.00%             | 2040-09-25      | Floating      | 0.09%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398TQB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     754536 | PA      | $737507.23     | 0.00%             | 2040-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133JL2B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   14589221 | PA      | $11477521.36   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133JLZ69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16126785 | PA      | $12687347.91   | 0.04%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AKP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2415535 | PA      | $2341344.19    | 0.01%             | 2032-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AKX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15682079 | PA      | $14199230.66   | 0.04%             | 2042-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LER90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48972000 | PA      | $40087326.40   | 0.12%             | 2032-01-01      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LEUB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21024000 | PA      | $17342995.93   | 0.05%             | 2031-12-01      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YJJ7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     832634 | PA      | $826999.31     | 0.00%             | 2029-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YMB0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2994812 | PA      | $2974541.82    | 0.01%             | 2030-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418ALT3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16059769 | PA      | $15125597.34   | 0.05%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418ALY2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1456264 | PA      | $1318201.85    | 0.00%             | 2042-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YNY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     605145 | PA      | $601049.11     | 0.00%             | 2030-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YP76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      38643 | PA      | $37808.22      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KJ3Y6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   52967295 | PA      | $45085272.28   | 0.14%             | 2050-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KYVB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   91466261 | PA      | $74935103.78   | 0.23%             | 2041-05-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AQU5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36543408 | PA      | $34393917.11   | 0.11%             | 2033-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan T                    | JP Morgan Alternative Loan Trust 2006-S4                                         | CUSIP: 466302AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7037760 | PA      | $6679384.54    | 0.02%             | 2036-12-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      72153 | PA      | $70593.82      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YSY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     892874 | PA      | $865115.49     | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KYVY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   59195441 | PA      | $49968828.71   | 0.15%             | 2041-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133SKBL4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   42201598 | PA      | $33200936.06   | 0.10%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YUM7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203270 | PA      | $196948.98     | 0.00%             | 2030-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YVJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5202251 | PA      | $5040439.14    | 0.02%             | 2031-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-4                                                     | CUSIP: 52520RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     979129 | PA      | $790914.09     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-5                                                     | CUSIP: 52520TAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5457086 | PA      | $822314.68     | 0.00%             | 2036-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A0DW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4488296 | PA      | $4022803.38    | 0.01%             | 2041-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A1KE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   29731086 | PA      | $29093291.77   | 0.09%             | 2041-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AAV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   39106486 | PA      | $37906272.80   | 0.12%             | 2031-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418ABT4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16674121 | PA      | $16162355.04   | 0.05%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-5                                                     | CUSIP: 52520TAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11367051 | PA      | $1499096.94    | 0.00%             | 2036-09-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-2                                                     | CUSIP: 52521DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1471028 | PA      | $1017686.28    | 0.00%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418ACN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19607790 | PA      | $19006046.72   | 0.06%             | 2032-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418ADQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9981371 | PA      | $9675025.04    | 0.03%             | 2032-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1876892 | PA      | $1068510.76    | 0.00%             | 2037-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5610880 | PA      | $322438.73     | 0.00%             | 2037-01-25      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A1WX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14076524 | PA      | $13213966.53   | 0.04%             | 2041-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A2DB6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     520021 | PA      | $377155.84     | 0.00%             | 2041-11-25      | Floating      | 1.86%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1727034 | PA      | $1680646.14    | 0.01%             | 2037-01-25      | Floating      | 10.49%                | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3437088 | PA      | $736469.99     | 0.00%             | 2037-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418AGB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3413656 | PA      | $3090437.62    | 0.01%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DRW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   37747326 | PA      | $30980661.70   | 0.10%             | 2050-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AL2L4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31547095 | PA      | $27286234.02   | 0.08%             | 2044-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AL3R0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2835238 | PA      | $2817921.39    | 0.01%             | 2041-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DUR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   79833148 | PA      | $62828885.64   | 0.19%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EGK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   82391605 | PA      | $79387987.73   | 0.25%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136ALDV0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   64939254 | PA      | $55859635.92   | 0.17%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136ALGF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   45839707 | PA      | $39519456.59   | 0.12%             | 2044-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-9                                                     | CUSIP: 52521HBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6193853 | PA      | $634027.54     | 0.00%             | 2037-01-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10910354 | PA      | $1274333.72    | 0.00%             | 2037-05-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136BDXU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  183877086 | PA      | $8397004.56    | 0.03%             | 2033-08-25      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BDZ92<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10193274 | PA      | $7711156.06    | 0.02%             | 2050-11-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382XAX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   88702143 | PA      | $9118864.11    | 0.03%             | 2051-08-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382XFW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17269600 | PA      | $1940129.03    | 0.01%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     743640 | PA      | $162806.67     | 0.00%             | 2037-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-4                                                     | CUSIP: 52521LAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2520517 | PA      | $736685.96     | 0.00%             | 2037-05-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382XU86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52196969 | PA      | $8089392.25    | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383AJE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   44089975 | PA      | $5859218.22    | 0.02%             | 2051-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                    | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19927499 | PA      | $14665569.40   | 0.05%             | 2037-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                    | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5923650 | PA      | $4215111.43    | 0.01%             | 2037-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BF4T7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4241138 | PA      | $3642098.67    | 0.01%             | 2041-05-25      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                    | Fannie Mae-Aces                                                                  | CUSIP: 3136BLQ78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23136428 | PA      | $20751948.82   | 0.06%             | 2030-05-25      | Variable      | 2.46%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383AJT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42809480 | PA      | $658688.06     | 0.00%             | 2051-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383ALK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   91632223 | PA      | $15095547.44   | 0.05%             | 2051-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-6                                                     | CUSIP: 52521NAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99597 | PA      | $80603.52      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-5                                                     | CUSIP: 52521RBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     693734 | PA      | $872089.00     | 0.00%             | 2036-08-25      | Floating      | 13.75%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BMFV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   35151830 | PA      | $26570016.52   | 0.08%             | 2052-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                   | Fannie Mae Interest Strip                                                        | CUSIP: 3136FKSM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3122954 | PA      | $194644.62     | 0.00%             | 2039-11-25      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383ALM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   32396039 | PA      | $5209088.66    | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383AUY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   27972088 | PA      | $4229765.73    | 0.01%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2005-9N                                                   | CUSIP: 525221GQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7396780 | PA      | $6289087.25    | 0.02%             | 2036-02-25      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust 2006-3                                                           | CUSIP: 525221JJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6190754 | PA      | $5902758.58    | 0.02%             | 2036-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A0YB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1387322 | PA      | $217836.61     | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A1B77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1512646 | PA      | $1491704.50    | 0.00%             | 2040-08-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383AWT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   87236197 | PA      | $1349840.57    | 0.00%             | 2051-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383AZS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   47570330 | PA      | $7133884.57    | 0.02%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-9                                                     | CUSIP: 52522XAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5546470 | PA      | $1811234.56    | 0.01%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MHC Commercial Mortgage Trust                     | MHC Commercial Mortgage Trust 2021-MHC                                           | CUSIP: 55316VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4220000 | PA      | $4098811.73    | 0.01%             | 2038-04-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BGEM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   29084371 | PA      | $24465426.79   | 0.08%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BGJD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1105972 | PA      | $1101250.05    | 0.00%             | 2041-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383C6P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28126334 | PA      | $3686425.72    | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383CBX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   50696990 | PA      | $8082154.69    | 0.02%             | 2051-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MKS CLO Ltd                                       | MKS CLO 2017-1 Ltd                                                               | CUSIP: 55317AAA7<br>LEI: 5493003VGNSG059H2J98 | Long             | ABS-CBDO         | CORP              | US        |   70279042 | PA      | $69600414.01   | 0.21%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MFT Trust                                         | MFT Trust 2020-ABC                                                               | CUSIP: 55317BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12625000 | PA      | $9770443.31    | 0.03%             | 2042-02-10      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BGLV9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1278987 | PA      | $1214217.46    | 0.00%             | 2043-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BHBU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   23381889 | PA      | $22336879.69   | 0.07%             | 2043-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383CKU3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  133590785 | PA      | $18044948.99   | 0.06%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38383CL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   16635219 | PA      | $2243222.64    | 0.01%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BHHP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   43301452 | PA      | $38620881.18   | 0.12%             | 2045-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BJGQ0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   16529866 | PA      | $16001271.09   | 0.05%             | 2041-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Great Wolf Trust                                  | Great Wolf Trust 2019-WOLF                                                       | CUSIP: 39152TAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   75048000 | PA      | $70536399.42   | 0.22%             | 2036-12-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Tr                    | GreenPoint Mortgage Funding Trust Series 2007-AR2                                | CUSIP: 39539LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18566822 | PA      | $16155175.98   | 0.05%             | 2047-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MFT Trust                                         | MFT Trust 2020-ABC                                                               | CUSIP: 55317BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5326000 | PA      | $3960410.40    | 0.01%             | 2042-02-10      | Variable      | 3.48%                 | No            |                  2 | On Loan: No      |
| MP Clo III, LTD                                   | MP CLO III LTD                                                                   | CUSIP: 553205AC9<br>LEI: 549300FWSFBNCWDD1P18 | Long             | ABS-CBDO         | CORP              | US        |   40000000 | PA      | $39324672.00   | 0.12%             | 2030-10-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BM4N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   20275259 | PA      | $18970100.40   | 0.06%             | 2044-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BMFB7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   41477601 | PA      | $38608644.87   | 0.12%             | 2044-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | MSBAM Commercial Mortgage Securities Trust 2012-CKSV                             | CUSIP: 553514AQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11137088 | PA      | $7650272.87    | 0.02%             | 2030-10-15      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2006-AR4 Trust                            | CUSIP: 94983PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     869904 | PA      | $812205.11     | 0.00%             | 2036-04-25      | Variable      | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BMPU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   37533279 | PA      | $34874751.81   | 0.11%             | 2044-04-15      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BP6M6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   58179234 | PA      | $54183565.54   | 0.17%             | 2044-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2006-AR12 Trust                           | CUSIP: 94984GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1688649 | PA      | $1507321.27    | 0.00%             | 2036-09-25      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2363837 | PA      | $2025880.83    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding                     | Halcyon Loan Advisors Funding 2014-2 Ltd                                         | CUSIP: 40538DAA6<br>LEI: 549300U92YP85EMXX728 | Long             | ABS-CBDO         | CORP              | US        |    1993864 | PA      | $476444.95     | 0.00%             | 2025-04-28      | Floating      | 9.37%                 | No            |                  2 | On Loan: No      |
| Halcyon Loan Advisors Funding                     | Halcyon Loan Advisors Funding 2014-3 Ltd                                         | CUSIP: 40538FAL7<br>LEI: 549300NL4H585I318G08 | Long             | ABS-CBDO         | CORP              | US        |    5001416 | PA      | $4824316.77    | 0.01%             | 2025-10-22      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2038144 | PA      | $1746752.44    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3340416 | PA      | $2862839.73    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FEXJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8479548 | PA      | $7695081.44    | 0.02%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FMK84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12962759 | PA      | $11929896.51   | 0.04%             | 2049-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2006-10                                           | CUSIP: 41162CAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4003761 | PA      | $3513986.12    | 0.01%             | 2036-11-19      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2006-11                                           | CUSIP: 41162GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4487590 | PA      | $3866888.12    | 0.01%             | 2036-12-19      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FPGF6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   27018512 | PA      | $2345841.78    | 0.01%             | 2048-08-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A54X7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1872521 | PA      | $1731194.62    | 0.01%             | 2041-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA1 Trust                                      | CUSIP: 94984TAK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538364 | PA      | $461394.36     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA2 Trust                                      | CUSIP: 94985FAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13469219 | PA      | $11922997.39   | 0.04%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2006-14                                           | CUSIP: 41162NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32741068 | PA      | $29365005.07   | 0.09%             | 2047-01-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2007-7                                            | CUSIP: 411640AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14499425 | PA      | $12150728.69   | 0.04%             | 2037-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A9DP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     743222 | PA      | $720108.94     | 0.00%             | 2031-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ABLD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1358903 | PA      | $1327516.43    | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA2 Trust                                      | CUSIP: 94985FAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2287348 | PA      | $1623992.98    | 0.01%             | 2037-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA2 Trust                                      | CUSIP: 94985FAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3369618 | PA      | $198075.90     | 0.00%             | 2037-06-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AP4R6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     494773 | PA      | $460749.14     | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ASMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     810260 | PA      | $765118.80     | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz                    | NRZ Excess Spread-Collateralized Notes Series 2020-PLS1                          | CUSIP: 433674AA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   55762219 | PA      | $50887390.63   | 0.16%             | 2025-12-25      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Homebanc Mortgage Trust                           | HomeBanc Mortgage Trust 2005-3                                                   | CUSIP: 43739EBQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10350000 | PA      | $8974855.53    | 0.03%             | 2035-07-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4490758 | PA      | $3779414.94    | 0.01%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     790380 | PA      | $663450.12     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ASRV6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      55629 | PA      | $51357.50      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ASTZ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1565028 | PA      | $1446891.93    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2007-A5                                   | CUSIP: 76114HAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4164429 | PA      | $2419828.02    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2007-A5                                   | CUSIP: 76114HAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1825057 | PA      | $1060487.05    | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AUXW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2117997 | PA      | $1975745.23    | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AVH81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1115794 | PA      | $1031550.24    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2007-A7                                   | CUSIP: 76114QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   34049582 | PA      | $13762387.99   | 0.04%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2007-A7                                   | CUSIP: 76114QAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15086651 | PA      | $6097823.67    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     268796 | PA      | $216636.19     | 0.00%             | 2037-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2007-7 Trust                              | CUSIP: 94985JCA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     734344 | PA      | $618761.38     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AVSG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5219366 | PA      | $4825422.80    | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AVSV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1345652 | PA      | $1244066.12    | 0.00%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Mortgage Loan Trus                    | Residential Mortgage Loan Trust 2020-2                                           | CUSIP: 76123MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6300000 | PA      | $5274619.56    | 0.02%             | 2060-05-25      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S8 Trust                                                       | CUSIP: 76200QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4220387 | PA      | $2935416.64    | 0.01%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AW4G5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8037189 | PA      | $7726018.57    | 0.02%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AWXA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     538060 | PA      | $500311.05     | 0.00%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S7 Trust                                                       | CUSIP: 76200RAV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8443959 | PA      | $6462072.57    | 0.02%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                         | Stonepeak 2021-1 ABS                                                             | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8583148 | PA      | $7505868.68    | 0.02%             | 2033-02-28      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Mortgage Backed Se                    | Wells Fargo Mortgage Backed Securities 2007-AR9 Trust                            | CUSIP: 94986GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11519266 | PA      | $9997365.60    | 0.03%             | 2037-12-28      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2015-C31                                   | CUSIP: 94989WAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  120080937 | PA      | $2567594.62    | 0.01%             | 2048-11-15      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138E0Q77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2886306 | PA      | $2612714.11    | 0.01%             | 2041-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138E1HL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1013387 | PA      | $936797.95     | 0.00%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2015-C31                                   | CUSIP: 94989WAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9701000 | PA      | $8690187.81    | 0.03%             | 2048-11-15      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2016-C32                                   | CUSIP: 94989YBF9<br>LEI: 549300VOKB4Z9J8DIM89 | Long             | ABS-MBS          | CORP              | US        |   10085000 | PA      | $9119087.95    | 0.03%             | 2059-01-15      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                     | Sierra Timeshare 2021-2 Receivables Funding LLC                                  | CUSIP: 82652RAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3541551 | PA      | $3209007.51    | 0.01%             | 2038-09-20      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO LTD                               | Sound Point Clo XXI Ltd                                                          | CUSIP: 83613HAA5<br>LEI: 5493001O6AOY43J70E72 | Long             | ABS-CBDO         | CORP              | US        |   28000000 | PA      | $27288744.00   | 0.08%             | 2031-10-26      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138E4YK1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10013251 | PA      | $9705989.78    | 0.03%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397SSR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20782483 | PA      | $20014927.83   | 0.06%             | 2031-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2020-C55                                   | CUSIP: 95002EBC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28088000 | PA      | $23240039.29   | 0.07%             | 2053-02-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2019-C52                                   | CUSIP: 95002MAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   77296129 | PA      | $5489362.37    | 0.02%             | 2052-08-15      | Variable      | 1.60%                 | No            |                  2 | On Loan: No      |
| Specialty Underwriting & Resid                    | Specialty Underwriting & Residential Finance Trust Series 2007-AB1               | CUSIP: 84752CAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13857170 | PA      | $8342116.05    | 0.03%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Sprite Limited                                    | Sprite 2021-1 Ltd                                                                | CUSIP: 85208UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23439520 | PA      | $20368591.29   | 0.06%             | 2046-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XATW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5551454 | PA      | $4548154.39    | 0.01%             | 2041-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XBMF4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   70057544 | PA      | $64705025.48   | 0.20%             | 2050-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2019-C52                                   | CUSIP: 95002MBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24972000 | PA      | $21110357.39   | 0.07%             | 2052-08-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2021-SAVE                                  | CUSIP: 95003LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2022574 | PA      | $1817689.51    | 0.01%             | 2040-02-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| SPRUCE HILL MORTGAGE LOAN TRUS                    | Spruce Hill Mortgage Loan Trust 2020-SH1                                         | CUSIP: 85209FAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9826000 | PA      | $9246911.57    | 0.03%             | 2050-01-28      | Variable      | 3.22%                 | No            |                  2 | On Loan: No      |
| Stack Infrastructure Issuer LL                    | Stack Infrastructure Issuer LLC                                                  | CUSIP: 85236KAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5750000 | PA      | $5123651.35    | 0.02%             | 2045-08-25      | Fixed         | 1.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XCAE8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   69634747 | PA      | $61471448.96   | 0.19%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XCB49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30573331 | PA      | $26516127.28   | 0.08%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2021-SAVE                                  | CUSIP: 95003LAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     659041 | PA      | $585067.25     | 0.00%             | 2040-02-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2021-SAVE                                  | CUSIP: 95003LAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1658965 | PA      | $1461346.80    | 0.00%             | 2040-02-15      | Floating      | 7.97%                 | No            |                  2 | On Loan: No      |
| SREIT Trust                                       | SREIT Trust 2021-MFP2                                                            | CUSIP: 85236WCU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   32600000 | PA      | $30171824.86   | 0.09%             | 2036-11-15      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| Suntrust Adjustable Rate Mortg                    | STARM Mortgage Loan Trust 2007-3                                                 | CUSIP: 85554NAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1494003 | PA      | $1025918.67    | 0.00%             | 2037-06-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XCLR7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   67642739 | PA      | $58157772.42   | 0.18%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XCW79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   75340628 | PA      | $64688209.85   | 0.20%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2021-C61                                   | CUSIP: 95003QBC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  174322734 | PA      | $13097407.38   | 0.04%             | 2054-11-15      | Variable      | 1.37%                 | No            |                  2 | On Loan: No      |
| WENDYS FUNDING LLC                                | Wendy's Funding LLC                                                              | CUSIP: 95058XAH1<br>LEI: 5493009DRVSTWJOXUL48 | Long             | ABS-O            | CORP              | US        |   19110000 | PA      | $17011163.99   | 0.05%             | 2049-06-15      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Start Ltd.                                        | Start Ltd/Bermuda                                                                | CUSIP: 85572RAA7<br>LEI: 549300VIQYFIDJQCKZ43 | Long             | ABS-O            | CORP              | US        |   17185834 | PA      | $14703615.22   | 0.05%             | 2043-05-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| Starwood Residential Mortgage                     | STAR 2021-1 Trust                                                                | CUSIP: 85573GAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6329000 | PA      | $4477682.06    | 0.01%             | 2065-05-25      | Variable      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XCXJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   38988245 | PA      | $33372724.32   | 0.10%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-2F                                                  | CUSIP: 362334BP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1880490 | PA      | $988091.43     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                    | WFRBS Commercial Mortgage Trust 2013-C18                                         | CUSIP: 96221QAH6<br>LEI: 549300O5GNH0TNJ6B119 | Long             | ABS-MBS          | CORP              | US        |   85568840 | PA      | $418157.81     | 0.00%             | 2046-12-15      | Variable      | 0.73%                 | No            |                  2 | On Loan: No      |
| Willis Engine Securitization T                    | Willis Engine Structured Trust V                                                 | CUSIP: 97064FAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   44956929 | PA      | $34375506.77   | 0.11%             | 2045-03-15      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                     | Starwood Mortgage Residential Trust 2021-2                                       | CUSIP: 85573HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3429783.00    | 0.01%             | 2065-05-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                     | Starwood Mortgage Residential Trust 2021-2                                       | CUSIP: 85573HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7110000 | PA      | $4351236.10    | 0.01%             | 2065-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-2F                                                  | CUSIP: 362334CP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     347571 | PA      | $305780.48     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-2F                                                  | CUSIP: 362334DK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1565776 | PA      | $822725.73     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2006-RP1                                               | CUSIP: 3623413C1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16910243 | PA      | $14050276.25   | 0.04%             | 2036-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2006-RP1                                               | CUSIP: 3623413D9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16910243 | PA      | $215086.45     | 0.00%             | 2036-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-1F                                                  | CUSIP: 3623416J3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     193063 | PA      | $310445.70     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341DY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     225942 | PA      | $211141.07     | 0.00%             | 2035-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                     | Starwood Mortgage Residential Trust 2021-5                                       | CUSIP: 85573QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9103000 | PA      | $5520376.89    | 0.02%             | 2066-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Steele Creek CLO Ltd                              | Steele Creek CLO 2016-1 Ltd                                                      | CUSIP: 858102AX4<br>LEI: 5493003PZ3HX9NW9PS65 | Long             | ABS-CBDO         | CORP              | US        |   34000000 | PA      | $33243500.00   | 0.10%             | 2031-06-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341EC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2388391 | PA      | $196160.72     | 0.00%             | 2035-07-25      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-6F                                                  | CUSIP: 362341EQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140978 | PA      | $136422.48     | 0.00%             | 2035-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Pass-Thru Trust                    | Upgrade Master Pass-Thru Trust Series 2021-PT1                                   | CUSIP: 91533TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9044451 | PA      | $8767048.65    | 0.03%             | 2027-04-15      | Variable      | 14.51%                | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                 | Wellfleet CLO 2018-2 Ltd                                                         | CUSIP: 94949JAA3<br>LEI: 254900QO5AI38SSR4719 | Long             | ABS-CBDO         | CORP              | US        |   46000000 | PA      | $44776671.40   | 0.14%             | 2031-10-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2005-RP3                                               | CUSIP: 362341LL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4436396 | PA      | $3819697.73    | 0.01%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2005-RP3                                               | CUSIP: 362341LM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4436396 | PA      | $51410.73      | 0.00%             | 2035-09-25      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-7F                                                  | CUSIP: 362341MT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115313 | PA      | $112827.82     | 0.00%             | 2035-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2005-12                                                   | CUSIP: 362341SR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112843 | PA      | $76173.26      | 0.00%             | 2035-09-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-8F                                                  | CUSIP: 362341WB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6970484 | PA      | $3036826.72    | 0.01%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-8F                                                  | CUSIP: 362341WE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1684555 | PA      | $798922.17     | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-J1                                                   | CUSIP: 12668BJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3993017 | PA      | $2870665.45    | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-J1                                                   | CUSIP: 12668BKG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1968010 | PA      | $1414844.64    | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-10                                                   | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7937260 | PA      | $2119052.29    | 0.01%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-10                                                   | CUSIP: 362375AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5680833 | PA      | $1512920.55    | 0.00%             | 2036-06-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-2CB                                                  | CUSIP: 12668BLJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1946214 | PA      | $920180.12     | 0.00%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-4CB                                                  | CUSIP: 12668BPM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5650860 | PA      | $3094974.74    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2005-RP2                                               | CUSIP: 36242DT52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6903007 | PA      | $6514456.40    | 0.02%             | 2035-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                         | GSMPS Mortgage Loan Trust 2005-RP2                                               | CUSIP: 36242DT60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6903007 | PA      | $87337.53      | 0.00%             | 2035-03-25      | Variable      | 0.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-6CB                                                  | CUSIP: 12668BRZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     653624 | PA      | $539848.25     | 0.00%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2007-12                                            | CUSIP: 17314CAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     535876 | PA      | $297851.85     | 0.00%             | 2036-10-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2005-1F                                                  | CUSIP: 36242DUW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     736335 | PA      | $683607.61     | 0.00%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                       | GSAMP Trust 2006-HE6                                                             | CUSIP: 36245AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16450673 | PA      | $13198708.67   | 0.04%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2017-P7                                      | CUSIP: 17325HBU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   38722503 | PA      | $1404670.42    | 0.00%             | 2050-04-14      | Variable      | 1.11%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | CGMS Commercial Mortgage Trust 2017-B1                                           | CUSIP: 17326CBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  224050619 | PA      | $6178061.39    | 0.02%             | 2050-08-15      | Variable      | 0.74%                 | No            |                  2 | On Loan: No      |
| GSAMP Trust                                       | GSAMP Trust 2007-H1                                                              | CUSIP: 36245YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6981322 | PA      | $3715612.63    | 0.01%             | 2047-01-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2007-7                                                    | CUSIP: 36249BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5751438 | PA      | $3001766.43    | 0.01%             | 2037-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138LLEC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5500000 | PA      | $4552691.61    | 0.01%             | 2037-12-01      | Fixed         | 3.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138M8J95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14072362 | PA      | $12738442.84   | 0.04%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                      | GSMSC Resecuritization Trust 2014-3R                                             | CUSIP: 36249XAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17412709 | PA      | $10429599.52   | 0.03%             | 2036-09-26      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2015-GC32                                           | CUSIP: 36250PAF2<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |  202811306 | PA      | $2969745.67    | 0.01%             | 2048-07-10      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WDCC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9864657 | PA      | $9259826.30    | 0.03%             | 2034-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WDMK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   31415989 | PA      | $28343867.80   | 0.09%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                                 | JP Morgan Resecuritization Trust Series 2009-7                                   | CUSIP: 46633PAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16378412 | PA      | $7383376.47    | 0.02%             | 2037-09-27      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                                 | JP Morgan Resecuritization Trust Series 2010-1                                   | CUSIP: 46634DAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8099106 | PA      | $4080697.31    | 0.01%             | 2037-02-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WDZ20<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11610534 | PA      | $10783997.85   | 0.03%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                              | Fannie Mae Trust 2003-W17                                                        | CUSIP: 31393UAK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5650270 | PA      | $5719055.72    | 0.02%             | 2033-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                                 | JP Morgan Resecuritization Trust Series 2010-1                                   | CUSIP: 46634DAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5115515 | PA      | $2513040.70    | 0.01%             | 2037-01-26      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| Jack in the Box Funding, LLC                      | Jack in the Box Funding LLC                                                      | CUSIP: 466365AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   37335000 | PA      | $33120696.14   | 0.10%             | 2049-08-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31393UJ46<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6930149 | PA      | $7028786.99    | 0.02%             | 2034-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31393Y3E3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1357902 | PA      | $102661.91     | 0.00%             | 2034-07-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2014-C18                              | CUSIP: 46641JAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   60211396 | PA      | $275744.11     | 0.00%             | 2047-02-15      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2015-C28                              | CUSIP: 46644FAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10663088 | PA      | $9661049.90    | 0.03%             | 2048-10-15      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2015-C29                              | CUSIP: 46644RBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29806380 | PA      | $320782.22     | 0.00%             | 2048-05-15      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2015-C30                              | CUSIP: 46644UBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  124670240 | PA      | $1150220.10    | 0.00%             | 2048-07-15      | Variable      | 0.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31393YR31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     863824 | PA      | $15312.84      | 0.00%             | 2034-03-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374VQ51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     136277 | PA      | $134695.33     | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2016-C1                               | CUSIP: 46645LBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   18695444 | PA      | $490921.80     | 0.00%             | 2049-03-17      | Variable      | 1.21%                 | No            |                  2 | On Loan: No      |
| JPMBB Commercial Mortgage Secu                    | JPMBB Commercial Mortgage Securities Trust 2016-C1                               | CUSIP: 46645LBF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7394000 | PA      | $6642183.26    | 0.02%             | 2049-03-17      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374XXB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     647215 | PA      | $19510.55      | 0.00%             | 2038-09-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38375KCG5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2369826 | PA      | $24727.71      | 0.00%             | 2037-04-20      | Floating      | 0.34%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38375QHY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4206611 | PA      | $532505.16     | 0.00%             | 2038-05-16      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381E7T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  212564334 | PA      | $10525739.42   | 0.03%             | 2064-06-16      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                    | CUSIP: 46645WBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5831000 | PA      | $5039672.07    | 0.02%             | 2033-07-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JP Morgan Chase Commercial Mortgage Securities Trust 2018-WPT                    | CUSIP: 46645WBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6097000 | PA      | $5209974.30    | 0.02%             | 2033-07-05      | Variable      | 5.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382LVP3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   30859354 | PA      | $4071715.90    | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382NQW0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   35232550 | PA      | $27159007.48   | 0.08%             | 2051-02-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JPMCC Commercial Mortgage Securities Trust 2017-JP5                              | CUSIP: 46647TAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1725000 | PA      | $1375996.45    | 0.00%             | 2050-03-15      | Variable      | 3.78%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-6                                                     | CUSIP: 52520NBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     272207 | PA      | $262913.08     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382NRG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   84354802 | PA      | $9087601.90    | 0.03%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR2 Trust                                             | CUSIP: 74333DAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   29000000 | PA      | $24603040.30   | 0.08%             | 2038-04-19      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-7                                                     | CUSIP: 52520QAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2778866 | PA      | $653961.05     | 0.00%             | 2036-11-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2006-4                                                     | CUSIP: 52520RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1540532 | PA      | $98686.32      | 0.00%             | 2036-08-25      | Floating      | 1.01%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR8 Trust                                             | CUSIP: 74333TAJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   25000000 | PA      | $20625492.50   | 0.06%             | 2038-10-17      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS14 Trust                                                      | CUSIP: 74922GAT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2980906 | PA      | $2357338.26    | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                    | MF1 Multifamily Housing Mortgage Loan Trust                                      | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4706450 | PA      | $4574401.04    | 0.01%             | 2036-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                        | MFA 2021-NPL1 LLC                                                                | CUSIP: 55282YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23632455 | PA      | $22291377.05   | 0.07%             | 2060-03-25      | Variable      | 2.36%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1535830 | PA      | $1240493.06    | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S2 Trust                                                       | CUSIP: 749583AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1474090 | PA      | $1164847.12    | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| M360 2018-CRE1, Ltd.                              | M360 2021-CRE3 Ltd                                                               | CUSIP: 55379AAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   25000000 | PA      | $24477375.00   | 0.08%             | 2038-11-22      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| M360 2018-CRE1, Ltd.                              | M360 2021-CRE3 Ltd                                                               | CUSIP: 55379AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7162000 | PA      | $6976511.36    | 0.02%             | 2038-11-22      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S2 Trust                                                       | CUSIP: 749583AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1660725 | PA      | $1312328.53    | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S2 Trust                                                       | CUSIP: 749583AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3100383 | PA      | $2449967.29    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                    | Manhattan West 2020-1MW Mortgage Trust                                           | CUSIP: 563136AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5731000 | PA      | $4705720.09    | 0.01%             | 2039-09-10      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XVIII Ltd                        | Marble Point CLO XVIII Ltd                                                       | CUSIP: 566076AN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   12500000 | PA      | $12083841.25   | 0.04%             | 2034-10-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S2 Trust                                                       | CUSIP: 749583AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     484487 | PA      | $382848.22     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO XXIII Ltd.                       | Marble Point CLO XXIII Ltd                                                       | CUSIP: 56607TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   50000000 | PA      | $47789710.00   | 0.15%             | 2035-01-22      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                      | Morgan Stanley Re-REMIC Trust 2013-R2                                            | CUSIP: 61761YAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6680009 | PA      | $5491119.32    | 0.02%             | 2036-10-26      | Variable      | 3.37%                 | No            |                  3 | On Loan: No      |
| Aligned Data Centers Issuer LL                    | Aligned Data Centers Issuer LLC                                                  | CUSIP: 01627AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   11550000 | PA      | $9482517.66    | 0.03%             | 2046-08-15      | Fixed         | 2.48%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-57CB                                                 | CUSIP: 12668AYE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12118737 | PA      | $8968153.61    | 0.03%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12                      | CUSIP: 61762XAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  122556330 | PA      | $246411.76     | 0.00%             | 2046-10-15      | Variable      | 0.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18                      | CUSIP: 61763XAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13450000 | PA      | $12447656.24   | 0.04%             | 2047-10-15      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-64CB                                                 | CUSIP: 12668AZZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364451 | PA      | $320216.52     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-77T1                                                 | CUSIP: 12668BCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29549887 | PA      | $15217163.69   | 0.05%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                      | Morgan Stanley Resecuritization Trust 2014-R7                                    | CUSIP: 61764GAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2693560 | PA      | $2647311.41    | 0.01%             | 2051-01-26      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                      | Morgan Stanley Resecuritization Trust 2014-R7                                    | CUSIP: 61764GAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4770762 | PA      | $4382887.31    | 0.01%             | 2051-01-26      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-85CB                                                 | CUSIP: 12668BEE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19203947 | PA      | $9011838.03    | 0.03%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-85CB                                                 | CUSIP: 12668BEL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1302204 | PA      | $1053369.35    | 0.00%             | 2036-02-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-86CB                                                 | CUSIP: 12668BFE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     891088 | PA      | $570400.26     | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-80CB                                                 | CUSIP: 12668BGF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17371339 | PA      | $9069598.89    | 0.03%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20                      | CUSIP: 61764RBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  167901452 | PA      | $2959246.30    | 0.01%             | 2048-02-15      | Variable      | 1.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2019-H7                                           | CUSIP: 61771MAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5305000 | PA      | $4558469.26    | 0.01%             | 2052-07-15      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-9T1                                                  | CUSIP: 12668BVL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     815029 | PA      | $376569.76     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-12CB                                                 | CUSIP: 12668BWY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2652734 | PA      | $1400516.74    | 0.00%             | 2036-05-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                            | Mosaic Solar Loan Trust 2019-1                                                   | CUSIP: 61946CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1820359 | PA      | $1693287.42    | 0.01%             | 2043-12-21      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                            | Mosaic Solar Loans 2017-2 LLC                                                    | CUSIP: 61946GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14103290 | PA      | $13088406.29   | 0.04%             | 2043-06-22      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-12CB                                                 | CUSIP: 12668BXD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3269427 | PA      | $1777722.92    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BXX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2330441 | PA      | $1368225.45    | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                     | New Residential Mortgage Loan Trust 2020-RPL1                                    | CUSIP: 64828XAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   62504400 | PA      | $48746262.75   | 0.15%             | 2059-11-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                         | NovaStar Mortgage Funding Trust Series 2005-3                                    | CUSIP: 66987XHA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13867662 | PA      | $11910701.77   | 0.04%             | 2036-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BYA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2360297 | PA      | $1385754.51    | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BYF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4361619 | PA      | $2560751.15    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Novastar Home Equity Loan                         | NovaStar Mortgage Funding Trust Series 2006-3                                    | CUSIP: 66988WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7737350 | PA      | $4373994.22    | 0.01%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| OFSI Fund LTD                                     | OFSI Fund IX Ltd                                                                 | CUSIP: 67111BAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   75000000 | PA      | $73099732.50   | 0.23%             | 2031-07-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-7CB                                                  | CUSIP: 12668BYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7605877 | PA      | $4465487.96    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-13T1                                                 | CUSIP: 12668BZB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10749734 | PA      | $5476898.14    | 0.02%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2021-NQM3 Trust                                                              | CUSIP: 67114JAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9694000 | PA      | $5082521.55    | 0.02%             | 2061-07-25      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| OPG Trust                                         | OPG Trust 2021-PORT                                                              | CUSIP: 67118AAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7357491 | PA      | $6858915.26    | 0.02%             | 2036-10-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2004-3                                            | CUSIP: 68389FFV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     809936 | PA      | $778465.41     | 0.00%             | 2034-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2007-1                                            | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5895964 | PA      | $3514812.12    | 0.01%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | CWABS Asset-Backed Certificates Trust 2006-25                                    | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5977965 | PA      | $5476778.67    | 0.02%             | 2037-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-18                                          | CUSIP: 126694EH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2497849 | PA      | $1467751.30    | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2007-6                                            | CUSIP: 68403KAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57060594 | PA      | $45919587.51   | 0.14%             | 2037-07-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Oxford Finance Funding Trust                      | Oxford Finance Funding 2019-1 LLC                                                | CUSIP: 69145AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4153673 | PA      | $4121674.85    | 0.01%             | 2027-02-15      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-20                                          | CUSIP: 126694FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2063627 | PA      | $1337469.95    | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-20                                          | CUSIP: 126694FP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1530284 | PA      | $988623.68     | 0.00%             | 2035-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-23                                          | CUSIP: 126694GU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6885146 | PA      | $3957418.75    | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-26                                          | CUSIP: 126694MW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2242598 | PA      | $1386028.83    | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PFP III                                           | PFP 2021-7 Ltd                                                                   | CUSIP: 69290LAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     351162 | PA      | $344409.45     | 0.00%             | 2038-04-14      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                    | PHH Alternative Mortgage Trust Series 2007-1                                     | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3249030 | PA      | $2272700.97    | 0.01%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-27                                          | CUSIP: 126694NV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     428439 | PA      | $192225.69     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-28                                          | CUSIP: 126694PM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     905239 | PA      | $518086.55     | 0.00%             | 2019-01-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                    | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HAV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7328972 | PA      | $6143124.96    | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                    | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3419817 | PA      | $2866482.03    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-HYB8                                        | CUSIP: 126694QE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260127 | PA      | $226156.63     | 0.00%             | 2035-12-20      | Variable      | 3.53%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-HYB8                                        | CUSIP: 126694QJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7307639 | PA      | $5940261.24    | 0.02%             | 2035-12-20      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                    | PHH Alternative Mortgage Trust Series 2007-2                                     | CUSIP: 69337HBG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     209491 | PA      | $178474.09     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                    | PMT Credit Risk Transfer Trust 2019-2R                                           | CUSIP: 69345WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37831406 | PA      | $36344026.31   | 0.11%             | 2023-05-27      | Floating      | 7.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-J4                                          | CUSIP: 126694RN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     797325 | PA      | $633764.85     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2006-1                                           | CUSIP: 126694XC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6661941 | PA      | $3822095.01    | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                           | PNMAC FMSR ISSUER TRUST 2018-FT1                                                 | CUSIP: 69346MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17500000 | PA      | $16516106.25   | 0.05%             | 2023-04-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| PMT ISSUER TRUST - FMSR                           | PMT Issuer Trust - FMSR                                                          | CUSIP: 69346MAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   67663000 | PA      | $65775797.73   | 0.20%             | 2026-03-25      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2003-60                                          | CUSIP: 12669FJF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     487568 | PA      | $469439.09     | 0.00%             | 2034-02-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-J3                                          | CUSIP: 12669G4V0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     756881 | PA      | $657636.13     | 0.00%             | 2035-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-A12                                  | CUSIP: 76113XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6980990 | PA      | $2769791.66    | 0.01%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Upgrade Master Credit Pass-Thr                    | Upgrade Master Credit Pass-Thru Trust Series 2021-PT1                            | CUSIP: 91534NAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5763869 | PA      | $4695668.69    | 0.01%             | 2027-08-15      | Variable      | 29.67%                | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-17                                          | CUSIP: 12669G5Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12231801 | PA      | $6251534.03    | 0.02%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-HYB1                                        | CUSIP: 12669GLP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7985164 | PA      | $7278627.61    | 0.02%             | 2035-03-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-3                                              | CUSIP: 91679LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5647126 | PA      | $5531322.55    | 0.02%             | 2031-07-20      | Fixed         | 0.83%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-3                                              | CUSIP: 91679LAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10000000 | PA      | $9304010.00    | 0.03%             | 2031-07-20      | Fixed         | 1.66%                 | No            |                  2 | On Loan: No      |
| Cascade MH Asset Trust                            | Cascade MH Asset Trust 2019-MH1                                                  | CUSIP: 14732FAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   17978094 | PA      | $16897025.97   | 0.05%             | 2044-11-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitiza                    | Castlelake Aircraft Securitization Trust 2016-1                                  | CUSIP: 14855JAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6046168 | PA      | $5436611.80    | 0.02%             | 2041-08-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| Upstart Securitization Trust                      | Upstart Securitization Trust 2021-3                                              | CUSIP: 91679LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7500000 | PA      | $6461238.00    | 0.02%             | 2031-07-20      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                    | VCAT 2021-NPL5 LLC                                                               | CUSIP: 91824AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   36746899 | PA      | $32385016.22   | 0.10%             | 2051-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitiza                    | Castlelake Aircraft Structured Trust 2017-1R                                     | CUSIP: 14856JAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   15077529 | PA      | $13088742.64   | 0.04%             | 2041-08-15      | Fixed         | 2.74%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Trust Series 2006-S1                                      | CUSIP: 16162WRB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7099696 | PA      | $3457048.73    | 0.01%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29125502 | PA      | $27198316.81   | 0.08%             | 2049-03-25      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2019-1                                    | CUSIP: 92257CAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2851597 | PA      | $2315452.96    | 0.01%             | 2049-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| ChaseFlex Trust                                   | ChaseFlex Trust Series 2006-1                                                    | CUSIP: 16165LAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130892 | PA      | $118970.02     | 0.00%             | 2036-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2019-D                                             | CUSIP: 17327WBX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  174488638 | PA      | $142043453.15  | 0.44%             | 2064-04-25      | Variable      | 3.37%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10697436 | PA      | $10098682.38   | 0.03%             | 2049-07-25      | Variable      | 3.13%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2019-2                                    | CUSIP: 92257NAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3913594 | PA      | $3543377.14    | 0.01%             | 2049-07-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2020-555                                     | CUSIP: 17328EAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23804000 | PA      | $17466234.99   | 0.05%             | 2041-12-10      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2021-RP2                                           | CUSIP: 17329JAM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26589300 | PA      | $21233066.32   | 0.07%             | 2065-03-25      | Variable      | 3.40%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2017-2                                    | CUSIP: 92258VAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9178810 | PA      | $8569414.25    | 0.03%             | 2047-11-25      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2018-2                                    | CUSIP: 92259BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11042980 | PA      | $10592447.54   | 0.03%             | 2048-10-26      | Variable      | 4.05%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                     | Citigroup Mortgage Loan Trust 2021-RP2                                           | CUSIP: 17329JAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   78062181 | PA      | $75272082.10   | 0.23%             | 2065-03-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2006-A5                               | CUSIP: 18974BAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     428891 | PA      | $410320.75     | 0.00%             | 2021-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Velocity Commercial Capital Lo                    | Velocity Commercial Capital Loan Trust 2020-1                                    | CUSIP: 92259LAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2497239 | PA      | $2036794.78    | 0.01%             | 2050-02-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2021-4                                                | CUSIP: 92538HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $1384632.75    | 0.00%             | 2066-07-25      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| Citimortgage Alternative Loan                     | CitiMortgage Alternative Loan Trust Series 2006-A5                               | CUSIP: 18974BAU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1627443 | PA      | $1332337.36    | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-J4                                                   | CUSIP: 23242WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     839465 | PA      | $533618.56     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra                    | VOLT XCIV LLC                                                                    | CUSIP: 92873AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   67963110 | PA      | $61774871.68   | 0.19%             | 2051-02-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra                    | VOLT XCIII LLC                                                                   | CUSIP: 92873CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7926061 | PA      | $7169821.66    | 0.02%             | 2051-02-27      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EEPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1149934 | PA      | $1063124.07    | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ELJ53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26899912 | PA      | $24061033.96   | 0.07%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ELXW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     559861 | PA      | $559327.31     | 0.00%             | 2026-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ELYJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4468572 | PA      | $4309911.06    | 0.01%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ENXD6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9865085 | PA      | $8875859.45    | 0.03%             | 2053-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ENXE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18341749 | PA      | $16165268.50   | 0.05%             | 2053-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ENZF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24882499 | PA      | $23919206.54   | 0.07%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EPA38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23661717 | PA      | $21555920.90   | 0.07%             | 2044-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EPF41<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7768510 | PA      | $7638748.80    | 0.02%             | 2045-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EPHQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   23978834 | PA      | $23793420.19   | 0.07%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra                    | VOLT XCVI LLC                                                                    | CUSIP: 92873FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9458088 | PA      | $8620704.61    | 0.03%             | 2051-03-27      | Variable      | 2.12%                 | No            |                  2 | On Loan: No      |
| Vericrest Opportunity Loan Tra                    | VOLT CIII LLC                                                                    | CUSIP: 92873JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17089455 | PA      | $15362980.74   | 0.05%             | 2051-08-25      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ERG61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11312029 | PA      | $10305354.35   | 0.03%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ERP79<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20391714 | PA      | $19529322.37   | 0.06%             | 2031-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Voyager OPTONE Delaware Trust                     | Voyager OPTONE Delaware Trust                                                    | CUSIP: 92911FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6380460 | PA      | $4603284.43    | 0.01%             | 2038-02-25      | Variable      | 18.69%                | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust   | CUSIP: 93935YAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3932931 | PA      | $1961008.64    | 0.01%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ETGN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22764393 | PA      | $21194069.33   | 0.07%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138L95L2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28568761 | PA      | $25396438.20   | 0.08%             | 2040-06-01      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2015-P2                                    | CUSIP: 95000AAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   84296605 | PA      | $1874925.09    | 0.01%             | 2048-12-15      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2016-LC24                                  | CUSIP: 95000HBM3<br>LEI: 5493007OD9MH69ES1S63 | Long             | ABS-MBS          | CORP              | US        |    5890000 | PA      | $5138787.04    | 0.02%             | 2049-10-15      | Variable      | 4.43%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138LLH65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10026000 | PA      | $8942141.07    | 0.03%             | 2032-11-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WBD93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6459784 | PA      | $6339121.34    | 0.02%             | 2044-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2017-C39                                   | CUSIP: 95000XAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  188378718 | PA      | $6911050.03    | 0.02%             | 2050-09-15      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                    | Wells Fargo Commercial Mortgage Trust 2020-C55                                   | CUSIP: 95002EBG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   52886315 | PA      | $2419617.66    | 0.01%             | 2053-02-15      | Variable      | 0.81%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WDTL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12551123 | PA      | $11313454.57   | 0.03%             | 2044-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WDXK2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11965635 | PA      | $11231992.91   | 0.03%             | 2035-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                               | US 10yr Ultra Fut Mar23                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      10150 | NC      | $-11199109.34  | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                               | US ULTRA BOND CBT Mar23                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       9000 | NC      | $-17067112.30  | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WDZK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9065233 | PA      | $8471809.49    | 0.03%             | 2045-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WED71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   72136509 | PA      | $64993541.40   | 0.20%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WEET2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   27998188 | PA      | $25225813.36   | 0.08%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WEJ26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    9978329 | PA      | $9366490.76    | 0.03%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138YHMY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17706921 | PA      | $15931504.35   | 0.05%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138YHX21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     426746 | PA      | $378409.76     | 0.00%             | 2045-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138YHXZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6165342 | PA      | $5543381.73    | 0.02%             | 2045-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138YKCH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2807752 | PA      | $2489754.78    | 0.01%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138YRUA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6069015 | PA      | $5538998.17    | 0.02%             | 2042-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31392FCA3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     335434 | PA      | $341135.01     | 0.00%             | 2032-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31392FNA1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     477227 | PA      | $478833.21     | 0.00%             | 2032-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31393ACB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1191420 | PA      | $1188199.44    | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31393DJL6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     592552 | PA      | $595204.46     | 0.00%             | 2033-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31393EMJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4698300 | PA      | $4673947.55    | 0.01%             | 2033-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31393FCL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     472206 | PA      | $474064.93     | 0.00%             | 2032-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31393NY94<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     250439 | PA      | $251019.31     | 0.00%             | 2033-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                              | Fannie Mae REMIC Trust 2004-W10                                                  | CUSIP: 31394ALV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1803471 | PA      | $1808440.78    | 0.01%             | 2034-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31394DKZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     250145 | PA      | $244489.76     | 0.00%             | 2035-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31394FU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2365600 | PA      | $219574.95     | 0.00%             | 2035-10-25      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31394L5S7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     168591 | PA      | $162946.99     | 0.00%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31394RHM4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1142729 | PA      | $1146067.01    | 0.00%             | 2034-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31394V6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     303401 | PA      | $303765.88     | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31395CQX2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2979723 | PA      | $3023496.03    | 0.01%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396PF48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3291969 | PA      | $215258.89     | 0.00%             | 2037-03-25      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396PTY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     203349 | PA      | $13320.72      | 0.00%             | 2037-03-25      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396Q7B9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1390321 | PA      | $1339883.33    | 0.00%             | 2039-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396X2R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4373603 | PA      | $4361713.61    | 0.01%             | 2035-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31397EQ65<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2287080 | PA      | $173344.92     | 0.00%             | 2037-01-15      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397LWC9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3511359 | PA      | $3510465.17    | 0.01%             | 2034-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397LWE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317500 | PA      | $19772.81      | 0.00%             | 2037-06-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31397LY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     225550 | PA      | $12050.60      | 0.00%             | 2038-07-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418PM36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     205553 | PA      | $201751.20     | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3617UMG26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10752828 | PA      | $9146298.28    | 0.03%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374GU91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1290801 | PA      | $1318954.64    | 0.00%             | 2034-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374KK93<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     601042 | PA      | $604542.39     | 0.00%             | 2035-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374M4Z9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     456392 | PA      | $457571.85     | 0.00%             | 2036-05-20      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374T4F8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1449247 | PA      | $1439800.00    | 0.00%             | 2039-06-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374TAP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2958625 | PA      | $246038.94     | 0.00%             | 2039-02-16      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374TR48<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11230966 | PA      | $11013804.34   | 0.03%             | 2039-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374UCH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2082409 | PA      | $2046535.61    | 0.01%             | 2039-05-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374UV32<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8980 | PA      | $8769.78       | 0.00%             | 2039-06-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38375QNX3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1515939 | PA      | $40215.13      | 0.00%             | 2038-05-20      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38375QU31<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1744566 | PA      | $100974.09     | 0.00%             | 2038-06-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38375QV30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1387371 | PA      | $86546.43      | 0.00%             | 2038-06-16      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38375YDW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     496683 | PA      | $12961.75      | 0.00%             | 2038-09-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38375YFD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     883707 | PA      | $35984.02      | 0.00%             | 2036-11-16      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38376CJK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1599663 | PA      | $1570127.50    | 0.00%             | 2039-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38376JBZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3481066 | PA      | $3408334.36    | 0.01%             | 2039-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38376KXF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     661377 | PA      | $10616.42      | 0.00%             | 2037-03-20      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38376TYT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3123204 | PA      | $189634.08     | 0.00%             | 2040-01-16      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377DBR6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8335985 | PA      | $234733.00     | 0.00%             | 2040-03-20      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377ELC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1919342 | PA      | $136778.03     | 0.00%             | 2040-04-20      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377ELF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2010241 | PA      | $2012966.68    | 0.01%             | 2039-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377FGS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     587359 | PA      | $30511.94      | 0.00%             | 2039-09-20      | Floating      | 2.20%                 | No            |                  2 | On Loan: No      |
| BX Trust 2019-OC11                                | BX Trust 2019-OC11                                                               | CUSIP: 05606FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  173184000 | PA      | $134806529.51  | 0.42%             | 2041-12-09      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377FHZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    6039457 | PA      | $437215.60     | 0.00%             | 2040-05-20      | Floating      | 1.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377QPC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2969492 | PA      | $2346823.46    | 0.01%             | 2040-12-20      | Floating      | 0.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AUJX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2564245 | PA      | $2482830.73    | 0.01%             | 2044-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136B0YQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32967541 | PA      | $29754260.94   | 0.09%             | 2048-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377QPD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2973250 | PA      | $2322930.24    | 0.01%             | 2040-12-20      | Floating      | 0.79%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377V3S3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8361911 | PA      | $8189691.78    | 0.03%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137B1A69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   77539187 | PA      | $73779296.37   | 0.23%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LVJA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1619846 | PA      | $1274802.96    | 0.00%             | 2051-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377VE44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8443906 | PA      | $548423.22     | 0.00%             | 2041-05-20      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377VE69<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     828873 | PA      | $684756.37     | 0.00%             | 2041-05-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140MM4F2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11569796 | PA      | $11182852.28   | 0.03%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QNV25<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14446230 | PA      | $13224504.38   | 0.04%             | 2052-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377WGK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3254926 | PA      | $217288.76     | 0.00%             | 2041-05-20      | Floating      | 1.03%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38377WJJ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2614076 | PA      | $174561.20     | 0.00%             | 2041-05-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QPXV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   98071876 | PA      | $96906059.32   | 0.30%             | 2052-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Ginnie Mae II Pool                                                               | CUSIP: 3622ABDN9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   57937607 | PA      | $49357077.60   | 0.15%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38378JBE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    5780160 | PA      | $600464.96     | 0.00%             | 2043-02-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38378JM66<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4194128 | PA      | $4066106.65    | 0.01%             | 2042-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2005-4                                                    | CUSIP: 525221CK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     925376 | PA      | $987601.01     | 0.00%             | 2035-10-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2007-15N                                                  | CUSIP: 52524VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10522683 | PA      | $9039030.29    | 0.03%             | 2047-08-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38378PFE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19935130 | PA      | $18055844.89   | 0.06%             | 2043-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38378PFF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   61451072 | PA      | $55919351.23   | 0.17%             | 2043-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Alternative Loan T                    | Wells Fargo Alternative Loan 2007-PA3 Trust                                      | CUSIP: 94985GBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1784207 | PA      | $1501585.80    | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380RTF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  248932290 | PA      | $17290712.42   | 0.05%             | 2063-03-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380RUJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  273869308 | PA      | $19098550.08   | 0.06%             | 2063-05-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380RV49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  166966301 | PA      | $10998337.40   | 0.03%             | 2062-10-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380RWA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   28549879 | PA      | $2096597.45    | 0.01%             | 2062-12-16      | Variable      | 0.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381DAX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  183816448 | PA      | $10783003.70   | 0.03%             | 2063-04-16      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381DZY9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  114756194 | PA      | $8076632.73    | 0.02%             | 2063-10-16      | Variable      | 0.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382NXY8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23712709 | PA      | $3670914.71    | 0.01%             | 2051-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382PV41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   52527040 | PA      | $5422754.99    | 0.02%             | 2049-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382QU24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  110404061 | PA      | $3654164.66    | 0.01%             | 2051-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382THS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   53842509 | PA      | $45060935.99   | 0.14%             | 2051-05-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382WAV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  128753151 | PA      | $886619.95     | 0.00%             | 2051-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382WEN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   19106035 | PA      | $1808187.53    | 0.01%             | 2051-07-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38382WFP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   24427342 | PA      | $2655765.09    | 0.01%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA REMIC TRUST 2021-125 IO     20510620 3.00000 | GNMA REMIC TRUST 2021-125 IO     20510620 3.00000                                | CUSIP: 38382WHP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29066097 | PA      | $3910157.41    | 0.01%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag                    | PRPM 2020-4 LLC                                                                  | CUSIP: 69359XAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $5318826.15    | 0.02%             | 2025-10-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag                    | PRPM 2021-6 LLC                                                                  | CUSIP: 69360FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   54245198 | PA      | $49243145.01   | 0.15%             | 2026-07-25      | Variable      | 1.79%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag                    | PRPM 2021-10 LLC                                                                 | CUSIP: 69360HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  201446734 | PA      | $187218691.82  | 0.58%             | 2026-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag                    | PRPM 2021-7 LLC                                                                  | CUSIP: 69360LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   46032385 | PA      | $41957464.70   | 0.13%             | 2026-08-25      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| Preston Ridge Partners Mortgag                    | PRPM 2021-11 LLC                                                                 | CUSIP: 69362QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  107292089 | PA      | $96826775.63   | 0.30%             | 2026-11-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| People's Choice Home Loan Secu                    | People's Choice Home Loan Securities Trust Series 2005-1                         | CUSIP: 71085PBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10080000 | PA      | $7219681.06    | 0.02%             | 2035-01-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Pioneer Aircraft Finance Limit                    | Pioneer Aircraft Finance Ltd                                                     | CUSIP: 72353PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |   35748552 | PA      | $28426926.99   | 0.09%             | 2044-06-15      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| PMT CREDIT RISK TRANSFER TRUST                    | PMT Credit Risk Transfer Trust 2020-1R                                           | CUSIP: 730151AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29064188 | PA      | $27615721.81   | 0.09%             | 2023-02-27      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                    | Pretium Mortgage Credit Partners I 2021-NPL1 LLC                                 | CUSIP: 741389AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   57909041 | PA      | $53024749.20   | 0.16%             | 2060-09-27      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                    | PRET 2021-RN2 LLC                                                                | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19070283 | PA      | $17310705.96   | 0.05%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Pretium Mortgage Credit Partne                    | PRET 2021-NPL5 LLC                                                               | CUSIP: 74143KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28495610 | PA      | $25870397.71   | 0.08%             | 2051-10-25      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR2 Trust                                             | CUSIP: 74333DAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20000000 | PA      | $16949366.00   | 0.05%             | 2038-04-19      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                        | Progress Residential 2021-SFR10 Trust                                            | CUSIP: 74333WAL6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   23994428 | PA      | $19088789.00   | 0.06%             | 2040-12-17      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8150944 | PA      | $451004.78     | 0.00%             | 2037-01-25      | Floating      | 1.06%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS1 Trust                                                       | CUSIP: 74922KAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1999899 | PA      | $1495379.14    | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     607794 | PA      | $490916.29     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240515 | PA      | $194264.79     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     541865 | PA      | $437665.35     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS16 Trust                                                      | CUSIP: 74922LAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1926785 | PA      | $1560293.73    | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securities C                    | RASC Series 2007-EMX1 Trust                                                      | CUSIP: 74924XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8561086 | PA      | $8360496.15    | 0.03%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS11 Trust                                                      | CUSIP: 74925GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2506104 | PA      | $1924113.65    | 0.01%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                      | RBSSP Resecuritization Trust 2010-4                                              | CUSIP: 74927DAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2920974 | PA      | $1477283.14    | 0.00%             | 2037-07-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSGC Mortgage Pass Through Ce                    | RBSGC Structured Trust 2008-B                                                    | CUSIP: 74928BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12833713 | PA      | $10983232.80   | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                      | RBSSP Resecuritization Trust 2009-12                                             | CUSIP: 74928UBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1765983 | PA      | $1680075.10    | 0.01%             | 2035-10-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                      | RBSSP Resecuritization Trust 2009-12                                             | CUSIP: 74928UCD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14625086 | PA      | $12038297.45   | 0.04%             | 2035-12-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2006-S9 Trust                                                       | CUSIP: 749577AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2435481 | PA      | $1946575.55    | 0.01%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1196424 | PA      | $997013.55     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2006-S5 Trust                                                       | CUSIP: 74957EAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81912 | PA      | $68259.75      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S5 Trust                                                       | CUSIP: 749580AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11178860 | PA      | $9124143.13    | 0.03%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S5 Trust                                                       | CUSIP: 749580AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3239678 | PA      | $2645124.99    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S1 Trust                                                       | CUSIP: 749581AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2936824 | PA      | $2347353.69    | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S3 Trust                                                       | CUSIP: 74958BAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1647529 | PA      | $1169050.52    | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2006-S10 Trust                                                      | CUSIP: 74958DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3883156 | PA      | $3091510.46    | 0.01%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-SA1 Trust                                                      | CUSIP: 74958WAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     333942 | PA      | $317853.35     | 0.00%             | 2037-02-25      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-SA2 Trust                                                      | CUSIP: 74958XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800269 | PA      | $2176512.21    | 0.01%             | 2037-04-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S4 Trust                                                       | CUSIP: 74958YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1558604 | PA      | $1187529.80    | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2007-S4 Trust                                                       | CUSIP: 74958YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     872864 | PA      | $665048.79     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RSFR 2021-1 Trust                                 | RSFR 2021-1                                                                      | CUSIP: 74985RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   68994994 | PA      | $58790427.68   | 0.18%             | 2026-06-19      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2302976 | PA      | $1784823.71    | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CDE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     253491 | PA      | $268030.47     | 0.00%             | 2037-04-25      | Floating      | 19.26%                | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS6 Trust                                                       | CUSIP: 75116CEF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1608312 | PA      | $1246454.15    | 0.00%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS14 Trust                                                      | CUSIP: 761118JH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5008180 | PA      | $1849268.84    | 0.01%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2005-QS15 Trust                                                      | CUSIP: 761118KH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1307785 | PA      | $1080006.39    | 0.00%             | 2035-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AASET 2018-1 Trust                                | AASET 2018-1 US Ltd                                                              | CUSIP: 000367AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3596243 | PA      | $2029467.80    | 0.01%             | 2038-01-16      | Fixed         | 5.44%                 | No            |                  3 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-43CB                                                 | CUSIP: 02149FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9622826 | PA      | $5531337.85    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-43CB                                                 | CUSIP: 02149FAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2781367 | PA      | $1561676.89    | 0.00%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-2CB                                                  | CUSIP: 02149HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3297224 | PA      | $1899042.02    | 0.01%             | 2037-03-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9821775 | PA      | $3941353.39    | 0.01%             | 2037-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2006-45T1                                                 | CUSIP: 02149JAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3168314 | PA      | $745141.28     | 0.00%             | 2037-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-11T1                                                 | CUSIP: 02150GBA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     590772 | PA      | $631941.39     | 0.00%             | 2037-05-25      | Floating      | 13.57%                | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     408389 | PA      | $147996.08     | 0.00%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     408389 | PA      | $38375.81      | 0.00%             | 2037-05-25      | Floating      | 1.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-9T1                                                  | CUSIP: 02150JAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1411957 | PA      | $689213.54     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-15CB                                                 | CUSIP: 02151CAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5299144 | PA      | $3328505.48    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-15CB                                                 | CUSIP: 02151CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6357054 | PA      | $3993000.85    | 0.01%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-23CB                                                 | CUSIP: 02151EAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7030805 | PA      | $3188075.50    | 0.01%             | 2037-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-23CB                                                 | CUSIP: 02151EAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9978170 | PA      | $1749704.96    | 0.01%             | 2037-09-25      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3295105 | PA      | $788233.58     | 0.00%             | 2037-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-17CB                                                 | CUSIP: 02151HAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4982940 | PA      | $4805136.57    | 0.01%             | 2037-08-25      | Floating      | 9.71%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                      | Atrium Hotel Portfolio Trust 2017-ATRM                                           | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10446000 | PA      | $9358762.56    | 0.03%             | 2036-12-15      | Floating      | 7.62%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust Series 2006-4                                         | CUSIP: 12637HAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7094686 | PA      | $3094304.80    | 0.01%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                          | FBR Securitization Trust                                                         | CUSIP: 30246QCR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $4928518.10    | 0.02%             | 2035-11-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FMC GMSR ISSUER TRUST                             | FMC GMSR Issuer Trust                                                            | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   62350000 | PA      | $54626337.64   | 0.17%             | 2026-01-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC GMSR Issuer Trust                                                            | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   72500000 | PA      | $59078546.25   | 0.18%             | 2026-07-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                             | FMC GMSR Issuer Trust                                                            | CUSIP: 30259RAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   64820000 | PA      | $52166098.88   | 0.16%             | 2026-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2017-KF34 Mortgage Trust                                                   | CUSIP: 30304QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1479905 | PA      | $1467271.42    | 0.00%             | 2024-08-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| FREMF Mortgage Trust                              | FREMF 2017-KF36 Mortgage Trust                                                   | CUSIP: 30305DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3878773 | PA      | $3845582.15    | 0.01%             | 2024-08-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                               | CUSIP: 3128HXUQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9188565 | PA      | $8518879.16    | 0.03%             | 2042-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAAA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5757310 | PA      | $5526190.95    | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJWA4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19052584 | PA      | $17175978.93   | 0.05%             | 2045-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJWJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  102033526 | PA      | $91941393.69   | 0.28%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJWP1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   19477068 | PA      | $17534433.46   | 0.05%             | 2045-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DVLP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  218149759 | PA      | $189200674.94  | 0.58%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31398TXD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     216991 | PA      | $12557.98      | 0.00%             | 2040-08-25      | Floating      | 1.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398VCE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3778597 | PA      | $3845729.53    | 0.01%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398W4N1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2567209 | PA      | $2612890.94    | 0.01%             | 2036-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31398WVN1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3485188 | PA      | $3546987.44    | 0.01%             | 2037-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402Q6T3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2645667 | PA      | $2704269.00    | 0.01%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RAB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4435517 | PA      | $4533764.12    | 0.01%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RCV9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2982834 | PA      | $3048911.19    | 0.01%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140FXNH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   36775431 | PA      | $32801038.47   | 0.10%             | 2053-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HNE73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   21012474 | PA      | $15753241.12   | 0.05%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HNFH0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19335239 | PA      | $16627814.01   | 0.05%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HR6G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   44321139 | PA      | $39574751.60   | 0.12%             | 2048-12-01      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HYLV8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6582291 | PA      | $4991782.60    | 0.02%             | 2050-05-01      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HYNF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   16994313 | PA      | $14198588.79   | 0.04%             | 2032-05-01      | Fixed         | 2.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140HYVF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28785015 | PA      | $22083619.70   | 0.07%             | 2035-05-01      | Fixed         | 1.96%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J1FK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   32000000 | PA      | $23328515.84   | 0.07%             | 2035-09-01      | Fixed         | 1.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J2J64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10950000 | PA      | $7496392.12    | 0.02%             | 2050-12-01      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140LDWZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48402000 | PA      | $36088471.18   | 0.11%             | 2035-12-01      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| Homeward Opportunities Fund I                     | Homeward Opportunities Fund Trust 2020-BPL1                                      | CUSIP: 43789YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   31033210 | PA      | $30972698.84   | 0.10%             | 2025-08-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Horizon Aircraft Finance II LL                    | Horizon Aircraft Finance II Ltd                                                  | CUSIP: 44040HAA0<br>LEI: 549300KSCDSEIWTVMM32 | Long             | ABS-O            | CORP              | US        |   14678807 | PA      | $11550533.35   | 0.04%             | 2039-07-15      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corpo                    | HSI Asset Securitization Corp Trust 2006-HE1                                     | CUSIP: 44328AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28436770 | PA      | $9424235.74    | 0.03%             | 2036-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                   | Impac CMB Trust Series 2002-9F                                                   | CUSIP: 45254NDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246612 | PA      | $234646.02     | 0.00%             | 2032-12-25      | Variable      | 5.22%                 | No            |                  2 | On Loan: No      |
| Impac Secured Assets Corp.                        | Impac Secured Assets Trust 2007-3                                                | CUSIP: 45257VAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10644401 | PA      | $8682832.86    | 0.03%             | 2037-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2021-NQM4                                           | CUSIP: 45276JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27630975 | PA      | $22891309.27   | 0.07%             | 2057-01-25      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2021-NQM4                                           | CUSIP: 45276JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14287056 | PA      | $11680701.22   | 0.04%             | 2057-01-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LK81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1543098 | PA      | $90884.29      | 0.00%             | 2035-11-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| IndyMac IMSC Mortgage Loan Tru                    | IndyMac IMSC Mortgage Loan Trust 2007-F1                                         | CUSIP: 456671AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   29350943 | PA      | $8291189.45    | 0.03%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru                    | IndyMac INDA Mortgage Loan Trust 2007-AR3                                        | CUSIP: 456673AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2351962 | PA      | $2060570.20    | 0.01%             | 2037-07-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                    | IndyMac INDX Mortgage Loan Trust 2007-AR21IP                                     | CUSIP: 45670BAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5056550 | PA      | $4697365.38    | 0.01%             | 2037-09-25      | Variable      | 3.44%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                    | Morgan Stanley Mortgage Loan Trust 2006-7                                        | CUSIP: 61749JAE6<br>LEI: 549300E4V6DCTUJSC749 | Long             | ABS-MBS          | CORP              | US        |   16145850 | PA      | $10725421.52   | 0.03%             | 2036-06-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp Mortgage Loan Trust 2007-MLN1                   | CUSIP: 863613AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13751766 | PA      | $8834920.80    | 0.03%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp Mortgage Loan Trust Series 2007-RF1             | CUSIP: 86362CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16124349 | PA      | $13207770.67   | 0.04%             | 2037-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                    | Structured Adjustable Rate Mortgage Loan Trust Series 2006-12                    | CUSIP: 86362RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2413055 | PA      | $1859999.63    | 0.01%             | 2037-01-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp                                                 | CUSIP: 86363TAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   53669027 | PA      | $3282751.90    | 0.01%             | 2045-03-28      | Floating      | 1.86%                 | No            |                  3 | On Loan: No      |
| Structured Asset Securities Co                    | Structured Asset Securities Corp Mortgage Loan Trust 2007-BC4                    | CUSIP: 86365DAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20127500 | PA      | $14682014.94   | 0.05%             | 2037-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Project Sunbird                                   | Sunbird Engine Finance LLC                                                       | CUSIP: 86709LAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | SG        |   39421946 | PA      | $31999424.38   | 0.10%             | 2045-02-15      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                | SUNNOVA HELIOS II ISSUER LLC 2018-1                                              | CUSIP: 86745JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12811889 | PA      | $11348602.40   | 0.04%             | 2048-07-20      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| Helios Issuer, LLC                                | SUNNOVA HELIOS II ISSUER LLC 2019-A                                              | CUSIP: 86745LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   12490095 | PA      | $11136339.64   | 0.03%             | 2046-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Tharaldson Hotel Portfolio Tru                    | Tharaldson Hotel Portfolio Trust 2018-THPT                                       | CUSIP: 88327HAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7562909 | PA      | $7088512.22    | 0.02%             | 2034-11-11      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Wind River CLO Ltd                                | THL Credit Wind River 2013-2 CLO Ltd                                             | CUSIP: 88432ABA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4000000 | PA      | $3747108.00    | 0.01%             | 2030-10-18      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C3                                            | CUSIP: 90276GAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6857000 | PA      | $5753776.58    | 0.02%             | 2050-08-15      | Variable      | 4.09%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2019-C18                                           | CUSIP: 90278PBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14858000 | PA      | $12606295.36   | 0.04%             | 2052-12-15      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-6                                                    | CUSIP: 02150AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4853420 | PA      | $2793063.20    | 0.01%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-6                                                    | CUSIP: 02150AAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5321814 | PA      | $3062615.92    | 0.01%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EAT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3634012 | PA      | $475194.32     | 0.00%             | 2037-04-25      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3634012 | PA      | $1692710.50    | 0.01%             | 2037-04-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14474195 | PA      | $7997437.08    | 0.02%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-5CB                                                  | CUSIP: 02150EBP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5816503 | PA      | $2770891.34    | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2007-24                                                   | CUSIP: 02151GAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4358347 | PA      | $1119898.23    | 0.00%             | 2037-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-7                                           | CUSIP: 12544TAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1337742 | PA      | $723312.42     | 0.00%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2005-R1                                            | CUSIP: 12669GWN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     290532 | PA      | $275354.87     | 0.00%             | 2035-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2005-R1                                            | CUSIP: 12669GWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     288477 | PA      | $14785.94      | 0.00%             | 2035-03-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-J1                                          | CUSIP: 12669MAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15724080 | PA      | $6475927.63    | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2004-R2                                            | CUSIP: 12669UCB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     942486 | PA      | $891049.91     | 0.00%             | 2034-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2004-R2                                            | CUSIP: 12669UCD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     917037 | PA      | $45271.46      | 0.00%             | 2034-11-25      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2006-14                                          | CUSIP: 12670AAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4577070 | PA      | $2180608.01    | 0.01%             | 2036-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CAJUN GLOBAL LLC                                  | Cajun Global LLC                                                                 | CUSIP: 12803VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    9850000 | PA      | $8381057.68    | 0.03%             | 2051-11-20      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| CAL Funding IV Ltd                                | CAL Funding IV Ltd                                                               | CUSIP: 12807CAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   14088425 | PA      | $12198133.12   | 0.04%             | 2045-09-25      | Fixed         | 2.22%                 | No            |                  2 | On Loan: No      |
| California Housing Finance Age                    | California Housing Finance Agency                                                | CUSIP: 13033DAH8<br>LEI: 549300BOPCVLBA552Z14 | Long             | ABS-MBS          | CORP              | US        |   64083599 | PA      | $3477176.06    | 0.01%             | 2035-03-25      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Capital Four US CLO                               | Capital Four US CLO I Ltd                                                        | CUSIP: 14016TAA7<br>LEI: 549300NMXY8VXHO96C52 | Long             | ABS-CBDO         | CORP              | US        |   16500000 | PA      | $15860016.15   | 0.05%             | 2035-01-18      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| CARBON LEVEL MITIGATION TRUST                     | Carbon Level Mitigation Trust Series 2021-3                                      | CUSIP: 14116CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20362616 | PA      | $15912121.79   | 0.05%             | 2051-09-08      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| CLMTE 2022-3 CERT                                 | CLMTE 2022-3 CERT                                                                | CUSIP: 14116CAJ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   33434339 | PA      | $24366645.15   | 0.08%             | 2052-11-21      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                    | Carrington Mortgage Loan Trust Series 2006-NC5                                   | CUSIP: 144539AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   25841327 | PA      | $21916380.68   | 0.07%             | 2037-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Carrington Mortgage Loan Trust                    | Carrington Mortgage Loan Trust Series 2006-NC4                                   | CUSIP: 14453MAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   44665150 | PA      | $42850619.43   | 0.13%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Chase Funding Mortgage Loan As                    | Chase Funding Trust Series 2003-4                                                | CUSIP: 161546GC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      43915 | PA      | $43701.12      | 0.00%             | 2033-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Trust Series 2005-A1                                      | CUSIP: 16162WPG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2745087 | PA      | $2526185.62    | 0.01%             | 2035-12-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Trust Series 2006-S3                                      | CUSIP: 16162XAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4628256 | PA      | $2105259.27    | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Trust Series 2006-S4                                      | CUSIP: 16162YAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13247754 | PA      | $6396361.49    | 0.02%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Trust Series 2007-S5                                      | CUSIP: 161631AT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2150152 | PA      | $1052290.59    | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Trust Series 2006-S2                                      | CUSIP: 16163BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6907932 | PA      | $3051271.46    | 0.01%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Trust Series 2007-S1                                      | CUSIP: 16163FAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3932051 | PA      | $1620417.31    | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Trust Series 2007-S3                                      | CUSIP: 16163HAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2336825 | PA      | $1220730.39    | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corpora                    | Chase Mortgage Finance Trust Series 2007-S3                                      | CUSIP: 16163HBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1084869 | PA      | $256609.71     | 0.00%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FRTKL                                             | FRTKL 2021-SFR1                                                                  | CUSIP: 30322DAS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7750000 | PA      | $6464281.20    | 0.02%             | 2038-09-17      | Fixed         | 2.37%                 | No            |                  2 | On Loan: No      |
| FRTKL                                             | FRTKL 2021-SFR1                                                                  | CUSIP: 30322DAU3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6650000 | PA      | $5532442.23    | 0.02%             | 2038-09-17      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128E53J6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3038351 | PA      | $2948401.33    | 0.01%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128E6YV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8364373 | PA      | $7881513.14    | 0.02%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MAB73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12235711 | PA      | $11744575.24   | 0.04%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MADJ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   13363255 | PA      | $12860233.77   | 0.04%             | 2042-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128ME6H9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12907197 | PA      | $12359901.67   | 0.04%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3J7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1132352 | PA      | $1050805.27    | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJSY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26707287 | PA      | $24356112.58   | 0.08%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJVG2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   15981369 | PA      | $14453549.32   | 0.04%             | 2044-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A2UP4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4674509 | PA      | $3364172.80    | 0.01%             | 2040-11-15      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A3UK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2099759 | PA      | $2054575.73    | 0.01%             | 2030-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WELW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12886844 | PA      | $12096077.15   | 0.04%             | 2035-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WEM71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8899181 | PA      | $8265701.66    | 0.03%             | 2035-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WH5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   19783914 | PA      | $17716259.70   | 0.05%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WHJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14521328 | PA      | $12876642.33   | 0.04%             | 2046-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WHQP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   30252215 | PA      | $26825782.25   | 0.08%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WJAM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   28261834 | PA      | $25496454.53   | 0.08%             | 2041-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WJFK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   17155781 | PA      | $15362809.60   | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RJL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1247427 | PA      | $1275041.43    | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RRN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1004369 | PA      | $1026627.82    | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403C6L0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2453513 | PA      | $2503359.61    | 0.01%             | 2036-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140EU2T5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8914485 | PA      | $8267949.57    | 0.03%             | 2046-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140F5CT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    8446057 | PA      | $7568606.00    | 0.02%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J2B21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48643000 | PA      | $34907129.83   | 0.11%             | 2035-11-01      | Fixed         | 1.78%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J2UA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   53000000 | PA      | $34586806.25   | 0.11%             | 2050-12-01      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EHK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   48808346 | PA      | $47027744.33   | 0.15%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38378PTH1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4610799 | PA      | $233101.26     | 0.00%             | 2043-02-16      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38378VF67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8455556 | PA      | $800013.95     | 0.00%             | 2043-08-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38378Y2X6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18408856 | PA      | $1288761.64    | 0.00%             | 2044-02-20      | Floating      | 1.20%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38379AL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11295129 | PA      | $1058644.97    | 0.00%             | 2044-03-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38379BFH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   12239673 | PA      | $961857.13     | 0.00%             | 2044-04-16      | Floating      | 1.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38379GZ34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10926231 | PA      | $825617.71     | 0.00%             | 2044-11-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38379HDC6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   10021038 | PA      | $734301.57     | 0.00%             | 2044-11-20      | Floating      | 1.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38379YYJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   11539840 | PA      | $1259408.54    | 0.00%             | 2046-08-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380NRV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   23271754 | PA      | $1528130.40    | 0.00%             | 2061-07-16      | Variable      | 1.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380P7K4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   67040891 | PA      | $3504736.87    | 0.01%             | 2062-12-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380R3P3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  241850419 | PA      | $16440725.46   | 0.05%             | 2063-08-16      | Variable      | 0.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  210989529 | PA      | $13340720.24   | 0.04%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38380RLL2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   40931522 | PA      | $3120361.38    | 0.01%             | 2062-12-16      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   60264714 | PA      | $4393430.23    | 0.01%             | 2063-11-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381DDS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   60456934 | PA      | $4379198.01    | 0.01%             | 2062-12-16      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381DGR5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  319513108 | PA      | $18341170.70   | 0.06%             | 2063-03-16      | Variable      | 0.68%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381DKS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  122853980 | PA      | $8882416.48    | 0.03%             | 2063-06-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381DM23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   69951561 | PA      | $4957313.23    | 0.02%             | 2063-04-16      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381DND8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  133372377 | PA      | $9304070.33    | 0.03%             | 2063-11-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381DNK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   42427681 | PA      | $2208483.84    | 0.01%             | 2061-05-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38381DP87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   87375666 | PA      | $5718055.80    | 0.02%             | 2063-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Imperial Fund LLC                                 | Imperial Fund Mortgage Trust 2021-NQM4                                           | CUSIP: 45276JAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10888446 | PA      | $8838610.10    | 0.03%             | 2057-01-25      | Variable      | 2.45%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back                    | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2006-B                 | CUSIP: 456606LA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12182000 | PA      | $10568941.18   | 0.03%             | 2036-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2005-A16                                  | CUSIP: 45660L2T5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7075052 | PA      | $2890712.69    | 0.01%             | 2036-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2005-A15                                  | CUSIP: 45660L3N7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1732024 | PA      | $1592686.97    | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-A1                                   | CUSIP: 45660L6K0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     647090 | PA      | $314278.71     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Tru                    | IndyMac INDX Mortgage Loan Trust 2005-AR15                                       | CUSIP: 45660LVL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5813644 | PA      | $4798641.40    | 0.01%             | 2035-09-25      | Variable      | 3.23%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3803897 | PA      | $1635844.93    | 0.01%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3161396 | PA      | $1359541.86    | 0.00%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitizati                    | Residential Asset Securitization Trust 2006-A2                                   | CUSIP: 45661EBX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5462973 | PA      | $2360320.56    | 0.01%             | 2046-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IndyMac INDA Mortgage Loan Tru                    | IndyMac INDA Mortgage Loan Trust 2006-AR3                                        | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8574458 | PA      | $7290114.70    | 0.02%             | 2036-12-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| IndyMac IMJA Mortgage Loan Tru                    | IndyMac IMJA Mortgage Loan Trust 2007-A1                                         | CUSIP: 456652AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3202295 | PA      | $1380846.34    | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                    | MASTR Adjustable Rate Mortgages Trust 2005-2                                     | CUSIP: 576433XV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2489796 | PA      | $2183906.66    | 0.01%             | 2035-03-25      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2005-2                                              | CUSIP: 576434J47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1111612 | PA      | $948562.11     | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2006-QS15 Trust                                                      | CUSIP: 74922YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1334253 | PA      | $1120757.02    | 0.00%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QA5 Trust                                                       | CUSIP: 749236AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   23293063 | PA      | $16187141.51   | 0.05%             | 2037-09-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS2 Trust                                                       | CUSIP: 74923CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2756944 | PA      | $2198050.21    | 0.01%             | 2037-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS4 Trust                                                       | CUSIP: 74923HAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3607138 | PA      | $2978907.26    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1462084 | PA      | $1131741.69    | 0.00%             | 2037-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Residential Accredit Loans, In                    | RALI Series 2007-QS5 Trust                                                       | CUSIP: 74923JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     603169 | PA      | $439486.62     | 0.00%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Lehman XS Trust                                   | Lehman XS Trust Series 2005-2                                                    | CUSIP: 86359DMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4982494 | PA      | $4346832.17    | 0.01%             | 2035-08-25      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mor                    | Structured Adjustable Rate Mortgage Loan Trust Series 2006-8                     | CUSIP: 86361JBA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1944960 | PA      | $1769239.71    | 0.01%             | 2036-09-25      | Variable      | 3.94%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus                    | Suntrust Alternative Loan Trust Series 2005-1F                                   | CUSIP: 86789MAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     234808 | PA      | $206436.42     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trus                    | SunTrust Alternative Loan Trust 2006-1F                                          | CUSIP: 86800RAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     455749 | PA      | $221816.16     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2019-FL3 Issuer Ltd                                                         | CUSIP: 87276VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     498505 | PA      | $498726.76     | 0.00%             | 2034-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2019-FL3 Issuer Ltd                                                         | CUSIP: 87276VAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   31066000 | PA      | $31009211.35   | 0.10%             | 2034-10-15      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| TTAN                                              | TTAN 2021-MHC                                                                    | CUSIP: 87303TAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24601669 | PA      | $22900899.37   | 0.07%             | 2038-03-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                            | Taco Bell Funding LLC                                                            | CUSIP: 87342RAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5247000 | PA      | $4449984.37    | 0.01%             | 2051-08-25      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| Taco Bell Funding, LLC                            | Taco Bell Funding LLC                                                            | CUSIP: 87342RAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7474500 | PA      | $5703100.31    | 0.02%             | 2051-08-25      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| TLWND 2019-1                                      | GAIA Aviation Ltd                                                                | CUSIP: 87404LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |   10647108 | PA      | $8908627.30    | 0.03%             | 2044-12-15      | Variable      | 3.97%                 | No            |                  2 | On Loan: No      |
| Terwin Mortgage Trust                             | Terwin Mortgage Trust 2006-7                                                     | CUSIP: 88156PAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11080773 | PA      | $5288729.01    | 0.02%             | 2037-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li                    | Textainer Marine Containers VII Ltd                                              | CUSIP: 88315LAE8<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | US        |    9678952 | PA      | $8776939.62    | 0.03%             | 2045-08-21      | Fixed         | 2.73%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li                    | Textainer Marine Containers VII Ltd                                              | CUSIP: 88315LAG3<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | US        |    8423217 | PA      | $7348691.47    | 0.02%             | 2045-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li                    | Textainer Marine Containers VII Ltd                                              | CUSIP: 88315LAH1<br>LEI: 549300X48KLHDDGPK024 | Long             | ABS-O            | CORP              | US        |    2771935 | PA      | $2414076.78    | 0.01%             | 2045-09-20      | Fixed         | 3.34%                 | No            |                  2 | On Loan: No      |
| Textainer Marine Containers Li                    | Textainer Marine Containers Ltd                                                  | CUSIP: 88315LAS7<br>LEI: 549300Q7RHLEMSLA9Y26 | Long             | ABS-O            | CORP              | US        |   23226667 | PA      | $19018210.68   | 0.06%             | 2046-08-20      | Fixed         | 1.94%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C1                                            | CUSIP: 90276EAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   84066800 | PA      | $4227677.33    | 0.01%             | 2050-06-15      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C1                                            | CUSIP: 90276EAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $6646744.80    | 0.02%             | 2050-06-15      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C3                                            | CUSIP: 90276GAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10688502 | PA      | $351819.54     | 0.00%             | 2050-08-15      | Variable      | 1.12%                 | No            |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                     | UBS Commercial Mortgage Trust 2017-C4                                            | CUSIP: 90276RBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3561000 | PA      | $3110563.06    | 0.01%             | 2050-10-15      | Variable      | 4.24%                 | No            |                  2 | On Loan: No      |
| Bank                                              | Bank 2019-BNK19                                                                  | CUSIP: 06540WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   43097000 | PA      | $37035432.81   | 0.11%             | 2061-08-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| BankUnited Trust                                  | BankUnited Trust 2005-1                                                          | CUSIP: 06652DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6019389 | PA      | $5280594.69    | 0.02%             | 2045-09-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| Bayview Financial Acquisition                     | Bayview Financial Mortgage Pass-Through Trust 2006-C                             | CUSIP: 07325DAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2811133 | PA      | $2407215.88    | 0.01%             | 2036-11-28      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                    | Bayview Commercial Asset Trust 2007-3                                            | CUSIP: 07325YAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     852717 | PA      | $761741.39     | 0.00%             | 2037-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| Barclays Commercial Mortgage S                    | Barclays Commercial Mortgage Trust 2019-C4                                       | CUSIP: 07335CAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  181195802 | PA      | $13033287.23   | 0.04%             | 2052-08-15      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset Backed Secu                    | Bear Stearns Asset Backed Securities I Trust 2006-AC5                            | CUSIP: 073856AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1446456 | PA      | $1415081.98    | 0.00%             | 2036-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2006-6                                                  | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6766677 | PA      | $3141724.20    | 0.01%             | 2036-11-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2006-1                                                  | CUSIP: 07386HA92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5026094 | PA      | $4900099.07    | 0.02%             | 2036-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2006-3                                                  | CUSIP: 07386HK83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14017248 | PA      | $10799476.25   | 0.03%             | 2036-05-25      | Variable      | 3.17%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2521945 | PA      | $2187278.00    | 0.01%             | 2036-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC Mortgage-Backed Trust 2006-9                                                | CUSIP: 126380AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10112243 | PA      | $8266606.14    | 0.03%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM6                                                                   | CUSIP: 12662KAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7445317 | PA      | $3957242.57    | 0.01%             | 2066-07-25      | Variable      | 2.58%                 | No            |                  2 | On Loan: No      |
| Credit Suisse Mortgage Trust                      | CSMC 2021-NQM6                                                                   | CUSIP: 12662KAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3180040 | PA      | $1647066.10    | 0.01%             | 2066-07-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | CWABS Asset-Backed Certificates Trust 2005-11                                    | CUSIP: 126670CM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   17544000 | PA      | $14559107.70   | 0.04%             | 2036-02-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certi                    | CWABS Asset-Backed Certificates Trust 2005-4                                     | CUSIP: 126673N81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2405290 | PA      | $2370913.76    | 0.01%             | 2035-10-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J1                                                   | CUSIP: 12667F3W3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3533863 | PA      | $3230090.47    | 0.01%             | 2035-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J1                                                   | CUSIP: 12667F3Y9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16614 | PA      | $14617.28      | 0.00%             | 2020-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J2                                                   | CUSIP: 12667F6A8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     476842 | PA      | $375732.32     | 0.00%             | 2035-04-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J2                                                   | CUSIP: 12667F6B6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1467208 | PA      | $37852.64      | 0.00%             | 2035-04-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2004-36CB                                                 | CUSIP: 12667FR23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   27014851 | PA      | $19967402.96   | 0.06%             | 2035-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-46CB                                                 | CUSIP: 12667G7H0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200037 | PA      | $1584880.37    | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-13CB                                                 | CUSIP: 12667GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5740450 | PA      | $4712537.43    | 0.01%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-13CB                                                 | CUSIP: 12667GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2622008 | PA      | $2221386.07    | 0.01%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-32T1                                                 | CUSIP: 12667GD67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5784592 | PA      | $3407113.83    | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2898278 | PA      | $2278487.92    | 0.01%             | 2035-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2898278 | PA      | $131989.05     | 0.00%             | 2035-05-25      | Floating      | 0.81%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-20CB                                                 | CUSIP: 12667GPX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2283867 | PA      | $1399511.32    | 0.00%             | 2035-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-20CB                                                 | CUSIP: 12667GPY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4662895 | PA      | $171926.99     | 0.00%             | 2035-07-25      | Floating      | 0.61%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-26CB                                                 | CUSIP: 12667GTX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1514391 | PA      | $1142099.89    | 0.00%             | 2035-07-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-28CB                                                 | CUSIP: 12667GWR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2068418 | PA      | $1765413.06    | 0.01%             | 2035-08-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-J10                                                  | CUSIP: 12668ABM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138381 | PA      | $99426.22      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-73CB                                                 | CUSIP: 12668AU37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2528860 | PA      | $75078.31      | 0.00%             | 2036-01-25      | Floating      | 0.31%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                    | Alternative Loan Trust 2005-60T1                                                 | CUSIP: 12668AUW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     297920 | PA      | $201379.45     | 0.00%             | 2035-12-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank Commercial Mortg                    | DBJPM 16-C1 Mortgage Trust                                                       | CUSIP: 23312LAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5161000 | PA      | $4593494.89    | 0.01%             | 2049-05-10      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 53 CLO Ltd                                                                | CUSIP: 26243EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    3500000 | PA      | $3387047.65    | 0.01%             | 2031-01-15      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| ECAF LTD                                          | ECAF I Ltd                                                                       | CUSIP: 26827EAC9<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | US        |   30524492 | PA      | $18819478.92   | 0.06%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Elevation CLO Ltd                                 | Elevation CLO 2018-9 Ltd                                                         | CUSIP: 28622XAA4<br>LEI: 549300BOE42FYBAXFR86 | Long             | ABS-CBDO         | CORP              | US        |   25500000 | PA      | $24993320.10   | 0.08%             | 2031-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2015-GC33                                    | CUSIP: 29425AAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14310000 | PA      | $12668678.78   | 0.04%             | 2058-09-10      | Variable      | 4.57%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                     | Citigroup Commercial Mortgage Trust 2015-GC33                                    | CUSIP: 29425AAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  157404509 | PA      | $2950075.32    | 0.01%             | 2058-09-10      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                  | Freddie Mac Strips                                                               | CUSIP: 3132J0P50<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   39379630 | PA      | $34126673.80   | 0.11%             | 2047-09-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132J72E1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   40507481 | PA      | $36941577.77   | 0.11%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132M3UU9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2663112 | PA      | $2571453.69    | 0.01%             | 2043-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132QMX22<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10726239 | PA      | $10006090.76   | 0.03%             | 2045-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132QPG73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11005096 | PA      | $10257108.32   | 0.03%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132QWRY7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11939549 | PA      | $11119670.29   | 0.03%             | 2046-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3132WHQ32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   26410676 | PA      | $23692019.64   | 0.07%             | 2046-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A2JC8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     884110 | PA      | $830623.41     | 0.00%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A2JU8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1673499 | PA      | $1573313.74    | 0.00%             | 2041-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A2JW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4604917 | PA      | $4606819.29    | 0.01%             | 2041-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136ABLA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   14503416 | PA      | $14058518.27   | 0.04%             | 2049-11-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AECS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    5692246 | PA      | $4018241.41    | 0.01%             | 2043-04-25      | Floating      | 0.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AEJM0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     994109 | PA      | $517757.38     | 0.00%             | 2043-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AFJ96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1738453 | PA      | $1199307.06    | 0.00%             | 2043-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AFXE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6936135 | PA      | $498766.34     | 0.00%             | 2042-12-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AGVM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10792899 | PA      | $10021862.49   | 0.03%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AHF39<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   22036206 | PA      | $19492266.65   | 0.06%             | 2044-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AHV23<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26405225 | PA      | $23478987.23   | 0.07%             | 2039-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136AJHU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   24869890 | PA      | $22683814.23   | 0.07%             | 2044-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136BLD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   18340276 | PA      | $16613437.82   | 0.05%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A8MK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      52020 | PA      | $68.91         | 0.00%             | 2040-06-15      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A8N46<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3816727 | PA      | $3869629.22    | 0.01%             | 2034-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137A9MV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8386823 | PA      | $8451047.92    | 0.03%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AAYH0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   12243985 | PA      | $12413945.04   | 0.04%             | 2034-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137ABXU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4059196 | PA      | $3969948.85    | 0.01%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137ACAC3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   18628800 | PA      | $18963656.08   | 0.06%             | 2041-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137ACDU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2814349 | PA      | $2595420.75    | 0.01%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137ACEK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     916642 | PA      | $834717.46     | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137ACJ26<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7908754 | PA      | $7730834.72    | 0.02%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137ACJ34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5594139 | PA      | $5247228.27    | 0.02%             | 2041-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137ACSH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10286927 | PA      | $9683990.44    | 0.03%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137ACSU4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2505034 | PA      | $124994.44     | 0.00%             | 2041-07-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AEL78<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   17330064 | PA      | $17494557.26   | 0.05%             | 2041-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AEP41<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2476329 | PA      | $2464655.64    | 0.01%             | 2034-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AFQJ4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3521527 | PA      | $3442435.65    | 0.01%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AFT28<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11947259 | PA      | $11545535.73   | 0.04%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AFUM2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     900523 | PA      | $846688.44     | 0.00%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AFWU2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3728009 | PA      | $3505881.18    | 0.01%             | 2041-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137AJZS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   11096794 | PA      | $10724778.15   | 0.03%             | 2033-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BGBA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    7905667 | PA      | $388440.21     | 0.00%             | 2044-07-15      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137BGJ91<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   10875026 | PA      | $9097749.60    | 0.03%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Whole Loan Securit                    | Freddie Mac Whole Loan Securities Trust 2015-SC02                                | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9330927 | PA      | $8645480.25    | 0.03%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137H0B49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   55286168 | PA      | $48787416.75   | 0.15%             | 2037-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137H0RN0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    8860984 | PA      | $121822.58     | 0.00%             | 2051-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137H0UE6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   21304486 | PA      | $18855641.76   | 0.06%             | 2051-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137H2WR1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   51314995 | PA      | $7145346.28    | 0.02%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31385XLY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3655210 | PA      | $3736074.59    | 0.01%             | 2033-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A1U90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2738579 | PA      | $2632586.23    | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138E9JH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2913531 | PA      | $2693675.85    | 0.01%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417ATZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12700280 | PA      | $12310411.71   | 0.04%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417AWX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   10598971 | PA      | $10273607.92   | 0.03%             | 2032-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417D2K8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   26124166 | PA      | $23797148.96   | 0.07%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417DBT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    4694211 | PA      | $4418487.48    | 0.01%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417DQC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   12738536 | PA      | $11989648.93   | 0.04%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417DQD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    6699325 | PA      | $6305626.72    | 0.02%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417EES6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   20554664 | PA      | $19345993.20   | 0.06%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417EUA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   11190860 | PA      | $10009737.60   | 0.03%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417GGF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    7377809 | PA      | $6944006.50    | 0.02%             | 2033-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2007-10                                                   | CUSIP: 3622NDAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2522447 | PA      | $1151107.06    | 0.00%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Corp.                      | GSMSC Pass-Through Trust 2008-2R                                                 | CUSIP: 3622X1AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     893507 | PA      | $328745.54     | 0.00%             | 2036-09-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-9F                                                  | CUSIP: 3622X7AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9711576 | PA      | $4622246.91    | 0.01%             | 2036-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3897000 | PA      | $3457835.38    | 0.01%             | 2031-07-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11242000 | PA      | $9441110.29    | 0.03%             | 2031-07-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2018-TWR                                       | CUSIP: 36251SAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4648000 | PA      | $3729182.43    | 0.01%             | 2031-07-15      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2016-GS4                                            | CUSIP: 36251XAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   48537329 | PA      | $850466.23     | 0.00%             | 2049-11-10      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2015-GS1                                            | CUSIP: 36252AAE6<br>LEI: 549300WZ62L3Y22NOZ64 | Long             | ABS-MBS          | CORP              | US        |   64666189 | PA      | $1175838.24    | 0.00%             | 2048-11-10      | Variable      | 0.76%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2019-GC38                                           | CUSIP: 36252SAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   60439129 | PA      | $2598477.62    | 0.01%             | 2052-02-10      | Variable      | 0.95%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2016-GS2                                            | CUSIP: 36252TAT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   40141921 | PA      | $1768139.22    | 0.01%             | 2049-05-10      | Variable      | 1.73%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2017-GS7                                            | CUSIP: 36254CAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  181271421 | PA      | $6479039.38    | 0.02%             | 2050-08-10      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2017-GS7                                            | CUSIP: 36254CAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   98700000 | PA      | $1306353.72    | 0.00%             | 2050-08-10      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2018-GS9                                            | CUSIP: 36255NAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  197128569 | PA      | $3487007.25    | 0.01%             | 2051-03-10      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2018-LUAU                                      | CUSIP: 36256AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16399000 | PA      | $15948463.71   | 0.05%             | 2032-11-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2020-UPTN                                      | CUSIP: 36258PAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7561000 | PA      | $6637404.19    | 0.02%             | 2037-02-10      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp Trust 2020-UPTN                                      | CUSIP: 36258PAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6760500 | PA      | $5557744.18    | 0.02%             | 2037-02-10      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2020-GC45                                           | CUSIP: 36258YBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  181262345 | PA      | $5912469.56    | 0.02%             | 2053-02-13      | Variable      | 0.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2019-GC39                                           | CUSIP: 36260JAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16992725 | PA      | $783903.28     | 0.00%             | 2052-05-10      | Variable      | 1.13%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-OA1                                                 | CUSIP: 362631AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28008092 | PA      | $6401591.02    | 0.02%             | 2046-08-25      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                     | GS Mortgage-Backed Securities Trust 2020-RPL2                                    | CUSIP: 36263GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  117178502 | PA      | $101541019.14  | 0.31%             | 2060-05-25      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                     | GS Mortgage-Backed Securities Trust 2020-RPL2                                    | CUSIP: 36263GAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12540000 | PA      | $9499883.91    | 0.03%             | 2060-05-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                     | GS Mortgage-Backed Securities Trust 2020-RPL2                                    | CUSIP: 36263GAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10237000 | PA      | $7612770.64    | 0.02%             | 2060-05-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                     | GS Mortgage-Backed Securities Trust 2020-RPL2                                    | CUSIP: 36263GAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9341000 | PA      | $6751388.97    | 0.02%             | 2060-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2007-4F                                                  | CUSIP: 362669AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     611399 | PA      | $862187.91     | 0.00%             | 2037-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                   | CUSIP: 36266CAL0<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |    3280000 | PA      | $3039203.72    | 0.01%             | 2036-11-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Corp II                                                   | CUSIP: 36266CAQ9<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   16787000 | PA      | $15053366.22   | 0.05%             | 2036-11-15      | Floating      | 9.32%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                           | GSR Mortgage Loan Trust 2006-6F                                                  | CUSIP: 36298BAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4412533 | PA      | $2670159.85    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38373AJ23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     892787 | PA      | $32920.72      | 0.00%             | 2039-04-16      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                    | Government National Mortgage Association                                         | CUSIP: 38374DPK9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2442000 | PA      | $178997.85     | 0.00%             | 2038-01-16      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back                    | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-B                 | CUSIP: 43710EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8122765 | PA      | $3332693.30    | 0.01%             | 2037-07-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Back                    | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-B                 | CUSIP: 43710EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8122765 | PA      | $3332693.30    | 0.01%             | 2037-07-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                    | Home Partners of America 2019-2 Trust                                            | CUSIP: 43732TAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3690645 | PA      | $3117731.09    | 0.01%             | 2039-10-19      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| Home Partners of America Trust                    | Home Partners of America 2019-2 Trust                                            | CUSIP: 43732TAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7390527 | PA      | $6107853.85    | 0.02%             | 2039-10-19      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition                    | JP Morgan Mortgage Acquisition Trust 2007-CH1                                    | CUSIP: 46630LAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16215091 | PA      | $15566158.65   | 0.05%             | 2036-11-25      | Variable      | 4.60%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1784235 | PA      | $948028.83     | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2007-S3                                                 | CUSIP: 46631NAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     675961 | PA      | $375192.49     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | JP Morgan Chase Commercial Mortgage Securities Trust 2021-MHC                    | CUSIP: 466330AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1900000 | PA      | $1805341.24    | 0.01%             | 2038-04-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| JP Morgan ReRemic                                 | JP Morgan Resecuritization Trust Series 2009-4                                   | CUSIP: 46633JAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5070960 | PA      | $2660037.38    | 0.01%             | 2037-02-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                    | JPMDB Commercial Mortgage Securities Trust 2017-C7                               | CUSIP: 46648KAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  182163933 | PA      | $5318804.29    | 0.02%             | 2050-10-15      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8                 | CUSIP: 46649JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     905000 | PA      | $857137.17     | 0.00%             | 2035-02-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                    | J.P. Morgan Chase Commercial Mortgage SecuritiesTrust 2018-MINN                  | CUSIP: 46650GAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9343000 | PA      | $8056834.21    | 0.02%             | 2035-11-15      | Floating      | 7.07%                 | No            |                  2 | On Loan: No      |
| LATITUDE MANAGEMENT REAL ESTAT                    | LMREC 2019-CRE3 Inc                                                              | CUSIP: 50209TAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   11285564 | PA      | $11120963.93   | 0.03%             | 2035-12-22      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2019-RPL3                                            | CUSIP: 52474FBE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  127141158 | PA      | $107029918.65  | 0.33%             | 2058-06-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust 20                    | Legacy Mortgage Asset Trust 2020-GS1                                             | CUSIP: 52474PAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26545000 | PA      | $22404141.92   | 0.07%             | 2059-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2020-GS2                                             | CUSIP: 52475AAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   26264000 | PA      | $23025422.93   | 0.07%             | 2060-03-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                       | Legacy Mortgage Asset Trust 2021-GS4                                             | CUSIP: 52475WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24000000 | PA      | $20070900.00   | 0.06%             | 2060-11-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1676750 | PA      | $950065.59     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2005-2                                                     | CUSIP: 52520MCM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1046098 | PA      | $735496.91     | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MDZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1861778 | PA      | $1463731.72    | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2005-3                                                     | CUSIP: 52520MEB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158389 | PA      | $119005.20     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MRCD Mortgage Trust                               | MRCD 2019-MARK Mortgage Trust                                                    | CUSIP: 55348UAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7794000 | PA      | $6644979.68    | 0.02%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2007-HE3                           | CUSIP: 590238AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7507001 | PA      | $3346470.11    | 0.01%             | 2047-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2007-HE3                           | CUSIP: 590238AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3144378 | PA      | $1401658.18    | 0.00%             | 2047-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2006-HE4                           | CUSIP: 59023EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7666393 | PA      | $1957786.01    | 0.01%             | 2037-07-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| MLCC Mortgage Investors Inc                       | Merrill Lynch Mortgage Investors Trust Series MLCC 2006-3                        | CUSIP: 59023PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     586860 | PA      | $560888.57     | 0.00%             | 2036-10-25      | Variable      | 3.85%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note                    | Merrill Lynch Alternative Note Asset Trust Series 2007-F1                        | CUSIP: 59023YAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13039104 | PA      | $3428541.08    | 0.01%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note                    | Merrill Lynch Alternative Note Asset Trust Series 2007-F1                        | CUSIP: 59023YAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13039104 | PA      | $1911432.22    | 0.01%             | 2037-03-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note                    | Merrill Lynch Alternative Note Asset Trust Series 2007-A3                        | CUSIP: 59024HAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20587602 | PA      | $8429154.99    | 0.03%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note                    | Merrill Lynch Alternative Note Asset Trust Series 2007-A3                        | CUSIP: 59024HAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10557714 | PA      | $4405529.38    | 0.01%             | 2037-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Alternative Note                    | Merrill Lynch Alternative Note Asset Trust Series 2007-A3                        | CUSIP: 59024HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14633117 | PA      | $6193135.93    | 0.02%             | 2037-04-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2007-HE2                           | CUSIP: 59024LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   81203518 | PA      | $40238251.64   | 0.12%             | 2037-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investo                    | Merrill Lynch Mortgage Investors Trust Series 2007-MLN1                          | CUSIP: 59024UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   54330062 | PA      | $43414799.65   | 0.13%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch First Franklin M                    | Merrill Lynch First Franklin Mortgage Loan Trust Series 2007-H1                  | CUSIP: 59025TAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2443840 | PA      | $2204139.99    | 0.01%             | 2037-10-25      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| MidOcean Credit CLO                               | Midocean Credit CLO IX                                                           | CUSIP: 59802MAA5<br>LEI: 549300XXQYQPW7OQNX23 | Long             | ABS-CBDO         | CORP              | US        |   54500000 | PA      | $53589037.95   | 0.17%             | 2031-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27                      | CUSIP: 61690AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14422000 | PA      | $12974664.33   | 0.04%             | 2047-12-15      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley BAML Trust                         | Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7                       | CUSIP: 61690KAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2139558 | PA      | $52.63         | 0.00%             | 2046-02-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2015-UBS8                                         | CUSIP: 61691ABM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   24886803 | PA      | $488717.09     | 0.00%             | 2048-12-15      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2015-UBS8                                         | CUSIP: 61691ABP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7137000 | PA      | $6095042.96    | 0.02%             | 2048-12-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2018-MP                                           | CUSIP: 61691DAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8000000 | PA      | $5686657.60    | 0.02%             | 2040-07-11      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2017-ASHF                                         | CUSIP: 61691KAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   15461000 | PA      | $14162848.06   | 0.04%             | 2034-11-15      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ReRemic Trust                      | Morgan Stanley Re-REMIC Trust 2011-R1                                            | CUSIP: 61759SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     318160 | PA      | $317086.92     | 0.00%             | 2037-02-26      | Variable      | 5.94%                 | No            |                  2 | On Loan: No      |
| Nomura Asset Acceptance Corpor                    | Nomura Asset Acceptance Corp Alternative Loan Trust Series 2006-AF1              | CUSIP: 65536PAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13057735 | PA      | $2953623.11    | 0.01%             | 2036-05-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| AMSR Trust                                        | AMSR 2020-SFR4 Trust                                                             | CUSIP: 66981FAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   30156000 | PA      | $26751912.31   | 0.08%             | 2037-11-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Pnmac Gmsr Issuer Trust                           | PNMAC GMSR ISSUER TRUST 2018-GT1                                                 | CUSIP: 69354WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1177617.48    | 0.00%             | 2023-02-25      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                    | SoFi Professional Loan Program 2017-E LLC                                        | CUSIP: 83404KAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   20000000 | PA      | $19014462.00   | 0.06%             | 2040-11-26      | Fixed         | 3.49%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                    | SoFi Professional Loan Program 2017-E LLC                                        | CUSIP: 83404KAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13000000 | PA      | $11345861.80   | 0.04%             | 2040-11-26      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                    | Sofi Professional Loan Program 2018-B Trust                                      | CUSIP: 83404RAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18000000 | PA      | $16176589.20   | 0.05%             | 2047-08-25      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                    | Sofi Professional Loan Program 2018-A LLC                                        | CUSIP: 83406EAD7<br>LEI: 5493002WMPR84WZ75V46 | Long             | ABS-O            | CORP              | US        |   22800000 | PA      | $20508397.08   | 0.06%             | 2042-02-25      | Fixed         | 3.61%                 | No            |                  2 | On Loan: No      |
| SOHO Trust 2021-SOHO                              | Soho Trust 2021-SOHO                                                             | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2985000 | PA      | $2193806.05    | 0.01%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Tru                    | Soundview Home Loan Trust 2007-OPT4                                              | CUSIP: 83613AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   19197224 | PA      | $13433482.12   | 0.04%             | 2037-09-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| VCAT Asset Securitization, LLC                    | VCAT 2021-NPL3 LLC                                                               | CUSIP: 91824MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5115756 | PA      | $4457103.12    | 0.01%             | 2051-05-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-6 Trust   | CUSIP: 92922FY77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     311631 | PA      | $261938.10     | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                    | WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust                   | CUSIP: 92925CBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4854705 | PA      | $4084047.39    | 0.01%             | 2045-12-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| WF-RBS COMMERCIAL MORTGAGE TRU                    | WFRBS Commercial Mortgage Trust 2014-C19                                         | CUSIP: 92938VAW5<br>LEI: 549300FCX3YXSYSLU895 | Long             | ABS-MBS          | CORP              | US        |  107336045 | PA      | $826315.81     | 0.00%             | 2047-03-15      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust   | CUSIP: 93934FCF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5211207 | PA      | $4826053.76    | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1244661 | PA      | $219623.85     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4424315 | PA      | $3308415.47    | 0.01%             | 2036-02-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1548492 | PA      | $1353141.47    | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     782769 | PA      | $701414.84     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-1 Trust   | CUSIP: 93934FKU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     665234 | PA      | $596487.15     | 0.00%             | 2036-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-3 Trust   | CUSIP: 93934FNQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2052545 | PA      | $1734027.35    | 0.01%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Asset-Backed                    | Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE2 Trust         | CUSIP: 93934JAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1255196 | PA      | $971332.26     | 0.00%             | 2036-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1181527 | PA      | $846015.41     | 0.00%             | 2036-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2603785 | PA      | $1784938.87    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pas                    | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4729569 | PA      | $3242200.16    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Wingstop Funding LLC                              | Wingstop Funding LLC                                                             | CUSIP: 974153AB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   10395000 | PA      | $8826357.08    | 0.03%             | 2050-12-05      | Fixed         | 2.84%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-27

**Name of Applicant:** DoubleLine Funds Trust

**Signature:** /s/ Henry Chase

**Name of Signer:** DoubleLine Funds Trust

**Title:** Treasurer