# EDGAR Filing Document

**Accession Number:** 0001098605
**File Stem:** 0001098605-23-000042
**Filing Date:** 2023-3
**Character Count:** 395600
**Document Hash:** 67e47be7aa1bfff8049a00b6af6510f8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001098605-23-000042.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001098605-23-000042

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO Managed Accounts Trust
- **CENTRAL INDEX KEY:** 0001098605
- **IRS NUMBER:** 066484967
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-09721
- **FILM NUMBER:** 23688711

**BUSINESS ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** 212-739-4000

**MAIL ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** AllianzGI Managed Accounts Trust
- **DATE OF NAME CHANGE:** 20130125

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ALLIANZ GLOBAL INVESTORS MANAGED ACCOUNTS TRUST
- **DATE OF NAME CHANGE:** 20090626

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** ALLIANZ GLOBAL INVESTORS
- **DATE OF NAME CHANGE:** 20090626

## Series and Classes Contracts Data

### Fixed Income SHares: Series M (Series ID: S000004803)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000013019 | Series M     | FXIMX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Managed Accounts Trust

- **b. Investment Company Act file number:** 811-09721

- **c. CIK number of Registrant:** 0001098605

- **d. LEI of Registrant:** 549300QOE6UAECNZYE02

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (800) 927-4648

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

- **a. Name of Series:** Fixed Income SHares: Series M

- **b. EDGAR series identifier (if any):** S000004803

- **c. LEI of Series:** 5493007LPIGTL4MBQE69

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

- **a. Date of fiscal year-end:** 2022-12-31

- **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:** $2504181398.39

**Total Liabilities:** $1359032861.15

**Net Assets:** $1145148537.24

**Cash Not Reported:** $16064782.28

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 49170.283000 | **1-Year:** 66179.266500 | **5-Year:** 236247.328500 | **10-Year:** 118134.266400 | **30-Year:** 12244.428200

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

- **3-Month:** 12902.495700 | **1-Year:** 27504.945200 | **5-Year:** 118473.593600 | **10-Year:** 22813.120800 | **30-Year:** 33.062700

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000013019 | -1.44%               | 2.27%                | -0.08%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $67449.61                | $-18745425.66                              |
| Month 2  | $-2715543.57             | $31055353.47                               |
| Month 3  | $-1180179.77             | $-2567447.05                               |

**Designated Index Information**

- **Index Name:** Bloomberg US Credit Total Return Unhedged USD Index

- **Index Identifier:** LUCRTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BANC OF AMERICA ALT LOAN TRUST 2006-6                                 | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 CB5          | CUSIP: 059487AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76784 | PA      | $64134.04      | 0.01%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-3                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2006 3 5A5          | CUSIP: 058931BH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7580 | PA      | $6428.19       | 0.00%             | 2036-03-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-B                                   | BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 1A1          | CUSIP: 05946XRT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56185 | PA      | $48278.24      | 0.00%             | 2035-04-20      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | IRS CAD 0.88000 03/03/21-3Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-4408006.34   | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | IRS CAD 0.98000 02/26/21-3Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-9288238.34   | -0.81%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | IRS CAD 1.23500 03/04/20-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-3083123.77   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                                   | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1          | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96830 | PA      | $90401.94      | 0.01%             | 2036-02-20      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                   | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 4A2          | CUSIP: 05950PAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39208 | PA      | $33843.41      | 0.00%             | 2046-09-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                   | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1          | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81424 | PA      | $60620.33      | 0.01%             | 2036-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                   | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA1B         | CUSIP: 059515AB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     410957 | PA      | $362027.76     | 0.03%             | 2037-04-25      | Variable      | 5.83%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                   | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A         | CUSIP: 059515AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      64163 | PA      | $56262.22      | 0.00%             | 2037-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-4                                   | BANC OF AMERICA FUNDING CORPOR BAFC 2007 4 TA4          | CUSIP: 05953YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62227 | PA      | $53874.85      | 0.00%             | 2037-05-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-C                                   | BANC OF AMERICA FUNDING CORPOR BAFC 2007 C 7A5          | CUSIP: 059522AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31435 | PA      | $27722.74      | 0.00%             | 2047-05-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                   | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 8A1          | CUSIP: 05954DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83986 | PA      | $68802.64      | 0.01%             | 2047-09-20      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R2                                 | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R2 1A2 144A    | CUSIP: 05990TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7812139 | PA      | $7341029.88    | 0.64%             | 2036-08-27      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MORTGAGE SECURITIES 2005                              | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 8 A10         | CUSIP: 05949CGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     169122 | PA      | $143777.73     | 0.01%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                             | BANCO BILBAO VIZCAYA ARG JR SUBORDINA REGS 12/99 VAR    | CUSIP: BF2PHRII3<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    1000000 | PA      | $1031377.02    | 0.09%             | 2023-09-24      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | TELEFONICA EMISIONES SAU SNR SE ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | ES        |          1 | NC      | $-41268.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | US 10YR NOTE (CBT)MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -678 | NC      | $316883.63     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2005-F                                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 F 2A2         | CUSIP: 05949CCA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6768 | PA      | $6120.58       | 0.00%             | 2035-07-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-2                                      | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A7          | CUSIP: 05952FAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72796 | PA      | $54439.50      | 0.00%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-A                                | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 2A1         | CUSIP: 05948XS93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72076 | PA      | $70078.59      | 0.01%             | 2034-02-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-D                                | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 D 2A7         | CUSIP: 05949A4R8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218690 | PA      | $191257.35     | 0.02%             | 2035-05-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                          | BARCLAYS PLC JR SUBORDINA 12/99 VAR                     | CUSIP: 06738EBA2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1100000 | PA      | $1076680.00    | 0.09%             | 2023-09-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                          | BARCLAYS PLC JR SUBORDINA 12/99 VAR                     | CUSIP: 06738EBG9<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    3800000 | PA      | $3701601.81    | 0.32%             | 2024-06-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                          | BARCLAYS PLC JR SUBORDINA REGS 12/99 VAR                | CUSIP: ACI0SSSH6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $1198045.37    | 0.10%             | 2023-03-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                          | BARCLAYS PLC JR SUBORDINA REGS VAR                      | CUSIP: ACI1FNQ32<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1500000 | PA      | $1667192.36    | 0.15%             | 2025-12-15      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                          | BARCLAYS PLC JR SUBORDINA VAR                           | CUSIP: ACI1CH093<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $229189.13     | 0.02%             | 2025-06-15      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                          | BARCLAYS PLC SR UNSECURED 01/26 4.375                   | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1356342.79    | 0.12%             | 2026-01-12      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                          | BARCLAYS PLC SR UNSECURED 05/29 VAR                     | CUSIP: 06738EBD6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    3100000 | PA      | $2916911.02    | 0.25%             | 2029-05-16      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA3                                               | BCAP LLC TRUST BCAP 2007 AA3 2A1A                       | CUSIP: 05530VAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191796 | PA      | $179802.30     | 0.02%             | 2047-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA3                                               | BCAP LLC TRUST BCAP 2007 AA3 2A1B                       | CUSIP: 05530VAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29752 | PA      | $27394.40      | 0.00%             | 2047-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA5                                               | BCAP LLC TRUST BCAP 2007 AA5 A1                         | CUSIP: 05531AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54498 | PA      | $47291.55      | 0.00%             | 2047-09-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2008-IND1                                              | BCAP LLC TRUST BCAP 2008 IND1 A1                        | CUSIP: 05531CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9853975 | PA      | $8091467.06    | 0.71%             | 2047-10-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                              | BCAP LLC TRUST BCAP 2009 RR14 2A2 144A                  | CUSIP: 05532LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16749 | PA      | $14492.10      | 0.00%             | 2036-07-26      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                               | BCAP LLC TRUST BCAP 2010 RR1 1A4 144A                   | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59383 | PA      | $46973.34      | 0.00%             | 2037-03-26      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                              | BCAP LLC TRUST BCAP 2010 RR11 5A3 144A                  | CUSIP: 05533JBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229484 | PA      | $186737.82     | 0.02%             | 2037-03-27      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| BDS 2022-FL12 LLC                                                     | BDS LTD BDS 2022 FL12 A 144A                            | CUSIP: 07336CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3200000 | PA      | $3154241.60    | 0.28%             | 2038-08-19      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  MTGE SEC INC 1997-6                                     | BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 1A          | CUSIP: 073914VW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        483 | PA      | $476.98        | 0.00%             | 2031-03-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                  | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1         | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     407631 | PA      | $327835.84     | 0.03%             | 2036-01-26      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS SEC INC 2004-HE2                                     | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE2 M1        | CUSIP: 07384YQY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1899818 | PA      | $1849293.67    | 0.16%             | 2034-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE 2003-9                                     | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 9 3A2         | CUSIP: 07384MC67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30164 | PA      | $28016.06      | 0.00%             | 2034-02-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 12A2        | CUSIP: 07384MM25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19167 | PA      | $17391.77      | 0.00%             | 2034-05-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-6                                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 6 5A1         | CUSIP: 07387ADM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4600 | PA      | $4099.62       | 0.00%             | 2035-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2005-9                                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 9 A1          | CUSIP: 07387AEG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168498 | PA      | $156602.92     | 0.01%             | 2035-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-2                                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 2 2A1         | CUSIP: 07401EAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     382666 | PA      | $308704.33     | 0.03%             | 2046-12-25      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1         | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95564 | PA      | $84788.64      | 0.01%             | 2047-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1         | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29776 | PA      | $28851.00      | 0.00%             | 2034-01-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 12A3       | CUSIP: 07384M4C3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6387 | PA      | $5887.85       | 0.00%             | 2035-01-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 1 2A1         | CUSIP: 07387AAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31545 | PA      | $29255.42      | 0.00%             | 2035-03-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-10                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 10 A3         | CUSIP: 07387AET8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25938 | PA      | $24569.05      | 0.00%             | 2035-10-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1       | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38249 | PA      | $33911.60      | 0.00%             | 2036-02-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-3                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 3 1A1         | CUSIP: 07387AAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5982 | PA      | $5893.19       | 0.00%             | 2035-06-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-5                                       | BEAR STEARNS ALT A TRUST BALTA 2004 5 M                 | CUSIP: 07386HJN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1001482 | PA      | $832482.49     | 0.07%             | 2034-06-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                      | BEAR STEARNS ALT A TRUST BALTA 2005 10 23A1             | CUSIP: 07386HZG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3022264 | PA      | $2745535.62    | 0.24%             | 2036-01-25      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                       | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44855 | PA      | $41714.32      | 0.00%             | 2035-05-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                       | BEAR STEARNS ALT A TRUST BALTA 2005 5 25A1              | CUSIP: 07386HUM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     348932 | PA      | $254811.69     | 0.02%             | 2035-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                       | BEAR STEARNS ALT A TRUST BALTA 2006 1 21A2              | CUSIP: 07386HB83<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189212 | PA      | $132227.00     | 0.01%             | 2036-02-25      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-1                                       | BEAR STEARNS ALT A TRUST BALTA 2006 1 22A1              | CUSIP: 07386HC25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19548 | PA      | $15481.14      | 0.00%             | 2036-02-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                       | BEAR STEARNS ALT A TRUST BALTA 2006 2 11A1              | CUSIP: 07386HH46<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71170 | PA      | $98408.20      | 0.01%             | 2036-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                       | BEAR STEARNS ALT A TRUST BALTA 2006 3 35A1              | CUSIP: 07386HQ87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     357763 | PA      | $206944.09     | 0.02%             | 2036-05-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                       | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1               | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78945 | PA      | $36653.45      | 0.00%             | 2036-11-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                      | BEAR STEARNS ALT A TRUST BALTA 2006 R1 2E21             | CUSIP: 073866BN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     244377 | PA      | $171344.91     | 0.01%             | 2036-08-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                            | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1         | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37309 | PA      | $35630.22      | 0.00%             | 2034-11-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC2                 | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC2 22A2      | CUSIP: 07387UGW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     182824 | PA      | $107157.80     | 0.01%             | 2036-03-25      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-3                     | BEAR STEARNS ASSET BACKED SECU BSABS 2003 3 A2          | CUSIP: 07384YLS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     752553 | PA      | $720866.92     | 0.06%             | 2043-06-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE10                  | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE10 M2       | CUSIP: 073879X45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95695 | PA      | $85921.98      | 0.01%             | 2035-11-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE1                   | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE1 1M2       | CUSIP: 0738796Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33715 | PA      | $33629.76      | 0.00%             | 2035-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE5                   | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE5 1A3       | CUSIP: 07388CAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        625 | PA      | $625.13        | 0.00%             | 2036-06-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD2                   | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD2 M1        | CUSIP: 07388EAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17090 | PA      | $17082.60      | 0.00%             | 2036-06-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD2                   | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD2 M3        | CUSIP: 07388EAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600000 | PA      | $575562.60     | 0.05%             | 2036-06-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                   | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A1      | CUSIP: 073888AN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57256 | PA      | $56507.70      | 0.00%             | 2036-07-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE2                   | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE2 2A4       | CUSIP: 07389YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11884000 | PA      | $10868051.09   | 0.95%             | 2037-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                   | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 1A1       | CUSIP: 07387YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32928 | PA      | $32381.76      | 0.00%             | 2037-08-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                   | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 2A        | CUSIP: 07387YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4933840 | PA      | $4415460.97    | 0.39%             | 2037-08-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                   | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1      | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33251 | PA      | $19987.85      | 0.00%             | 2036-10-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2                   | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1       | CUSIP: 07386UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      86550 | PA      | $80928.98      | 0.01%             | 2046-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-3                                   | BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M1          | CUSIP: 07388GAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72118 | PA      | $71528.63      | 0.01%             | 2036-08-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBK SEC 2005-AQ2                                     | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AQ2 M1        | CUSIP: 0738792V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3734094 | PA      | $3718803.78    | 0.32%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MTGE FUND TR 2006-AR5                                    | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR5 2A1         | CUSIP: 07401NAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51557 | PA      | $43870.48      | 0.00%             | 2037-01-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B13                                     | BENCHMARK MORTGAGE TRUST BMARK 2019 B13 A4              | CUSIP: 08162DAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4565217 | PA      | $4011968.85    | 0.35%             | 2057-08-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| BOWDOIN COLLEGE                                                       | BOWDOIN COLLEGE SR UNSECURED 07/12 4.693                | CUSIP: 102291AA9<br>LEI: 549300SIUVRUY51G1940 | Long             | DBT              | CORP              | US        |    6600000 | PA      | $5411706.63    | 0.47%             | 2112-07-01      | Fixed         | 4.69%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                               | BPCE SA SUBORDINATED 144A 07/24 4.625                   | CUSIP: 05578QAC7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |   14300000 | PA      | $13925259.21   | 1.22%             | 2024-07-11      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BPCRE HOLDER LLC 2022-FL2                                             | BPCRE HOLDER LLC BPCRE 2022 FL2 A 144A                  | CUSIP: 05602FAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    1500000 | PA      | $1480211.25    | 0.13%             | 2037-01-16      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| BRUEGEL 2021 DAC 2021-1A                                              | BRUEGEL BRUEG 2021 1A A 144A                            | CUSIP: ACI1YPP29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    5483537 | PA      | $5527179.48    | 0.48%             | 2031-05-22      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| BSPRT 2022-FL9 ISSUER LTD                                             | BSPRT ISSUER, LTD. BSPRT 2022 FL9 A 144A                | CUSIP: 055984AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    7000000 | PA      | $6849175.90    | 0.60%             | 2039-07-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                          | CAIXABANK SA JR SUBORDINA REGS 12/99 VAR                | CUSIP: ACI0VK8S7<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $209406.68     | 0.02%             | 2024-06-13      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2017-2 DAC 17-2A                                     | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 2A A1R 144A   | CUSIP: ACI1VWGV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1096058 | PA      | $1145199.70    | 0.10%             | 2030-08-15      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| CARLYLE FINANCE SUBSIDIARY LLC                                        | CARLYLE FINANCE SUB LLC COMPANY GUAR 144A 09/29 3.5     | CUSIP: 14314DAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3391564.72    | 0.30%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LN TR 2005-OPT2                                   | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 OPT2 M5        | CUSIP: 144531CN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $286004.73     | 0.02%             | 2035-05-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MORTGAGE LOAN TRUST 2006-NC5                               | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 NC5 A4         | CUSIP: 144539AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $866909.88     | 0.08%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                  | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3        | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4008063 | PA      | $3601472.02    | 0.31%             | 2037-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2019-RM3                               | CASCADE FUNDING MORTGAGE TRUST CFMT 2019 RM3 A 144A     | CUSIP: 147271AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1374878 | PA      | $1331489.88    | 0.12%             | 2069-06-25      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| CENDANT MORTGAGE CORP 2003-A                                          | CENDANT MORTGAGE CORPORATION CDMC 2003 A A2 144A        | CUSIP: 151314FP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8920 | PA      | $8439.45       | 0.00%             | 2043-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1        | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     691977 | PA      | $573265.23     | 0.05%             | 2036-09-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 11A4       | CUSIP: 161630BK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38189 | PA      | $34843.52      | 0.00%             | 2037-03-25      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 13A1       | CUSIP: 161630CF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20948 | PA      | $18834.63      | 0.00%             | 2037-03-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S3                                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S3 1A12       | CUSIP: 16163HAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98324 | PA      | $51363.13      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                                | CHASEFLEX TRUST CFLX 2007 3 1A1                         | CUSIP: 16165AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71457 | PA      | $26089.51      | 0.00%             | 2037-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                                | CHASEFLEX TRUST CFLX 2007 3 2A1                         | CUSIP: 16165AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123181 | PA      | $118157.82     | 0.01%             | 2037-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                               | CHASEFLEX TRUST CFLX 2007 M1 2F4                        | CUSIP: 16165YAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22751 | PA      | $19099.25      | 0.00%             | 2037-08-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-4A                                 | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 4A A1 144A    | CUSIP: 16678RCC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     664892 | PA      | $603079.49     | 0.05%             | 2035-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-16                               | COUNTRYWIDE HOME LOANS CWHL 2006 16 2A1                 | CUSIP: 170257AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     571486 | PA      | $226022.72     | 0.02%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                                     | CI FINANCIAL CORP SR UNSECURED 06/51 4.1                | CUSIP: 125491AP5<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    5000000 | PA      | $2962882.70    | 0.26%             | 2051-06-15      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FARM CREDIT BANK OF TEXAS                                             | FARM CREDIT BK OF TEXAS JR SUBORDINA 144A 12/99 VAR     | CUSIP: 30767EAD1<br>LEI: V1EBJIOLRNYDHDF63Z33 | Long             | EP               | USGSE             | US        |    1700000 | NS      | $1581000.00    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                            | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A            | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5713500.60    | 0.50%             | 2037-10-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                         | CITIGROUP INC SR UNSECURED 03/33 VAR                    | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4289883.80    | 0.37%             | 2033-03-17      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP INC                                                         | CITIGROUP INC SR UNSECURED 11/30 VAR                    | CUSIP: 17308CC53<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |   15000000 | PA      | $12644003.85   | 1.10%             | 2030-11-05      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2E        | CUSIP: 17309BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131575 | PA      | $48806.74      | 0.00%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2005-10                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 10 1A2A        | CUSIP: 17307GT57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67665 | PA      | $40471.44      | 0.00%             | 2035-12-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                  | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 5A2 144A     | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108838 | PA      | $60202.11      | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2010-4                                  | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2010 4 3A6 144A     | CUSIP: 17315QAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92449 | PA      | $43567.64      | 0.00%             | 2037-11-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M3         | CUSIP: 17307GWT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     492249 | PA      | $485710.52     | 0.04%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2011-2                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2011 2 3A2 144A     | CUSIP: 17318DAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26345 | PA      | $25621.22      | 0.00%             | 2037-09-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-SHL1                                  | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 SHL1 M1 144A   | CUSIP: 17309UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5798 | PA      | $5788.26       | 0.00%             | 2045-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     233534 | PA      | $200918.04     | 0.02%             | 2037-09-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A3A         | CUSIP: 17312VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88121 | PA      | $77760.67      | 0.01%             | 2046-10-25      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                  | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A1 144A   | CUSIP: 17312GAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11632965 | PA      | $10019693.76   | 0.87%             | 2037-05-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR1                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR1 A3         | CUSIP: 17310UAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1589150 | PA      | $1336849.26    | 0.12%             | 2037-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A2A       | CUSIP: 17311WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40758 | PA      | $34082.00      | 0.00%             | 2037-03-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR8                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR8 2A1A       | CUSIP: 17313FAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400033 | PA      | $345601.16     | 0.03%             | 2037-07-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-SHL1                                  | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 A 144A    | CUSIP: 17312WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103168 | PA      | $99572.26      | 0.01%             | 2046-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A         | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      45182 | PA      | $41794.66      | 0.00%             | 2035-10-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A3          | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10458 | PA      | $9962.10       | 0.00%             | 2035-11-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                                  | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A         | CUSIP: 17307GTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7151 | PA      | $6873.72       | 0.00%             | 2035-08-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-4                                  | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 4 A            | CUSIP: 17307GWE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     240566 | PA      | $234775.34     | 0.02%             | 2035-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-OPT4                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT4 M7        | CUSIP: 17307GUX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $860827.20     | 0.08%             | 2035-07-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A10        | CUSIP: 18976GAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2901515 | PA      | $2480037.04    | 0.22%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A19        | CUSIP: 18976GAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79132 | PA      | $69196.06      | 0.01%             | 2037-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A7         | CUSIP: 18976GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4646809 | PA      | $3971806.26    | 0.35%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITY OF NEWPORT BEACH CA                                              | NEWPORT BEACH CA COPS NPBCTF 07/40 FIXED 7.168          | CUSIP: 651779BZ2<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    3500000 | PA      | $4047930.25    | 0.35%             | 2040-07-01      | Fixed         | 7.17%                 | No            |                  2 | On Loan: No      |
| CLNC 2019-FL1 LTD                                                     | CLNC 2019 FL1, LTD CLNC 2019 FL1 A 144A                 | CUSIP: 12565DAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5341319 | PA      | $5249129.84    | 0.46%             | 2035-08-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| GENERAL ELECTRIC COMPANY                                              | GENERAL ELECTRIC CO JR SUBORDINA 12/49 VAR              | CUSIP: 369604BQ5<br>LEI: 3C7474T6CDKPR9K6YT90 | Long             | EP               | CORP              | US        |    1000000 | NS      | $991850.00     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2016-787S                                         | COMM MORTGAGE TRUST COMM 2016 787S A 144A               | CUSIP: 12635WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1667000 | PA      | $1526202.01    | 0.13%             | 2036-02-10      | Fixed         | 3.54%                 | No            |                  2 | On Loan: No      |
| COMMUNITY PROGRAM LOAN TRUST-1987-A                                   | COMMUNITY PROGRAM LOAN TRUST CPLT 1987 A A5             | CUSIP: 204012AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13629 | PA      | $13229.60      | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AGCREDIT CORPORATION                                         | AMER AGCREDIT ACA JR SUBORDINA 144A VAR                 | CUSIP: 02369GAA3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |    6000000 | NS      | $5072660.40    | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A3      | CUSIP: 02146XAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62196 | PA      | $29385.88      | 0.00%             | 2036-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 10CB 1A1      | CUSIP: 12667GAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159526 | PA      | $120592.87     | 0.01%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 4A1        | CUSIP: 12667GCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     853923 | PA      | $774846.29     | 0.07%             | 2035-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-17                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 17 1A1        | CUSIP: 12667GRV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75278 | PA      | $63983.94      | 0.01%             | 2035-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-36                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 36 2A1A       | CUSIP: 12667GWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82361 | PA      | $70152.18      | 0.01%             | 2035-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-36                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 36 3A1        | CUSIP: 12667GZX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     126529 | PA      | $113572.65     | 0.01%             | 2035-08-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-44                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 44 2A1        | CUSIP: 12667G3S0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5892 | PA      | $5825.49       | 0.00%             | 2035-10-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 3A2A       | CUSIP: 12668ACY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4516214 | PA      | $3700311.91    | 0.32%             | 2035-11-20      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2      | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77340 | PA      | $48676.96      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 1A1        | CUSIP: 12668AGN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     651890 | PA      | $580398.34     | 0.05%             | 2035-11-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 1A1        | CUSIP: 12668AVL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     501276 | PA      | $429056.00     | 0.04%             | 2035-12-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 2A1        | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264780 | PA      | $236080.65     | 0.02%             | 2036-02-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-11CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 11CB 3A1      | CUSIP: 12668BWF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1269383 | PA      | $677623.13     | 0.06%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A16      | CUSIP: 02147QAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     461491 | PA      | $283599.47     | 0.02%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A4       | CUSIP: 02147QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47425 | PA      | $29162.54      | 0.00%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 2CB A7        | CUSIP: 12668BLG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     149469 | PA      | $70669.91      | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 1A3      | CUSIP: 02146VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60357 | PA      | $44960.27      | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1       | CUSIP: 12668RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     849440 | PA      | $644331.87     | 0.06%             | 2047-02-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC10 2A2A     | CUSIP: 23245FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33443 | PA      | $36614.51      | 0.00%             | 2036-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A21      | CUSIP: 02150GAX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113125 | PA      | $57044.88      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-15CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 15CB A5       | CUSIP: 02151CAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13653 | PA      | $8575.60       | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 1A2        | CUSIP: 02151AAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     337680 | PA      | $177668.18     | 0.02%             | 2037-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-19                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 19 2A1        | CUSIP: 02151ABW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     339503 | PA      | $149765.52     | 0.01%             | 2037-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A13      | CUSIP: 02149HAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88118 | PA      | $50729.95      | 0.00%             | 2037-03-25      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A13      | CUSIP: 02150EAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60470 | PA      | $35498.32      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-6                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 6 A1          | CUSIP: 02150AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98667 | PA      | $56781.12      | 0.00%             | 2047-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 4A1       | CUSIP: 02150QAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52667 | PA      | $45068.91      | 0.00%             | 2037-06-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY7C                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY7C A1       | CUSIP: 02150VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364206 | PA      | $316944.97     | 0.03%             | 2037-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 2A1        | CUSIP: 021482AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46923 | PA      | $24552.30      | 0.00%             | 2037-08-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 3A1        | CUSIP: 021482AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49537 | PA      | $25796.46      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 3A1        | CUSIP: 12668AXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56681 | PA      | $48307.50      | 0.00%             | 2035-11-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 9CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 9CB 1A5       | CUSIP: 12667GEP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1311707 | PA      | $1153016.47    | 0.10%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3       | CUSIP: 12667GLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25500 | PA      | $23981.65      | 0.00%             | 2035-07-25      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 3A1      | CUSIP: 12668BUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14169 | PA      | $10924.25      | 0.00%             | 2036-05-25      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B      | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200943 | PA      | $185713.92     | 0.02%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A      | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27198 | PA      | $20223.05      | 0.00%             | 2046-07-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1A      | CUSIP: 02151WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1368968 | PA      | $1104541.14    | 0.10%             | 2047-11-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1B      | CUSIP: 02151WAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     492828 | PA      | $397378.79     | 0.03%             | 2047-11-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-16                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 16 A3         | CUSIP: 12667GME0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73253 | PA      | $61661.60      | 0.01%             | 2035-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A4         | CUSIP: 23245LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     395851 | PA      | $180848.81     | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A3       | CUSIP: 02147CAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44596 | PA      | $42549.25      | 0.00%             | 2046-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC8 1A1       | CUSIP: 232434AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3985513 | PA      | $3246539.50    | 0.28%             | 2036-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 2A2       | CUSIP: 02150JAU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215175 | PA      | $105032.59     | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A       | CUSIP: 126680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     651909 | PA      | $548884.65     | 0.05%             | 2047-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-27CB                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 27CB A1       | CUSIP: 12667FWU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47180 | PA      | $41907.16      | 0.00%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A11      | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48560 | PA      | $31084.12      | 0.00%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A35      | CUSIP: 02148FBX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7248927 | PA      | $6156037.20    | 0.54%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SD1                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SD1 A1 144A     | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55266 | PA      | $45468.46      | 0.00%             | 2047-03-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A           | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7335556 | PA      | $6628045.58    | 0.58%             | 2035-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-1                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 1 M3            | CUSIP: 126671Z41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11880 | PA      | $11881.29      | 0.00%             | 2034-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-12                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 12 MV5          | CUSIP: 126673NX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155815 | PA      | $153480.40     | 0.01%             | 2035-02-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-15                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 15 MV5          | CUSIP: 126673UR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83483 | PA      | $81364.21      | 0.01%             | 2035-04-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-4                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 4 M1            | CUSIP: 1266715K8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40318 | PA      | $39527.86      | 0.00%             | 2034-07-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-6                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 M1            | CUSIP: 126673BC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41697 | PA      | $40644.47      | 0.00%             | 2034-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-IM3                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 IM3 A3          | CUSIP: 126670JD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1439883 | PA      | $1432067.26    | 0.13%             | 2036-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-11                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 11 2AV          | CUSIP: 12666TAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     862705 | PA      | $855752.23     | 0.07%             | 2046-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-13                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 13 2AV          | CUSIP: 23242EAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     987916 | PA      | $976100.59     | 0.09%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-14                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 14 1A           | CUSIP: 23243LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6111988 | PA      | $5746839.74    | 0.50%             | 2037-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-15                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 15 A4           | CUSIP: 12666UAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9555024 | PA      | $9308961.44    | 0.81%             | 2046-10-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-17                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 17 2A2          | CUSIP: 12666VAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59296 | PA      | $57880.27      | 0.01%             | 2047-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-5                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 5 1A            | CUSIP: 126670YE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1058929 | PA      | $1055267.95    | 0.09%             | 2036-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-8                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 2A4           | CUSIP: 045427AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3824136 | PA      | $3576570.88    | 0.31%             | 2046-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 2A3           | CUSIP: 23245CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     772163 | PA      | $756800.16     | 0.07%             | 2037-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-10                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 2A4          | CUSIP: 23246BAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179877 | PA      | $172320.43     | 0.02%             | 2047-06-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 2A3          | CUSIP: 126697AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     201717 | PA      | $200685.30     | 0.02%             | 2047-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-5                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 5 2A3           | CUSIP: 12668KAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     677529 | PA      | $645750.26     | 0.06%             | 2047-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 1A            | CUSIP: 12669LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2815451 | PA      | $2434549.69    | 0.21%             | 2037-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3           | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271741 | PA      | $278950.53     | 0.02%             | 2037-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A3           | CUSIP: 12669VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99296 | PA      | $97615.77      | 0.01%             | 2047-10-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A            | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   12052487 | PA      | $10315561.88   | 0.90%             | 2047-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 7 1A            | CUSIP: 232422AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3390103 | PA      | $3093025.19    | 0.27%             | 2046-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 ABC1 A2         | CUSIP: 23242NAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33978 | PA      | $41300.51      | 0.00%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-1                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 1 MV6           | CUSIP: 126673XC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     482339 | PA      | $477402.44     | 0.04%             | 2035-07-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-15                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 15 M1           | CUSIP: 126670MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1076090 | PA      | $1052204.77    | 0.09%             | 2036-03-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-17                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 17 MV1          | CUSIP: 126670RD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61320 | PA      | $60550.60      | 0.01%             | 2036-05-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-2                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 2 M1            | CUSIP: 126670UW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74289 | PA      | $73537.44      | 0.01%             | 2036-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J3             | COUNTRYWIDE HOME LOANS CWHL 2007 J3 A10                 | CUSIP: 17025QAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49489 | PA      | $23822.44      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2007-J3             | COUNTRYWIDE HOME LOANS CWHL 2007 J3 A9                  | CUSIP: 17025QAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112864 | PA      | $54329.09      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                        | COUNTRYWIDE HOME LOANS CWHL 2004 12 10A1                | CUSIP: 12669FN41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20884 | PA      | $18437.87      | 0.00%             | 2034-08-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                        | COUNTRYWIDE HOME LOANS CWHL 2004 12 3A1                 | CUSIP: 12669FM26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2112000 | PA      | $2038168.84    | 0.18%             | 2034-08-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                        | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39904 | PA      | $36060.29      | 0.00%             | 2034-11-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                        | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A2                 | CUSIP: 12669GKG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168872 | PA      | $140172.69     | 0.01%             | 2035-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                        | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A3                 | CUSIP: 12669GKH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199269 | PA      | $165606.63     | 0.01%             | 2035-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                        | COUNTRYWIDE HOME LOANS CWHL 2004 29 1A1                 | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7769 | PA      | $6909.61       | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-7                                         | COUNTRYWIDE HOME LOANS CWHL 2004 7 2A1                  | CUSIP: 12669FXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     370818 | PA      | $343428.24     | 0.03%             | 2034-06-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                        | COUNTRYWIDE HOME LOANS CWHL 2005 11 3A2                 | CUSIP: 12669GUN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12358 | PA      | $857.53        | 0.00%             | 2035-04-25      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-29                                        | COUNTRYWIDE HOME LOANS CWHL 2005 29 A1                  | CUSIP: 126694TD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61395 | PA      | $32890.88      | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-31                                        | COUNTRYWIDE HOME LOANS CWHL 2005 31 4A2                 | CUSIP: 126694UT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30487 | PA      | $27356.13      | 0.00%             | 2036-01-25      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-7                                         | COUNTRYWIDE HOME LOANS CWHL 2005 7 2A1                  | CUSIP: 12669GNP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     156351 | PA      | $132992.58     | 0.01%             | 2035-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                         | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                  | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48459 | PA      | $39157.53      | 0.00%             | 2035-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HY10                                      | COUNTRYWIDE HOME LOANS CWHL 2005 HY10 4A1               | CUSIP: 126694VP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128259 | PA      | $102484.34     | 0.01%             | 2036-02-20      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB6                                      | COUNTRYWIDE HOME LOANS CWHL 2005 HYB6 5A1               | CUSIP: 126694BS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2261 | PA      | $2061.01       | 0.00%             | 2035-10-20      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                      | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A              | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10492 | PA      | $8706.02       | 0.00%             | 2036-02-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R1                                        | COUNTRYWIDE HOME LOANS CWHL 2005 R1 2A1 144A            | CUSIP: 12669GXE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37790 | PA      | $35477.45      | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-21                                        | COUNTRYWIDE HOME LOANS CWHL 2006 21 A13                 | CUSIP: 12543PAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134317 | PA      | $68155.23      | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-21                                        | COUNTRYWIDE HOME LOANS CWHL 2006 21 A2                  | CUSIP: 12543PAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82378 | PA      | $41796.69      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                         | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                  | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106829 | PA      | $56924.86      | 0.00%             | 2036-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                      | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 2A1A              | CUSIP: 1266943Y2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28685 | PA      | $25495.77      | 0.00%             | 2036-05-20      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                      | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 3A1B              | CUSIP: 1266944F2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87306 | PA      | $79441.09      | 0.01%             | 2036-05-20      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                        | COUNTRYWIDE HOME LOANS CWHL 2007 10 A2                  | CUSIP: 12545CAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     227640 | PA      | $106093.64     | 0.01%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-2                                         | COUNTRYWIDE HOME LOANS CWHL 2007 2 A16                  | CUSIP: 12544CAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79070 | PA      | $39064.91      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY6                                       | COUNTRYWIDE HOME LOANS CWHL 2007 HY6 1A1                | CUSIP: 17025MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      84749 | PA      | $73459.36      | 0.01%             | 2037-11-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB1                                | CREDIT BASED ASSET SERVICING A CBASS 2006 CB1 AF2       | CUSIP: 81375WHH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44022 | PA      | $34441.72      | 0.00%             | 2036-01-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A1 144A   | CUSIP: 1248RHAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8694 | PA      | $5808.22       | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB6                                | CREDIT BASED ASSET SERVICING A CBASS 2007 CB6 A3 144A   | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     186507 | PA      | $124603.76     | 0.01%             | 2037-07-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/ ZURICH BRANCH                                       | CREDIT SUISSE AG SUBORDINATED 144A 08/23 6.5            | CUSIP: 22546DAA4<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |   14000000 | PA      | $13589884.00   | 1.19%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/ ZURICH BRANCH                                       | CREDIT SUISSE AG SUBORDINATED REGS 08/23 6.5            | CUSIP: ACI06K5Q2<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |    2000000 | PA      | $1941412.00    | 0.17%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A     | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6996 | PA      | $6378.09       | 0.00%             | 2032-03-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR      | CUSIP: 225436AA2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    1500000 | PA      | $1182559.50    | 0.10%             | 2024-12-18      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR      | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    1400000 | PA      | $1226400.00    | 0.11%             | 2023-12-11      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                | CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/49 VAR      | CUSIP: ACI07D348<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    1600000 | PA      | $1401600.00    | 0.12%             | 2023-12-11      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                | CREDIT SUISSE GROUP AG JR SUBORDINA REGS 12/99 VAR      | CUSIP: H3698DBW3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    1000000 | PA      | $801619.68     | 0.07%             | 2023-07-17      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-18R                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 18R 4A4 144A     | CUSIP: 22944JDG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116636 | PA      | $112672.99     | 0.01%             | 2038-04-26      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SER SEC 2001-CB4                                   | CREDIT BASED ASSET SERVICING A CBASS 2001 CB4 1A1       | CUSIP: 12489WDY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12557 | PA      | $12355.51      | 0.00%             | 2033-11-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2004-AR8                                | CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR8 8M1        | CUSIP: 22541SXR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35910 | PA      | $38221.20      | 0.00%             | 2034-09-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM7                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 NQM7 A1 144A     | CUSIP: 12662QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9996935 | PA      | $8226924.72    | 0.72%             | 2066-10-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-6R                                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 6R 4A2 144A      | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167483 | PA      | $154053.80     | 0.01%             | 2037-04-28      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2021-RPL4                                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL4 A1 144A     | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3571513 | PA      | $3280305.69    | 0.29%             | 2060-12-27      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507    | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4755154 | PA      | $4950913.08    | 0.43%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| DEEPHAVEN RESIDENTIAL MORTGAGE TRUST 2021-2                           | DEEPHAVEN RESIDENTIAL MORTGAGE DRMT 2021 2 A1 144A      | CUSIP: 24381WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3663392 | PA      | $3096024.23    | 0.27%             | 2066-04-25      | Variable      | 0.90%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                     | DELL INT LLC / EMC CORP SR UNSECURED 07/27 6.1          | CUSIP: 24703TAF3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     900000 | PA      | $926092.58     | 0.08%             | 2027-07-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| DELTA FNDG HOME EQ LN TR 1999-2                                       | DELTA FUNDING HOME EQUITY LOAN DELHE 1999 2 A1A         | CUSIP: 24763LFS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25634 | PA      | $24862.07      | 0.00%             | 2030-08-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1                               | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1         | CUSIP: 25151WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200439 | PA      | $141022.18     | 0.01%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA4                                | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA4 1A1A       | CUSIP: 25151XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     196620 | PA      | $169763.90     | 0.01%             | 2047-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                      | DEUTSCHE BANK AG SUBORDINATED REGS 05/31 VAR            | CUSIP: ACI1MBMC4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     900000 | PA      | $942031.41     | 0.08%             | 2031-05-19      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MORTGAGE AND ASSET RECEIVING CORP 2014-RS1                   | DEUTSCHE MORTGAGE AND ASSET RE DMARC 2014 RS1 4A1 144A  | CUSIP: 25160HAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80105 | PA      | $79142.33      | 0.01%             | 2036-11-27      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                        | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5    | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1611822.46    | 0.14%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                   | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A         | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |   10100000 | PA      | $10489642.28   | 0.92%             | 2033-04-15      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR3                                     | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR3 2A2              | CUSIP: 23332UDX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3680 | PA      | $457.37        | 0.00%             | 2045-07-19      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| ECMC GROUP STUDENT LOAN TRUST 2018-1A                                 | ECMC GROUP STUDENT LOAN TRUST ECMC 2018 1A A 144A       | CUSIP: 26828HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5351838 | PA      | $5093238.78    | 0.44%             | 2068-02-27      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                                       | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A              | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7624 | PA      | $7144.03       | 0.00%             | 2040-05-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                    | ENERGY TRANSFER LP SR UNSECURED 04/27 4.2               | CUSIP: 29273RBK4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |     300000 | PA      | $283574.19     | 0.02%             | 2027-04-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| ERSTE GROUP BANK AG                                                   | ERSTE GROUP BANK AG JR SUBORDINA REGS 12/99 VAR         | CUSIP: BDRXT5II9<br>LEI: PQOH26KWDF7CG10L6792 | Long             | DBT              | CORP              | AT        |     400000 | PA      | $418888.30     | 0.04%             | 2024-04-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3A                                                  | EUROSAIL PLC ESAIL 2007 3A A3C 144A                     | CUSIP: 29880YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     611679 | PA      | $730295.99     | 0.06%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                  | EUROSAIL PLC ESAIL 2007 3X A3A REGS                     | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1104954 | PA      | $1320652.22    | 0.12%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                  | EUROSAIL PLC ESAIL 2007 3X A3C REGS                     | CUSIP: B23DWGII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     399464 | PA      | $476928.37     | 0.04%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                    | FAIRFAX FINL HLDGS LTD SR UNSECURED 04/28 4.85          | CUSIP: 303901BB7<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    4000000 | PA      | $3787905.84    | 0.33%             | 2028-04-17      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE GRANTOR TRUST 2002-T6                                      | FANNIEMAE GRANTOR TRUST FNGT 2002 T6 A4                 | CUSIP: 31392CYH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5808 | PA      | $5446.85       | 0.00%             | 2041-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-42                                                    | FANNIE MAE FNR 1997 42 ZC                               | CUSIP: 31359PX84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5561 | PA      | $5644.64       | 0.00%             | 2027-07-18      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-18                                       | FANNIEMAE GRANTOR TRUST FNGT 2002 T18 A5                | CUSIP: 31392GFS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6811 | PA      | $6418.86       | 0.00%             | 2042-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL 1B0349 FH 07/32 FLOATING VAR          | CUSIP: 31336R5J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        333 | PA      | $328.16        | 0.00%             | 2032-07-01      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL 611310 FH 01/32 FLOATING VAR          | CUSIP: 31337NN38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15455 | PA      | $15098.54      | 0.00%             | 2032-01-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL 786774 FH 08/29 FLOATING VAR          | CUSIP: 31295KQ31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1204 | PA      | $1182.37       | 0.00%             | 2029-08-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL 789791 FH 10/32 FLOATING VAR          | CUSIP: 31295N2Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38614 | PA      | $37746.13      | 0.00%             | 2032-10-01      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL 789837 FH 08/32 FLOATING VAR          | CUSIP: 31295N4W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15208 | PA      | $14486.85      | 0.00%             | 2032-08-01      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL 789848 FH 10/32 FLOATING VAR          | CUSIP: 31295N5H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6826 | PA      | $6685.75       | 0.00%             | 2032-10-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL 847040 FH 02/29 FLOATING VAR          | CUSIP: 3128HDZD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1843 | PA      | $1816.65       | 0.00%             | 2029-02-01      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL 847116 FH 02/33 FLOATING VAR          | CUSIP: 3128HD3Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10985 | PA      | $10733.11      | 0.00%             | 2033-02-01      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL C00895 FG 12/29 FIXED 7               | CUSIP: 31292G7G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         56 | PA      | $57.53         | 0.00%             | 2029-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL C00932 FG 03/30 FIXED 7               | CUSIP: 31292HA95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4413 | PA      | $4512.81       | 0.00%             | 2030-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL C25619 FG 04/29 FIXED 7               | CUSIP: 31293PG41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        891 | PA      | $890.06        | 0.00%             | 2029-04-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL C35369 FG 01/30 FIXED 7               | CUSIP: 31294B6E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.44         | 0.00%             | 2030-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL Q52104 FG 11/47 FIXED 4               | CUSIP: 3132XUKS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9124 | PA      | $8747.73       | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                 | FED HM LN PC POOL ZN4041 FR 03/49 FIXED 4               | CUSIP: 3131YAP20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13245 | PA      | $12603.26      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ABS CERT 2004-FF7                               | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF7 M1          | CUSIP: 32027NLA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15439 | PA      | $15419.70      | 0.00%             | 2034-09-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2004-FF8                              | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF8 M3          | CUSIP: 32027NNS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     328031 | PA      | $322587.09     | 0.03%             | 2034-10-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASST BKD 2005-FF2                               | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF2 M5          | CUSIP: 36242DN66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56457 | PA      | $54915.98      | 0.00%             | 2035-03-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF11                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF11 M4         | CUSIP: 32027NNA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      90427 | PA      | $89137.64      | 0.01%             | 2035-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A3         | CUSIP: 32027EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136885 | PA      | $132255.44     | 0.01%             | 2036-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A4         | CUSIP: 32027EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $361884.60     | 0.03%             | 2036-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF1                                  | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF1 M3          | CUSIP: 32027NQN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     886340 | PA      | $849317.68     | 0.07%             | 2034-12-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF10                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A5         | CUSIP: 32027NWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106702 | PA      | $97896.25      | 0.01%             | 2035-11-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF9                                  | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF9 A4          | CUSIP: 32027NVV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5975 | PA      | $5961.35       | 0.00%             | 2035-10-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF11                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF11 2A4        | CUSIP: 32028PAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121510 | PA      | $113143.51     | 0.01%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF16                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF16 2A3        | CUSIP: 320275AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     222624 | PA      | $96798.35      | 0.01%             | 2036-12-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA1                | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA1 2A1       | CUSIP: 32051GV44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55804 | PA      | $47369.87      | 0.00%             | 2036-04-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES TRUST 2005-AA11         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA11 2A1      | CUSIP: 32051GH65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141526 | PA      | $79049.45      | 0.01%             | 2036-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                                     | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 2A2       | CUSIP: 32056JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25167 | PA      | $21692.72      | 0.00%             | 2037-11-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2005-1                                                | FIRST NLC TRUST FNLC 2005 1 A                           | CUSIP: 32113JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     706047 | PA      | $591259.09     | 0.05%             | 2035-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2007-1                                                | FIRST NLC TRUST FNLC 2007 1 A1 144A                     | CUSIP: 32115BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44226 | PA      | $20955.92      | 0.00%             | 2037-08-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FIRST PLUS HLOAN TRUST 1997-3                                         | FIRST PLUS HOME LOAN TRUST FPLUS 1997 3 M1              | CUSIP: 337925CA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6096 | PA      | $57.78         | 0.00%             | 2023-11-10      | Fixed         | 7.32%                 | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO LLC                                          | FLEX INTERMEDIATE HOLDCO SR SECURED 144A 06/31 3.363    | CUSIP: 33939HAA7<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2192029.78    | 0.19%             | 2031-06-30      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| FLEX INTERMEDIATE HOLDCO LLC                                          | FLEX INTERMEDIATE HOLDCO SR SECURED 144A 12/39 4.317    | CUSIP: 33939HAB5<br>LEI: 549300290TQIGM30A243 | Long             | DBT              | CORP              | US        |    2800000 | PA      | $2021228.64    | 0.18%             | 2039-12-30      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL 257341 FN 08/23 FIXED 6                       | CUSIP: 31371NZE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        873 | PA      | $870.14        | 0.00%             | 2023-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL 257561 FN 12/28 FIXED 6.5                     | CUSIP: 31371PB66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        947 | PA      | $997.38        | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL 313752 FN 05/28 FLOATING VAR                  | CUSIP: 31374GQD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        418 | PA      | $414.39        | 0.00%             | 2028-05-01      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL 400742 FN 09/27 FLOATING VAR                  | CUSIP: 31378KEP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11459 | PA      | $11299.38      | 0.00%             | 2027-09-01      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL 555177 FN 01/33 FLOATING VAR                  | CUSIP: 31385WXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11711 | PA      | $11485.34      | 0.00%             | 2033-01-01      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL 659903 FN 09/32 FLOATING VAR                  | CUSIP: 31390YDG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2620 | PA      | $2582.76       | 0.00%             | 2032-09-01      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL 666828 FN 11/32 FLOATING VAR                  | CUSIP: 31391GYZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4862 | PA      | $4768.05       | 0.00%             | 2032-11-01      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL 668269 FN 10/32 FLOATING VAR                  | CUSIP: 31391JMS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        748 | PA      | $734.47        | 0.00%             | 2032-10-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL 688988 FN 05/33 FLOATING VAR                  | CUSIP: 31400JND7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19349 | PA      | $19164.90      | 0.00%             | 2033-05-01      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL 755123 FN 11/33 FIXED 5                       | CUSIP: 31403Q4G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.06          | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL 804602 FN 12/34 FLOATING VAR                  | CUSIP: 31406A3K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20801 | PA      | $20938.74      | 0.00%             | 2034-12-01      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL 930206 FN 12/23 FIXED 6                       | CUSIP: 31412NNX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4135 | PA      | $4120.81       | 0.00%             | 2023-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                           | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    8855123 | PA      | $86036379.30   | 7.51%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL AS6473 FN 01/46 FIXED 3                       | CUSIP: 3138WGFP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83759 | PA      | $75212.56      | 0.01%             | 2046-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL AX4887 FN 12/44 FIXED 4                       | CUSIP: 3138Y6ND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11231 | PA      | $10768.01      | 0.00%             | 2044-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                  | FNMA POOL BM2000 FN 05/47 FIXED VAR                     | CUSIP: 3140J6GJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     113252 | PA      | $105645.45     | 0.01%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                         | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/25 4.134       | CUSIP: 345397XL2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $938190.32     | 0.08%             | 2025-08-04      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                         | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375       | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     200000 | PA      | $181156.57     | 0.02%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1570                                                      | FREDDIE MAC FHR 1570 FB                                 | CUSIP: 3133T0PR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        141 | PA      | $141.44        | 0.00%             | 2023-08-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2105                                                      | FREDDIE MAC FHR 2105 PE                                 | CUSIP: 3133TH4W4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66717 | PA      | $67844.69      | 0.01%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2246                                                      | FREDDIE MAC FHR 2246 Z                                  | CUSIP: 3133TPLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13512 | PA      | $14303.54      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2248                                                      | FREDDIE MAC FHR 2248 FB                                 | CUSIP: 3133TPV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1502 | PA      | $1489.68       | 0.00%             | 2030-09-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2396                                                      | FREDDIE MAC FHR 2396 FM                                 | CUSIP: 31339LJW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3235 | PA      | $3222.34       | 0.00%             | 2031-12-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2466                                                      | FREDDIE MAC FHR 2466 FV                                 | CUSIP: 31392MP22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1792 | PA      | $1780.51       | 0.00%             | 2032-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1628                                                      | FREDDIE MAC FHR 1628 LZ                                 | CUSIP: 3133T3KK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        197 | PA      | $197.67        | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1671                                                      | FREDDIE MAC FHR 1671 U                                  | CUSIP: 3133T37B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43313 | PA      | $43151.86      | 0.00%             | 2024-02-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2177                                                      | FREDDIE MAC FHR 2177 F                                  | CUSIP: 3133TLPF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5301 | PA      | $5279.18       | 0.00%             | 2029-08-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN OWNER TRUST 1999-3                                  | FREMONT HOME LOAN OWNER TRUST FREHE 1999 3 A2           | CUSIP: 35729BAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5439 | PA      | $5002.99       | 0.00%             | 2029-12-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-C                                        | FREMONT HOME LOAN TRUST FHLT 2005 C M2                  | CUSIP: 35729PKS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191197 | PA      | $190388.31     | 0.02%             | 2035-07-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-1                                        | FREMONT HOME LOAN TRUST FHLT 2006 1 2A4                 | CUSIP: 35729PPB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2905395 | PA      | $2514753.56    | 0.22%             | 2036-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                        | FREMONT HOME LOAN TRUST FHLT 2006 2 2A3                 | CUSIP: 35729PPX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33728 | PA      | $31968.34      | 0.00%             | 2036-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-2                                        | FREMONT HOME LOAN TRUST FHLT 2006 2 2A4                 | CUSIP: 35729PPY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $251738.25     | 0.02%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                        | FREMONT HOME LOAN TRUST FHLT 2006 3 2A3                 | CUSIP: 35729MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     715774 | PA      | $256000.97     | 0.02%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                        | FREMONT HOME LOAN TRUST FHLT 2006 B 2A3                 | CUSIP: 35729QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188349 | PA      | $65308.16      | 0.01%             | 2036-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                        | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3                 | CUSIP: 35729NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     218337 | PA      | $99736.79      | 0.01%             | 2037-01-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                                                   | FS KKR CAPITAL CORP SR UNSECURED 01/27 2.625            | CUSIP: 302635AH0<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    9000000 | PA      | $7525110.33    | 0.66%             | 2027-01-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| GALAXY XV CLO LTD 2013-15A                                            | GALAXY CLO LTD GALXY 2013 15A ARR 144A                  | CUSIP: 36318WAK6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3200000 | PA      | $3129725.15    | 0.27%             | 2030-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                    | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A     | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5030000 | PA      | $4943232.50    | 0.43%             | 2031-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GCT COMMERCIAL MORTGAGE TRUST 2021-GCT                                | GCT COMMERCIAL MORTGAGE TRUST GCT 2021 GCT A 144A       | CUSIP: 36167RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5120000 | PA      | $4761644.03    | 0.42%             | 2038-02-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                                | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 2A1       | CUSIP: 36185MBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81828 | PA      | $69574.35      | 0.01%             | 2035-11-19      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008144 G2 02/23 FLOATING VAR               | CUSIP: 36202KBM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $17.85         | 0.00%             | 2023-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008149 G2 02/23 FLOATING VAR               | CUSIP: 36202KBS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.45         | 0.00%             | 2023-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008157 G2 03/23 FLOATING VAR               | CUSIP: 36202KB20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         70 | PA      | $69.65         | 0.00%             | 2023-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008180 G2 04/23 FLOATING VAR               | CUSIP: 36202KCR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $128.42        | 0.00%             | 2023-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008327 G2 11/23 FLOATING VAR               | CUSIP: 36202KHC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2295 | PA      | $2267.06       | 0.00%             | 2023-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008410 G2 04/24 FLOATING VAR               | CUSIP: 36202KKX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3273 | PA      | $3247.45       | 0.00%             | 2024-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008421 G2 05/24 FLOATING VAR               | CUSIP: 36202KLA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        269 | PA      | $269.19        | 0.00%             | 2024-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008616 G2 04/25 FLOATING VAR               | CUSIP: 36202KSD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        175 | PA      | $172.64        | 0.00%             | 2025-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008627 G2 05/25 FLOATING VAR               | CUSIP: 36202KSQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        628 | PA      | $615.52        | 0.00%             | 2025-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008643 G2 06/25 FLOATING VAR               | CUSIP: 36202KS89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1105 | PA      | $1093.91       | 0.00%             | 2025-06-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008686 G2 08/25 FLOATING VAR               | CUSIP: 36202KUK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        251 | PA      | $245.61        | 0.00%             | 2025-08-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008699 G2 09/25 FLOATING VAR               | CUSIP: 36202KUY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1232 | PA      | $1214.26       | 0.00%             | 2025-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008709 G2 10/25 FLOATING VAR               | CUSIP: 36202KVA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        891 | PA      | $863.64        | 0.00%             | 2025-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008747 G2 11/25 FLOATING VAR               | CUSIP: 36202KWG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        644 | PA      | $625.21        | 0.00%             | 2025-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008781 G2 01/26 FLOATING VAR               | CUSIP: 36202KXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        894 | PA      | $879.40        | 0.00%             | 2026-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008880 G2 06/26 FLOATING VAR               | CUSIP: 36202K2M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1194 | PA      | $1175.97       | 0.00%             | 2026-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008947 G2 08/26 FLOATING VAR               | CUSIP: 36202K5G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        916 | PA      | $898.03        | 0.00%             | 2026-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 008987 G2 10/26 FLOATING VAR               | CUSIP: 36202K6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        691 | PA      | $668.45        | 0.00%             | 2026-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080030 G2 01/27 FLOATING VAR               | CUSIP: 36225CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        525 | PA      | $511.57        | 0.00%             | 2027-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080042 G2 02/27 FLOATING VAR               | CUSIP: 36225CBL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3646 | PA      | $3582.49       | 0.00%             | 2027-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080045 G2 02/27 FLOATING VAR               | CUSIP: 36225CBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2623 | PA      | $2589.77       | 0.00%             | 2027-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080059 G2 04/27 FLOATING VAR               | CUSIP: 36225CB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        639 | PA      | $624.52        | 0.00%             | 2027-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080060 G2 04/27 FLOATING VAR               | CUSIP: 36225CB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        961 | PA      | $935.06        | 0.00%             | 2027-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080094 G2 07/27 FLOATING VAR               | CUSIP: 36225CC87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        758 | PA      | $734.48        | 0.00%             | 2027-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080116 G2 09/27 FLOATING VAR               | CUSIP: 36225CDW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1065 | PA      | $1038.29       | 0.00%             | 2027-09-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080120 G2 10/27 FLOATING VAR               | CUSIP: 36225CD29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        937 | PA      | $905.38        | 0.00%             | 2027-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080123 G2 10/27 FLOATING VAR               | CUSIP: 36225CD52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1420 | PA      | $1378.74       | 0.00%             | 2027-10-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080168 G2 02/28 FLOATING VAR               | CUSIP: 36225CFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4781 | PA      | $4669.78       | 0.00%             | 2028-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080170 G2 02/28 FLOATING VAR               | CUSIP: 36225CFL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2129 | PA      | $2102.51       | 0.00%             | 2028-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080171 G2 02/28 FLOATING VAR               | CUSIP: 36225CFM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        584 | PA      | $566.98        | 0.00%             | 2028-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080180 G2 03/28 FLOATING VAR               | CUSIP: 36225CFW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6962 | PA      | $6805.96       | 0.00%             | 2028-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080186 G2 04/28 FLOATING VAR               | CUSIP: 36225CF43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1807 | PA      | $1781.22       | 0.00%             | 2028-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080187 G2 04/28 FLOATING VAR               | CUSIP: 36225CF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1156 | PA      | $1136.57       | 0.00%             | 2028-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080221 G2 08/28 FLOATING VAR               | CUSIP: 36225CG75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7926 | PA      | $7696.56       | 0.00%             | 2028-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080291 G2 06/29 FLOATING VAR               | CUSIP: 36225CKD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3365 | PA      | $3323.28       | 0.00%             | 2029-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080300 G2 07/29 FLOATING VAR               | CUSIP: 36225CKN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3448 | PA      | $3350.14       | 0.00%             | 2029-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080363 G2 01/30 FLOATING VAR               | CUSIP: 36225CMM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12455 | PA      | $12300.91      | 0.00%             | 2030-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080406 G2 05/30 FLOATING VAR               | CUSIP: 36225CNY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3294 | PA      | $3254.00       | 0.00%             | 2030-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080587 G2 03/32 FLOATING VAR               | CUSIP: 36225CUM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2931 | PA      | $2844.57       | 0.00%             | 2032-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080601 G2 05/32 FLOATING VAR               | CUSIP: 36225CU38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1990 | PA      | $1963.88       | 0.00%             | 2032-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II POOL 080611 G2 06/32 FLOATING VAR               | CUSIP: 36225CVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3169 | PA      | $3109.97       | 0.00%             | 2032-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H022614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  145700000 | PA      | $126296666.22  | 11.03%            | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                  | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H022622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  205200000 | PA      | $178049206.19  | 15.55%            | 2053-02-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                   | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/50 FIXED 3.85  | CUSIP: 38122ND82<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |   15150000 | PA      | $13424119.58   | 1.17%             | 2050-06-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                               | GOLDMAN SACHS GROUP INC SR UNSECURED 06/28 VAR          | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4188069.59    | 0.37%             | 2028-06-05      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                      | CONSECO FINANCIAL CORP GT 1999 3 A8                     | CUSIP: 393505X80<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     318320 | PA      | $283746.08     | 0.02%             | 2031-02-01      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                                   | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32       | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     198939 | PA      | $178233.26     | 0.02%             | 2046-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2007-AR2                                   | GREENPOINT MORTGAGE FUNDING TR GPMF 2007 AR2 2A1        | CUSIP: 39539LAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1788334 | PA      | $1623074.23    | 0.14%             | 2037-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP II 2022-GTWY                              | GS MORTGAGE SECURITIES TRUST GSMS 2022 GTWY A 144A      | CUSIP: 36266DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2623715.64    | 0.23%             | 2039-08-15      | Floating      | 7.74%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2016-GS3                                 | GS MORTGAGE SECURITIES TRUST GSMS 2016 GS3 WMB 144A     | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4180267.50    | 0.37%             | 2049-10-10      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                         | GSAA HOME EQUITY TRUST GSAA 2007 5 2A1A                 | CUSIP: 3622ECAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75283 | PA      | $69811.46      | 0.01%             | 2047-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-WF                                                   | GSAMP TRUST GSAMP 2004 WF M2                            | CUSIP: 36242DKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13402 | PA      | $12815.45      | 0.00%             | 2034-10-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                  | GSAMP TRUST GSAMP 2006 FM1 A2D                          | CUSIP: 362334PK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     248844 | PA      | $160571.51     | 0.01%             | 2036-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM2                                                  | GSAMP TRUST GSAMP 2006 FM2 A2C                          | CUSIP: 36245DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2834017 | PA      | $1049211.50    | 0.09%             | 2036-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                  | GSAMP TRUST GSAMP 2006 FM3 A2C                          | CUSIP: 36245TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     409997 | PA      | $198816.98     | 0.02%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE3                                                  | GSAMP TRUST GSAMP 2006 HE3 A2C                          | CUSIP: 36244KAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        159 | PA      | $158.61        | 0.00%             | 2046-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-NC2                                                  | GSAMP TRUST GSAMP 2006 NC2 A2D                          | CUSIP: 362463AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     201097 | PA      | $107951.98     | 0.01%             | 2036-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                  | GSAMP TRUST GSAMP 2007 FM1 A1                           | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6883832 | PA      | $3731189.57    | 0.33%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                  | GSAMP TRUST GSAMP 2007 FM1 A2B                          | CUSIP: 3622MAAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1607283 | PA      | $804155.21     | 0.07%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                  | GSAMP TRUST GSAMP 2007 FM2 A1                           | CUSIP: 3622MHAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   39741389 | PA      | $23742876.59   | 2.07%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                  | GSAMP TRUST GSAMP 2007 FM2 A2B                          | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2197946 | PA      | $1335838.32    | 0.12%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                  | GSAMP TRUST GSAMP 2007 NC1 A2C                          | CUSIP: 3622MGAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     472317 | PA      | $236932.19     | 0.02%             | 2046-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                  | GSAMP TRUST GSAMP 2007 NC1 A2D                          | CUSIP: 3622MGAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     141695 | PA      | $71078.72      | 0.01%             | 2046-12-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-2                                | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1           | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68238 | PA      | $61928.53      | 0.01%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                       | GSR MORTGAGE LOAN TRUST GSR 2004 11 1A1                 | CUSIP: 36242DFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29940 | PA      | $28281.17      | 0.00%             | 2034-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                      | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 1A2                | CUSIP: 36242DH55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21357 | PA      | $19604.57      | 0.00%             | 2035-04-25      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                      | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 2A1                | CUSIP: 36242DH71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16268 | PA      | $14676.72      | 0.00%             | 2035-04-25      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                      | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78139 | PA      | $73383.40      | 0.01%             | 2035-09-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                      | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A5                | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26701 | PA      | $24492.39      | 0.00%             | 2035-09-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                      | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 1A1                | CUSIP: 362341WX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91300 | PA      | $52646.45      | 0.00%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                   | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A2A       | CUSIP: 41161PKF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19719 | PA      | $18888.96      | 0.00%             | 2035-01-19      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-14                                   | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 14 3A1A       | CUSIP: 41161PWU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17896 | PA      | $16784.07      | 0.00%             | 2035-12-19      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-14                                   | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 14 4A1A       | CUSIP: 41161PWV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77439 | PA      | $42078.67      | 0.00%             | 2035-12-19      | Variable      | 3.76%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A        | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1224038 | PA      | $1090050.25    | 0.10%             | 2035-05-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                   | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A       | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4962498 | PA      | $4092211.00    | 0.36%             | 2036-12-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                   | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13       | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2965875 | PA      | $2685522.28    | 0.23%             | 2036-12-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                   | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A2A       | CUSIP: 41162DAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25588 | PA      | $22488.96      | 0.00%             | 2038-01-19      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                   | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A2B       | CUSIP: 41162DAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24362 | PA      | $39267.09      | 0.00%             | 2038-01-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 1A1A        | CUSIP: 41161QAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     133535 | PA      | $62438.82      | 0.01%             | 2036-06-19      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A       | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81196 | PA      | $49514.90      | 0.00%             | 2036-01-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-6                                 | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 6 A1A         | CUSIP: 41161PPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26678 | PA      | $22770.50      | 0.00%             | 2045-07-19      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY ASSET TRUST 2005-1                                        | HOME EQUITY ASSET TRUST HEAT 2005 1 M5                  | CUSIP: 437084HU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70284 | PA      | $69024.09      | 0.01%             | 2035-05-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                      | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV3              | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     558106 | PA      | $537631.99     | 0.05%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                      | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV4              | CUSIP: 43710XAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     500000 | PA      | $439054.40     | 0.04%             | 2037-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MTGE TRUST 2006-2                                            | HOMEBANC MORTGAGE TRUST HMBT 2006 2 A1                  | CUSIP: 43739HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7241 | PA      | $7197.74       | 0.00%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                     | HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR                | CUSIP: 404280BL2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $920309.73     | 0.08%             | 2027-05-22      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                     | HSBC HOLDINGS PLC SR UNSECURED 06/26 VAR                | CUSIP: 404280CG2<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    6000000 | PA      | $5465215.98    | 0.48%             | 2026-06-04      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                     | HSBC HOLDINGS PLC SR UNSECURED 06/29 VAR                | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    3400000 | PA      | $3136296.20    | 0.27%             | 2029-06-19      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                     | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2        | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     199334 | PA      | $54571.66      | 0.00%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                     | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3        | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     907991 | PA      | $246245.91     | 0.02%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                     | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A4        | CUSIP: 44328BAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     605327 | PA      | $164827.56     | 0.01%             | 2036-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2005-I1                                    | HSI ASSET SECURITIZATION CORPO HASC 2005 I1 2A4         | CUSIP: 40430HCN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3183934 | PA      | $2838062.18    | 0.25%             | 2035-11-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-3                                      | IMPAC SECURED ASSETS CORP. IMSA 2006 3 A3               | CUSIP: 45255RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94630 | PA      | $93122.79      | 0.01%             | 2036-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-HOA1                                  | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 HOA1 A11       | CUSIP: 45670LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     195612 | PA      | $134878.38     | 0.01%             | 2047-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR1                                 | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR1 A3         | CUSIP: 45662BAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1509414 | PA      | $1193189.78    | 0.10%             | 2036-08-25      | Floating      | 3.38%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MTGE LOAN TRUST 2005-1                                   | INDYMAC INDB MORTGAGE LOAN TRU INDB 2005 1 A1           | CUSIP: 45660LYW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130056 | PA      | $77491.08      | 0.01%             | 2035-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2004-AR4                                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR4 2A1A       | CUSIP: 45660LEG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32285 | PA      | $31373.08      | 0.00%             | 2035-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A2        | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      53197 | PA      | $43909.14      | 0.00%             | 2035-09-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 6A1       | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88944 | PA      | $76553.76      | 0.01%             | 2035-11-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1        | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80561 | PA      | $69885.75      | 0.01%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1        | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55331 | PA      | $44708.16      | 0.00%             | 2037-06-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A4        | CUSIP: 45660LQJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     546110 | PA      | $433405.30     | 0.04%             | 2035-08-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR19                                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR19 A1        | CUSIP: 45660LXA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     504342 | PA      | $399760.70     | 0.03%             | 2035-10-25      | Floating      | 3.04%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR7                                 | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR7 4A1        | CUSIP: 45660LLP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21899 | PA      | $18774.83      | 0.00%             | 2035-06-25      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                 | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 2A1        | CUSIP: 45661EGE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3763610 | PA      | $2461413.04    | 0.21%             | 2036-06-25      | Variable      | 3.12%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR9                                 | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 3A3        | CUSIP: 45661EGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     762222 | PA      | $597843.85     | 0.05%             | 2036-06-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                               | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 1A          | CUSIP: 43709LAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     273069 | PA      | $243683.18     | 0.02%             | 2036-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                               | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A3         | CUSIP: 43709LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230535 | PA      | $197383.66     | 0.02%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                               | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A4A        | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     217004 | PA      | $183869.04     | 0.02%             | 2037-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                          | ING GROEP NV SR UNSECURED 144A 01/26 4.625              | CUSIP: 45685NAA4<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    5200000 | PA      | $5083922.43    | 0.44%             | 2026-01-06      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                   | INTESA SANPAOLO SPA JR SUBORDINA REGS 12/99 VAR         | CUSIP: ACI0V4P54<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $206784.29     | 0.02%             | 2024-05-16      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| INTOWN 2022-STAY MORTGAGE TRUST                                       | INTOWN 2022 STAY TOWN 2022 STAY A 144A                  | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4481778.60    | 0.39%             | 2039-08-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO I DAC 1A                                             | INVESCO EURO CLO INVSC 1A A1R 144A                      | CUSIP: ACI1VT7W8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     900000 | PA      | $935762.40     | 0.08%             | 2031-07-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| IPALCO ENTERPRISES INC                                                | IPALCO ENTERPRISES INC SR SECURED 05/30 4.25            | CUSIP: 462613AP5<br>LEI: 5493000YFVK2DZX0JV43 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2315872.47    | 0.20%             | 2030-05-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2005-HE4                               | IXIS REAL ESTATE CAPITAL TRUST IXIS 2005 HE4 M1         | CUSIP: 45071KCN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15825 | PA      | $16653.55      | 0.00%             | 2036-02-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A7                                | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A7 2A7        | CUSIP: 466286AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4812 | PA      | $4500.50       | 0.00%             | 2036-12-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A   | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1534929 | PA      | $1148103.67    | 0.10%             | 2037-06-27      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LOAN TRUST 2006-A5                              | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A5 1A1        | CUSIP: 466284AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3183170 | PA      | $2793782.66    | 0.24%             | 2036-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CW2                                 | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW2 AF5       | CUSIP: 46629BAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91654 | PA      | $55270.13      | 0.00%             | 2036-08-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-ACC1                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 ACC1 M1       | CUSIP: 46628RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9951 | PA      | $10064.72      | 0.00%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                      | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1              | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42587 | PA      | $34831.54      | 0.00%             | 2035-11-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                      | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 2A3              | CUSIP: 466247YP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28922 | PA      | $25203.84      | 0.00%             | 2035-11-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                      | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A11             | CUSIP: 466247ZY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95620 | PA      | $48784.57      | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A7                                      | JP MORGAN MORTGAGE TRUST JPMMT 2006 A7 3A2              | CUSIP: 46629DBA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8824 | PA      | $7225.97       | 0.00%             | 2037-01-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                      | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 1A1              | CUSIP: 46630GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      59568 | PA      | $56374.80      | 0.00%             | 2035-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                      | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A5              | CUSIP: 46630GAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111507 | PA      | $108061.95     | 0.01%             | 2035-07-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A4                                      | JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 3A3              | CUSIP: 46631JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68009 | PA      | $51248.84      | 0.00%             | 2037-06-25      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                                    | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A        | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10294201 | PA      | $8628395.70    | 0.75%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2004-A4                                      | JP MORGAN MORTGAGE TRUST JPMMT 2004 A4 3A1              | CUSIP: 466247EA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79977 | PA      | $75498.95      | 0.01%             | 2034-09-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A2                                      | JP MORGAN MORTGAGE TRUST JPMMT 2005 A2 5A2              | CUSIP: 466247NV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1459 | PA      | $1439.14       | 0.00%             | 2035-04-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A2                                      | JP MORGAN MORTGAGE TRUST JPMMT 2005 A2 7CB1             | CUSIP: 466247NZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1378 | PA      | $1375.18       | 0.00%             | 2035-04-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-NC2                                   | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 NC2 M1        | CUSIP: 46629FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160607 | PA      | $155457.90     | 0.01%             | 2036-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH2                                   | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH2 MV1       | CUSIP: 46630MAX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     547118 | PA      | $543803.75     | 0.05%             | 2037-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                                   | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A5        | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125679 | PA      | $122354.91     | 0.01%             | 2037-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH5                                   | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH5 A5        | CUSIP: 46631KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51273 | PA      | $50930.65      | 0.00%             | 2037-06-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| KB HOME                                                               | KB HOME COMPANY GUAR 06/31 4                            | CUSIP: 48666KAZ2<br>LEI: 549300LGUCWQURMWLG09 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $5635875.00    | 0.49%             | 2031-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-1                                | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 1 M5           | CUSIP: 00252FBC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163303 | PA      | $161510.03     | 0.01%             | 2035-06-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| KKR CLO 9 LTD                                                         | KKR FINANCIAL CLO LTD KKR 9 AR2 144A                    | CUSIP: 48250LAW9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14897100 | PA      | $14626602.42   | 1.28%             | 2030-07-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-4                                | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M3           | CUSIP: 00252FCV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     119931 | PA      | $117431.66     | 0.01%             | 2035-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| LAVENDER TRUST SERIES 2010-RR2A                                       | LAVENDER TRUST LTS 2010 RR2A A4 144A                    | CUSIP: 519440AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     221193 | PA      | $118076.91     | 0.01%             | 2036-10-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| LCM XV LP 15A                                                         | LCM LTD PARTNERSHIP LCM 15A AR2 144A                    | CUSIP: 50184NAR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12424808 | PA      | $12238924.25   | 1.07%             | 2030-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                  | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A       | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1974527 | PA      | $1794508.20    | 0.16%             | 2061-07-25      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-SL2                                  | LEGACY MORTGAGE ASSET TRUST LMAT 2021 SL2 A 144A        | CUSIP: 52476TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5851388 | PA      | $5267042.63    | 0.46%             | 2068-10-25      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                          | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A1 144A    | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161193 | PA      | $114049.30     | 0.01%             | 2037-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                          | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A2 144A    | CUSIP: 52521MAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     129833 | PA      | $92223.57      | 0.01%             | 2037-06-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-2                                          | LEHMAN MORTGAGE TRUST LMT 2005 2 4A1                    | CUSIP: 52520MCF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     171716 | PA      | $36179.23      | 0.00%             | 2035-12-25      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2005-3                                          | LEHMAN MORTGAGE TRUST LMT 2005 3 4A1                    | CUSIP: 52520MEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      47601 | PA      | $42599.94      | 0.00%             | 2036-01-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-3 2006-3                                   | LEHMAN MORTGAGE TRUST LMT 2006 3 1A4                    | CUSIP: 52520CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      55802 | PA      | $28975.56      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-9N                                               | LEHMAN XS TRUST LXS 2005 9N 1A1                         | CUSIP: 525221GM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4289372 | PA      | $3733238.89    | 0.33%             | 2036-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-12N                                              | LEHMAN XS TRUST LXS 2006 12N A31A                       | CUSIP: 525226AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30694 | PA      | $29197.82      | 0.00%             | 2046-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                              | LEHMAN XS TRUST LXS 2006 16N A4A                        | CUSIP: 52522DAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8966868 | PA      | $7570108.45    | 0.66%             | 2046-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                                              | LEHMAN XS TRUST LXS 2006 16N A4B                        | CUSIP: 52522DAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9017 | PA      | $9137.55       | 0.00%             | 2046-11-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-4N                                               | LEHMAN XS TRUST LXS 2006 4N A1C1                        | CUSIP: 525221KM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6529 | PA      | $7859.78       | 0.00%             | 2046-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST SERIES 2007-2N                                        | LEHMAN XS TRUST LXS 2007 2N 3A3                         | CUSIP: 52524LAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     951328 | PA      | $790302.14     | 0.07%             | 2037-02-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                              | LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 02/61 4.3    | CUSIP: 53079EBL7<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $2445440.00    | 0.21%             | 2061-02-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| LIBERTY MUTUAL GROUP INC                                              | LIBERTY MUTUAL GROUP INC COMPANY GUAR 144A 12/51 VAR    | CUSIP: 53079EBM5<br>LEI: QUR0DG15Z6FFGYCHH861 | Long             | DBT              | CORP              | US        |    6700000 | PA      | $5466932.20    | 0.48%             | 2051-12-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                              | LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR         | CUSIP: 539439AU3<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    6000000 | PA      | $5803242.72    | 0.51%             | 2025-09-27      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL1                                  | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M4        | CUSIP: 542514LL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     366165 | PA      | $354620.62     | 0.03%             | 2035-06-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL3                                  | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M1        | CUSIP: 542514PR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71975 | PA      | $71412.69      | 0.01%             | 2035-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2005-3                                 | ACCREDITED MORTGAGE LOAN TRUST ACCR 2005 3 M3           | CUSIP: 004375DW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      77876 | PA      | $76643.24      | 0.01%             | 2035-09-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TR 2005-1                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 1 M4          | CUSIP: 542514KC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9304367 | PA      | $9107175.25    | 0.80%             | 2035-02-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2006-2                                 | ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4           | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3097199 | PA      | $3039560.01    | 0.27%             | 2036-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2001-4                                     | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2M1         | CUSIP: 542514BK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     122847 | PA      | $121084.38     | 0.01%             | 2032-03-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-6                                        | LUMINENT MORTGAGE TRUST LUM 2006 6 A1                   | CUSIP: 55027YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112221 | PA      | $97206.63      | 0.01%             | 2046-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-7                                        | LUMINENT MORTGAGE TRUST LUM 2006 7 2A1                  | CUSIP: 55028BAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     423772 | PA      | $364028.67     | 0.03%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM2                                          | ACE SECURITIES CORP. ACE 2004 FM2 M1                    | CUSIP: 004421GJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     363331 | PA      | $329054.91     | 0.03%             | 2034-06-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| MACH 1 CAYMAN LTD 2019-1                                              | MACH I MAACH 2019 1 A 144A                              | CUSIP: 55446MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    1697951 | PA      | $1375021.59    | 0.12%             | 2039-10-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| MACKAY SHIELDS EURO CLO 1 DAC 1A                                      | MACKAY SHIELDS EURO CLO MKSE 1A A 144A                  | CUSIP: ACI1RS713<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1900000 | PA      | $1961205.95    | 0.17%             | 2032-10-20      | Floating      | 2.39%                 | No            |                  2 | On Loan: No      |
| MAGALLANES INC                                                        | MAGALLANES INC COMPANY GUAR 144A 03/32 4.279            | CUSIP: 55903VAL7<br>LEI: 549300DXR29GD4N0A520 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1239401.36    | 0.11%             | 2032-03-15      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-HE4                                          | ACE SECURITIES CORP. ACE 2004 HE4 M1                    | CUSIP: 004421JH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108535 | PA      | $97260.56      | 0.01%             | 2034-12-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XVIII LTD 2016-18A                                          | MAGNETITE CLO LTD MAGNE 2016 18A AR2 144A               | CUSIP: 55953TAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5016740 | PA      | $4962316.37    | 0.43%             | 2028-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO 6A                                                       | MAN GLG EURO CLO GLGE 6A AR 144A                        | CUSIP: ACI22ZH29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    9294781 | PA      | $9626225.94    | 0.84%             | 2032-10-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE4                                          | ACE SECURITIES CORP. ACE 2005 HE4 M4                    | CUSIP: 004421PT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14118 | PA      | $14055.27      | 0.00%             | 2035-07-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE7                                          | ACE SECURITIES CORP. ACE 2005 HE7 M1                    | CUSIP: 004421UC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      44116 | PA      | $44097.77      | 0.00%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MARVELL TECHNOLOGY INC                                                | MARVELL TECHNOLOGY INC COMPANY GUAR 06/28 4.875         | CUSIP: 573874AN4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6650000 | PA      | $6350745.48    | 0.55%             | 2028-06-22      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-CW1                                          | ACE SECURITIES CORP. ACE 2006 CW1 A2C                   | CUSIP: 00441QAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108455 | PA      | $86372.22      | 0.01%             | 2036-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS MUTUAL LIFE INSURANCE COMPANY                           | MASS MUTUAL LIFE INS CO SUBORDINATED 144A 02/69 VAR     | CUSIP: 575767AM0<br>LEI: R6ZXK5P01NP6HXSY1S07 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4018995.00    | 0.35%             | 2069-02-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF1                                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF1 A1         | CUSIP: 57645RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89933 | PA      | $39744.39      | 0.00%             | 2037-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC1                                          | ACE SECURITIES CORP. ACE 2006 NC1 M1                    | CUSIP: 004421UU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1768118.40    | 0.15%             | 2035-12-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-NC1                                    | MASTR ASSET BACKED SECURITIES MABS 2005 NC1 M2          | CUSIP: 57643LGG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12507 | PA      | $11932.22      | 0.00%             | 2034-12-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE2                                    | MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A4          | CUSIP: 57644UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130345 | PA      | $52227.42      | 0.00%             | 2036-06-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE5                                    | MASTR ASSET BACKED SECURITIES MABS 2006 HE5 A4          | CUSIP: 576455AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3744752 | PA      | $2284055.82    | 0.20%             | 2036-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                    | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M1          | CUSIP: 57643LNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150162 | PA      | $146709.61     | 0.01%             | 2036-01-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                    | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A3          | CUSIP: 55275BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     146344 | PA      | $59396.88      | 0.01%             | 2036-08-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                    | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A4          | CUSIP: 55275BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     241488 | PA      | $98013.21      | 0.01%             | 2036-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                    | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A5          | CUSIP: 55275BAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     144893 | PA      | $58807.92      | 0.01%             | 2036-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC1                                | MASTR ASSET BACKED SECURITIES MABS 2006 WMC1 A3         | CUSIP: 57643LRK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     302980 | PA      | $122542.30     | 0.01%             | 2036-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                                 | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1         | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200178 | PA      | $184901.25     | 0.02%             | 2035-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-NC2                                  | MASTR ASSET BACKED SECURITIES MABS 2005 NC2 A3          | CUSIP: 57643LMN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8013246 | PA      | $4631539.17    | 0.40%             | 2035-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                          | ACE SECURITIES CORP. ACE 2006 NC3 A2B                   | CUSIP: 00442EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     298713 | PA      | $86901.07      | 0.01%             | 2036-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                     | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A4 144A      | CUSIP: 57643QBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     702346 | PA      | $541837.75     | 0.05%             | 2035-07-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-2                                  | MASTR REPERFORMING LOAN TRUST MARP 2005 2 1A2 144A      | CUSIP: 57643QAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     717251 | PA      | $514320.49     | 0.04%             | 2035-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-OP2                                          | ACE SECURITIES CORP. ACE 2006 OP2 A1                    | CUSIP: 00441YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309272 | PA      | $292807.96     | 0.03%             | 2036-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-SD1                                          | ACE SECURITIES CORP. ACE 2006 SD1 M1                    | CUSIP: 004421XW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69886 | PA      | $66107.13      | 0.01%             | 2036-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| MDC HOLDINGS INC                                                      | MDC HOLDINGS INC COMPANY GUAR 08/61 3.966               | CUSIP: 552676AV0<br>LEI: 5299005FV4VNV75R8R35 | Long             | DBT              | CORP              | US        |    8500000 | PA      | $4777617.44    | 0.42%             | 2061-08-06      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| MDPKE 14A                                                             | MADISON PARK EURO FUNDING MDPKE 14A A1R 144A            | CUSIP: ACI2289F9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    5700000 | PA      | $5912334.61    | 0.52%             | 2032-07-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| MELLON RES FUND CORP 1999-TBC3                                        | MELLON RESIDENTIAL FUNDING COR MRFC 1999 TBC3 A2        | CUSIP: 585525DF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18101 | PA      | $17803.58      | 0.00%             | 2029-10-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A1                                  | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A1 A3          | CUSIP: 59023MAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108782 | PA      | $34665.13      | 0.00%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2006-HE1            | ACE SECURITIES CORP. ACE 2006 HE1 A2D                   | CUSIP: 004421WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27320 | PA      | $26779.98      | 0.00%             | 2036-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                  | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C         | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     767590 | PA      | $223521.07     | 0.02%             | 2037-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                 | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 1AF8       | CUSIP: 59024KAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128027 | PA      | $99111.47      | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 FM1 M1         | CUSIP: 59020UC29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74248 | PA      | $72885.27      | 0.01%             | 2036-05-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2D        | CUSIP: 59022QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     693489 | PA      | $371409.86     | 0.03%             | 2037-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INV TRUST 2007-SD1                                 | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 SD1 A1         | CUSIP: 590232AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     842356 | PA      | $509469.44     | 0.04%             | 2047-02-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-AF2                                 | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 AF2 AF2        | CUSIP: 59023NAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1184805 | PA      | $572996.40     | 0.05%             | 2036-10-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MERX AVIATION FINANCE LLC 2018-1A                                     | MAPS LTD MAPSL 2018 1A A 144A                           | CUSIP: 56564RAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    2529003 | PA      | $2260872.42    | 0.20%             | 2043-05-15      | Fixed         | 4.21%                 | No            |                  2 | On Loan: No      |
| MESA TRUST ASSET BK CERT 2001-5                                       | MESA TRUST ASSET BACKED CERTIF MESA 2001 5 A 144A       | CUSIP: 68400XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58447 | PA      | $58382.17      | 0.01%             | 2031-12-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| METAL CAYMAN 2017-1 LLC                                               | METAL CAYMAN METAL 2017 1 A 144A                        | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    3224336 | PA      | $1694639.97    | 0.15%             | 2042-10-15      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                      | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A      | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2300000 | PA      | $2215731.45    | 0.19%             | 2037-02-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| MIDOCEAN CREDIT CLO VIII 2018-8A                                      | MIDOCEAN CREDIT CLO MIDO 2018 8A A1R 144A               | CUSIP: 59801MAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4000000 | PA      | $3932343.24    | 0.34%             | 2031-02-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                 | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 3A11        | CUSIP: 007036TE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9943 | PA      | $9043.76       | 0.00%             | 2036-01-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-11                                 | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 11 2A42        | CUSIP: 007036VE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83359 | PA      | $59020.77      | 0.01%             | 2036-02-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-A                                    | MLCC MORTGAGE INVESTORS INC MLCC 2004 A A1              | CUSIP: 59020UAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13419 | PA      | $12204.62      | 0.00%             | 2029-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-C                                    | MLCC MORTGAGE INVESTORS INC MLCC 2004 C A2B             | CUSIP: 59020UDW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12743 | PA      | $12297.47      | 0.00%             | 2029-07-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-D                                    | MLCC MORTGAGE INVESTORS INC MLCC 2004 D A1              | CUSIP: 59020UGF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13270 | PA      | $12348.99      | 0.00%             | 2029-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-E                                    | MLCC MORTGAGE INVESTORS INC MLCC 2004 E A1              | CUSIP: 59020UJP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31848 | PA      | $28115.09      | 0.00%             | 2029-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                    | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 1A              | CUSIP: 59020UL37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27271 | PA      | $26014.29      | 0.00%             | 2035-11-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-1                                    | MLCC MORTGAGE INVESTORS INC MLCC 2006 1 2A1             | CUSIP: 59020U4S1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19872 | PA      | $18887.47      | 0.00%             | 2036-02-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-8                                  | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 3A21         | CUSIP: 007036QH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68689 | PA      | $52932.67      | 0.00%             | 2035-11-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                        | MORGAN STANLEY SR UNSECURED REGS 04/32 VAR              | CUSIP: U6S771NR6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    8000000 | PA      | $4569058.16    | 0.40%             | 2032-04-02      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-NC5                                 | MORGAN STANLEY CAPITAL INC MSAC 2004 NC5 M1             | CUSIP: 61746RFV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70644 | PA      | $65801.08      | 0.01%             | 2034-05-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC4                                | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC4 M6            | CUSIP: 61744CRF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $184875.40     | 0.02%             | 2035-04-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC5                                | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC5 M5            | CUSIP: 61744CRV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     254013 | PA      | $248215.67     | 0.02%             | 2035-06-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE1                                 | MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 A4             | CUSIP: 617451DR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     548477 | PA      | $524895.65     | 0.05%             | 2036-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                 | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3             | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158723 | PA      | $83367.54      | 0.01%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                 | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C            | CUSIP: 61750SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2194088 | PA      | $1053142.58    | 0.09%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                 | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2FP           | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      73843 | PA      | $35407.38      | 0.00%             | 2036-10-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC1                                 | MORGAN STANLEY CAPITAL INC MSAC 2006 NC1 M2             | CUSIP: 61744CYC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10000000 | PA      | $9149943.00    | 0.80%             | 2035-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                                 | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C            | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     374768 | PA      | $326363.92     | 0.03%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                 | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2B            | CUSIP: 61749BAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     603718 | PA      | $298189.18     | 0.03%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                 | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2C            | CUSIP: 61749BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     176859 | PA      | $87530.69      | 0.01%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-WMC1                                | MORGAN STANLEY CAPITAL INC MSAC 2006 WMC1 A2C           | CUSIP: 61744CXM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147653 | PA      | $142891.89     | 0.01%             | 2035-12-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                 | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C            | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     968779 | PA      | $585087.65     | 0.05%             | 2036-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                 | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2B            | CUSIP: 61753KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327661 | PA      | $148095.97     | 0.01%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                 | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2C            | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     327661 | PA      | $148165.04     | 0.01%             | 2037-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE7                                 | MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 A2C            | CUSIP: 61756YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $332995.80     | 0.03%             | 2037-07-25      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                 | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2C            | CUSIP: 617505AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     195229 | PA      | $97501.31      | 0.01%             | 2036-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC1                                 | MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2D            | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1171377 | PA      | $585105.91     | 0.05%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                 | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2B            | CUSIP: 61753NAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111909 | PA      | $54569.40      | 0.00%             | 2037-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C            | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     330773 | PA      | $126905.59     | 0.01%             | 2036-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-CNP                               | MORGAN STANLEY CAPITAL I TRUST MSC 2020 CNP A 144A      | CUSIP: 61770YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $3821807.50    | 0.33%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITT CAP I 2003-NC2                               | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1        | CUSIP: 61746WA75<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     305212 | PA      | $299099.43     | 0.03%             | 2033-02-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER 2003-HYB1                                  | MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 HYB1 A3       | CUSIP: 61746WB90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29631 | PA      | $26211.82      | 0.00%             | 2033-03-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2006-3                                  | MORGAN STANLEY HOME EQUITY LOA MSHEL 2006 3 A3          | CUSIP: 61749GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82295 | PA      | $58818.24      | 0.01%             | 2036-04-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                  | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A2          | CUSIP: 61752UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     480435 | PA      | $263137.29     | 0.02%             | 2037-04-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                  | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3          | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160145 | PA      | $89022.31      | 0.01%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR 2007-5AX                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 5AX 2A3         | CUSIP: 61751GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104172 | PA      | $28411.63      | 0.00%             | 2037-02-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 6A1         | CUSIP: 61749LAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32507 | PA      | $31399.45      | 0.00%             | 2036-06-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 1A1         | CUSIP: 61752JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     298345 | PA      | $114323.43     | 0.01%             | 2046-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A1        | CUSIP: 61748HGR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16533 | PA      | $14662.47      | 0.00%             | 2035-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 2A1         | CUSIP: 61745M4N0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1195333 | PA      | $1040403.94    | 0.09%             | 2035-07-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                               | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 3A1        | CUSIP: 617487AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230534 | PA      | $88910.98      | 0.01%             | 2036-11-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-13                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 13 6A1          | CUSIP: 61756HBN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67406 | PA      | $39659.56      | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3         | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210502 | PA      | $62877.50      | 0.01%             | 2037-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                 | MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 4B 144A       | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106555 | PA      | $96412.67      | 0.01%             | 2037-02-26      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2009-R3                                  | MORGAN STANLEY REREMIC TRUST MSRR 2009 R3 1B 144A       | CUSIP: 61758NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5909417 | PA      | $3976817.28    | 0.35%             | 2035-10-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R5                                  | MORGAN STANLEY REREMIC TRUST MSRR 2010 R5 3B 144A       | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58924 | PA      | $55195.41      | 0.00%             | 2037-03-26      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-6                                      | AEGIS ASSET BACKED SECURITIES AABST 2004 6 M2           | CUSIP: 00764MDY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48132 | PA      | $44602.31      | 0.00%             | 2035-03-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2005-1                                      | AEGIS ASSET BACKED SECURITIES AABST 2005 1 M4           | CUSIP: 00764MEN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     172317 | PA      | $164031.07     | 0.01%             | 2035-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-5                               | AEGIS ASSET BACKED SECURITIES AABST 2005 5 M1           | CUSIP: 00764MHE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $187553.06     | 0.02%             | 2035-12-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST 2005-2                            | AEGIS ASSET BACKED SECURITIES AABST 2005 2 M3           | CUSIP: 00764MFD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157571 | PA      | $145381.86     | 0.01%             | 2035-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                     | NATWEST GROUP PLC SR UNSECURED 04/26 4.8                | CUSIP: 780097BA8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $1958286.36    | 0.17%             | 2026-04-05      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2003-B                                | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 B M1          | CUSIP: 64352VES6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     991209 | PA      | $948663.89     | 0.08%             | 2033-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2007-1                                | NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 2A3           | CUSIP: 65106FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1594758 | PA      | $1561600.84    | 0.14%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| NEWCASTLE MTGE SECURITIES TRUST 2007-1                                | NEWCASTLE MORTGAGE SECURITIES NCMT 2007 1 2A4           | CUSIP: 65106FAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4292000 | PA      | $3924209.08    | 0.34%             | 2037-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                   | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81            | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    3100000 | PA      | $2637680.54    | 0.23%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NLT 2021-INV2 TRUST                                                   | NMLT TRUST NLT 2021 INV2 A1 144A                        | CUSIP: 62917JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4328359 | PA      | $3424342.19    | 0.30%             | 2056-08-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2004-R1                                  | NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A      | CUSIP: 62951MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     305775 | PA      | $265837.37     | 0.02%             | 2034-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-AR1                                 | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR1 4A          | CUSIP: 65535VSE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     272116 | PA      | $231817.16     | 0.02%             | 2036-02-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                  | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A1           | CUSIP: 65535AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     148512 | PA      | $37418.36      | 0.00%             | 2036-10-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE1                                  | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M1           | CUSIP: 65536HCS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9542 | PA      | $9514.58       | 0.00%             | 2036-02-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2010-5RA                                | NOMURA RESECURITIZATION TRUST NMRR 2010 5RA 1A7 144A    | CUSIP: 65539GBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4580230 | PA      | $2322678.50    | 0.20%             | 2037-10-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA                                                            | AIR CANADA SR SECURED 144A 08/29 4.625                  | CUSIP: 008911BJ7<br>LEI: 4B4HI3CGXMBDC0G6BM51 | Long             | DBT              | CORP              | CA        |     900000 | PA      | $582580.50     | 0.05%             | 2029-08-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2005-3                                      | NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M2                | CUSIP: 66987XGY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2605509 | PA      | $2553461.26    | 0.22%             | 2036-01-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2006-2                         | NOVASTAR HOME EQUITY LOAN NHEL 2006 2 A2C               | CUSIP: 66988VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83560 | PA      | $64233.90      | 0.01%             | 2036-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2022-SP1                                              | NEW YORK MORTGAGE TRUST NYMT 2022 SP1 A1 144A           | CUSIP: 62956BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4435436 | PA      | $4179107.36    | 0.36%             | 2062-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT DRILLING NORBE VIII/IX LTD                                  | ODEBRECHT DRILL VIII/IX SR SECURED 144A 12/26 7.35      | CUSIP: 675757AC2<br>LEI: 549300YNW6BY570L6488 | Long             | DBT              | CORP              | KY        |        257 | PA      | $141.99        | 0.00%             | 2026-12-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT DRILLING NORBE VIII/IX LTD                                  | ODEBRECHT DRILL VIII/IX SR SECURED REGS 12/26 7.35      | CUSIP: G67106AC1<br>LEI: 549300YNW6BY570L6488 | Long             | DBT              | CORP              | KY        |     103086 | PA      | $56955.02      | 0.00%             | 2026-12-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| ODEBRECHT OIL & GAS FINANCE LIMITED                                   | ODEBRECHT OIL + FINANCE COMPANY GUAR 144A 12/99 0.0000  | CUSIP: 67576JAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      46000 | PA      | $112.70        | 0.00%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OHIO NATIONAL FINANCIAL SERVICES INC                                  | OHIO NAT FINANCIAL SRVS SR UNSECURED 144A 01/30 5.8     | CUSIP: 67740QAH9<br>LEI: 549300K609B872PZT291 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $5802516.28    | 0.51%             | 2030-01-24      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-3                                 | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 3 M3          | CUSIP: 68389FHU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     400000 | PA      | $381971.76     | 0.03%             | 2035-08-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                                 | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M2          | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1995576 | PA      | $1896936.36    | 0.17%             | 2035-11-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                 | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1          | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300000 | PA      | $265774.35     | 0.02%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                 | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3         | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52048 | PA      | $31027.65      | 0.00%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                 | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A4         | CUSIP: 68400DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     208191 | PA      | $124109.33     | 0.01%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                 | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A4         | CUSIP: 68402BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100386 | PA      | $48443.41      | 0.00%             | 2037-04-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                     | ALASKA AIRLINES 2020 TR PASS THRU CE 144A 02/29 4.8     | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2951282 | PA      | $2814192.65    | 0.25%             | 2029-02-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                 | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 2A2         | CUSIP: 68403HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10142500 | PA      | $5584425.05    | 0.49%             | 2037-05-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| OWL ROCK CAPITAL CORPORATION                                          | OWL ROCK CAPITAL CORP SR UNSECURED 06/28 2.875          | CUSIP: 69121KAG9<br>LEI: 2549000BD79OOCPF2L94 | Long             | DBT              | CORP              | US        |    9700000 | PA      | $7631549.88    | 0.67%             | 2028-06-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                               | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1          | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131187 | PA      | $120183.98     | 0.01%             | 2036-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15          | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $2976933.54    | 0.26%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/44 4.75          | CUSIP: 694308HH3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2306758.56    | 0.20%             | 2044-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/25 3.5           | CUSIP: 694308HM2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1038844.96    | 0.09%             | 2025-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/25 3.45          | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1231855.52    | 0.11%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55          | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1181361.77    | 0.10%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                      | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5           | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1177819.68    | 0.10%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC NATIONAL FINANCE PTY LTD                                      | PACIFIC NATIONAL FINANCE COMPANY GUAR REGS 03/28 4.75   | CUSIP: BYVTPZII5<br>LEI: 213800SSTRDXLWWVF948 | Long             | DBT              | CORP              | AU        |    1700000 | PA      | $1509812.50    | 0.13%             | 2028-03-22      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ1                                          | PARK PLACE SECURITIES INC PPSI 2005 WHQ1 M5             | CUSIP: 70069FGE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     307466 | PA      | $295785.51     | 0.03%             | 2035-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ3                                          | PARK PLACE SECURITIES INC PPSI 2005 WHQ3 M4             | CUSIP: 70069FJS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36522 | PA      | $36147.68      | 0.00%             | 2035-06-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SEC INC 2005-WHQ4                                          | PARK PLACE SECURITIES INC PPSI 2005 WHQ4 M2             | CUSIP: 70069FMT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     316416 | PA      | $302901.00     | 0.03%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                   | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3             | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     319169 | PA      | $312491.53     | 0.03%             | 2034-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WWF1                                   | PARK PLACE SECURITIES INC PPSI 2004 WWF1 M5             | CUSIP: 70069FDN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4191442 | PA      | $4048167.96    | 0.35%             | 2034-12-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCH1                                   | PARK PLACE SECURITIES INC PPSI 2005 WCH1 M4             | CUSIP: 70069FFL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92560 | PA      | $90657.63      | 0.01%             | 2036-01-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                   | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M2             | CUSIP: 70069FLH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117334 | PA      | $115101.23     | 0.01%             | 2035-07-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                   | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M3             | CUSIP: 70069FLJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     950000 | PA      | $871264.57     | 0.08%             | 2035-07-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW3                                   | PARK PLACE SECURITIES INC PPSI 2005 WCW3 M2             | CUSIP: 70069FLX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192196 | PA      | $183553.39     | 0.02%             | 2035-08-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC-2005-WCW1                                   | PARK PLACE SECURITIES INC PPSI 2005 WCW1 M3             | CUSIP: 70069FKG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $194897.98     | 0.02%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ECONOMIC DEVELOPMENT FINANCING AUTHORITY                 | PENNSYLVANIA ST ECON DEV FING PASDEV 06/39 FIXED 6.532  | CUSIP: 70869PFT9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     600000 | PA      | $637870.68     | 0.06%             | 2039-06-15      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S FINANCE REALTY MTGE SEC 2006-1                               | PEOPLE S FINANCIAL REALTY MORT PFRMS 2006 1 2A2         | CUSIP: 71103XAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     353892 | PA      | $102142.08     | 0.01%             | 2036-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2006-A                               | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 A M1          | CUSIP: 73316PJW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      81277 | PA      | $79811.06      | 0.01%             | 2036-02-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2006-D                               | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 D A3          | CUSIP: 73316QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29632 | PA      | $29163.79      | 0.00%             | 2036-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| PORT AUTHORITY OF NEW YORK & NEW JERSEY                               | PORT AUTH OF NEW YORK   NEW JE PORTRN 08/69 FIXED 3.287 | CUSIP: 73358W3L6<br>LEI: 54930006MR4KZ4W74Z83 | Long             | DBT              | MUN               | US        |    8000000 | PA      | $5236620.80    | 0.46%             | 2069-08-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL1 LLC                      | PRETIUM MORTGAGE CREDIT PRET 2021 NPL1 A1 144A          | CUSIP: 741389AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1627980 | PA      | $1490668.91    | 0.13%             | 2060-09-27      | Fixed         | 2.24%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A1 144A    | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1868109 | PA      | $1695742.63    | 0.15%             | 2051-07-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| ALT-2 STRUCTURED TRUST                                                | CASTLELAKE LP FIRST LIEN TERM LOAN                      | CUSIP: 937CJTII1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    9288444 | PA      | $8406041.48    | 0.73%             | 2031-05-13      | Fixed         | 2.95%                 | No            |                  3 | On Loan: No      |
| PROSUS NV                                                             | PROSUS NV SR UNSECURED 144A 01/30 3.68                  | CUSIP: 74365PAA6<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    5500000 | PA      | $4584385.30    | 0.40%             | 2030-01-21      | Fixed         | 3.68%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                             | PROSUS NV SR UNSECURED 144A 01/32 4.193                 | CUSIP: 74365PAH1<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    2000000 | PA      | $1660722.86    | 0.15%             | 2032-01-19      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| PRPM-2022-1                                                           | PRESTON RIDGE PARTNERS MORTGAG PRPM 2022 1 A1 144A      | CUSIP: 693582AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2578957 | PA      | $2423303.94    | 0.21%             | 2027-02-25      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| PURPLE FINANCE CLO 1 DAC 1A                                           | PURPLE FINANCE CLO PURP 1A ANV 144A                     | CUSIP: ACI1RL3V6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1839824 | PA      | $1927794.21    | 0.17%             | 2031-01-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2005-SP2                                                  | RAAC SERIES RAAC 2005 SP2 2A                            | CUSIP: 76112BF54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      27046 | PA      | $22241.91      | 0.00%             | 2044-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-RP1                                                  | RAAC SERIES RAAC 2006 RP1 M2 144A                       | CUSIP: 76112B2W9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34431 | PA      | $34392.95      | 0.00%             | 2045-10-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-SP1                                                  | RAAC SERIES RAAC 2006 SP1 M1                            | CUSIP: 76112B3F5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1247639 | PA      | $1198408.74    | 0.10%             | 2045-09-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP4                                                  | RAAC SERIES RAAC 2007 RP4 A 144A                        | CUSIP: 74919LAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     337428 | PA      | $301580.29     | 0.03%             | 2046-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-SP3                                                  | RAAC SERIES RAAC 2007 SP3 A2                            | CUSIP: 74978FAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     483131 | PA      | $463046.41     | 0.04%             | 2047-09-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                            | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1         | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76306 | PA      | $57657.16      | 0.01%             | 2035-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2022-FL10 LLC                        | READYCAP COMMERCIAL MORTGAGE T RCMT 2022 FL10 A 144A    | CUSIP: 755931AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4793185 | PA      | $4785942.55    | 0.42%             | 2039-10-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| REGENTS OF THE UNIVERSITY OF CALIFORNIA MEDICAL CENTER POOLED REVENUE | UNIV OF CALIFORNIA CA RGTS MED UNVHGR 05/20 FIXED 3.706 | CUSIP: 913366KD1<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    4800000 | PA      | $3026576.16    | 0.26%             | 2120-05-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF3          | CUSIP: 759950GV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9589858 | PA      | $4477282.29    | 0.39%             | 2036-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF4          | CUSIP: 75971EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     512510 | PA      | $199255.86     | 0.02%             | 2036-11-25      | Variable      | 5.81%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF1          | CUSIP: 75970HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7350427 | PA      | $2510824.30    | 0.22%             | 2037-01-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF3          | CUSIP: 75971FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215619 | PA      | $101186.06     | 0.01%             | 2037-09-25      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2006-2                             | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 2 AF5          | CUSIP: 759676AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9184318 | PA      | $4014149.35    | 0.35%             | 2036-08-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2013-1 CLASS A PASS THROUGH TRUST                   | AMER AIRLN 13 1 A PASS T AMER AIRLN 13 1 A PASS T       | CUSIP: 023772AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1003915 | PA      | $872062.13     | 0.08%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QO4                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO4 A1         | CUSIP: 74923LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62134 | PA      | $54076.60      | 0.00%             | 2047-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2013-2 CLASS A PASS THROUGH TRUST                   | AMERICAN AIRLINES 2013 2 PASS THRU CE 07/24 4.95        | CUSIP: 02377UAB0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     805530 | PA      | $804454.52     | 0.07%             | 2024-07-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA2                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA2 NB2        | CUSIP: 76110HT90<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     160756 | PA      | $130674.71     | 0.01%             | 2035-02-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA11                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA11 A1        | CUSIP: 74922XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     191771 | PA      | $178482.39     | 0.02%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS14                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS14 3A1       | CUSIP: 761118JJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     663079 | PA      | $573258.32     | 0.05%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS4                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS4 A8         | CUSIP: 749228AH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70885 | PA      | $61024.92      | 0.01%             | 2036-04-25      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A7        | CUSIP: 74922EAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2766169 | PA      | $2237119.02    | 0.20%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA4                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA4 A1B        | CUSIP: 74923YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58912 | PA      | $52897.98      | 0.00%             | 2037-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH7                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH7 1A1        | CUSIP: 75115LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155147 | PA      | $137951.37     | 0.01%             | 2037-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO3                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO3 A1         | CUSIP: 761118KU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      57624 | PA      | $46968.78      | 0.00%             | 2045-10-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QA2                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA2 2A1        | CUSIP: 761118TR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94900 | PA      | $74396.78      | 0.01%             | 2036-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                   | AMER AIRLN 15 1 A PTT PASS THRU CE 11/28 3.375          | CUSIP: 023770AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4943812 | PA      | $4132476.56    | 0.36%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-RS3                      | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS3 A4         | CUSIP: 75156VAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     654900 | PA      | $591794.54     | 0.05%             | 2036-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2006-RS5                      | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS5 A4         | CUSIP: 75156YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82928 | PA      | $78159.33      | 0.01%             | 2036-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC5                                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC5 M3        | CUSIP: 76112BH60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50270 | PA      | $49263.09      | 0.00%             | 2035-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2006-RS1                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS1 AI3        | CUSIP: 76112BT91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     441895 | PA      | $415334.88     | 0.04%             | 2036-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2004-KS11                                  | RESIDENTIAL ASSET SECURITIES C RASC 2004 KS11 M1        | CUSIP: 76110WJ31<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6531 | PA      | $6459.07       | 0.00%             | 2034-12-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                  | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 1A3       | CUSIP: 74924VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     306283 | PA      | $284443.90     | 0.02%             | 2036-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                  | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 2A        | CUSIP: 74924VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     253870 | PA      | $230856.32     | 0.02%             | 2036-11-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS3                                   | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS3 AI4        | CUSIP: 74924YAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1354342 | PA      | $1269001.23    | 0.11%             | 2037-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A12                                  | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A12 A1         | CUSIP: 76113XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82760 | PA      | $32836.11      | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A12                                  | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A12 A3         | CUSIP: 76113XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121120 | PA      | $46178.27      | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A5CB                                 | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A5CB A6        | CUSIP: 76112FAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165506 | PA      | $71159.40      | 0.01%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                   | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1          | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97253 | PA      | $33454.56      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A2                                   | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A2 2A2         | CUSIP: 761120AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1132980 | PA      | $306424.78     | 0.03%             | 2037-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-AHL2                                | RESIDENTIAL ASSET SECURITIES C RASC 2005 AHL2 M1        | CUSIP: 76110W5H5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26115 | PA      | $26024.28      | 0.00%             | 2035-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX4                                | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX4 M3        | CUSIP: 76110W6B7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128068 | PA      | $125816.48     | 0.01%             | 2035-11-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX5                                | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX5 A3        | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107329 | PA      | $95616.73      | 0.01%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS10                                | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS10 M2        | CUSIP: 75405WAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36823 | PA      | $36659.87      | 0.00%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                                | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M2        | CUSIP: 76110W7E0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      88215 | PA      | $87394.17      | 0.01%             | 2035-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS2                                 | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS2 M1         | CUSIP: 76110WN69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9824 | PA      | $9820.90       | 0.00%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS4                                 | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS4 M1         | CUSIP: 75406EAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91854 | PA      | $91506.33      | 0.01%             | 2036-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTG SEC I 2006-S8                                 | RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 S8 A15         | CUSIP: 74957XAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     111241 | PA      | $85085.66      | 0.01%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA1                                 | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA1 1A2        | CUSIP: 76111XTC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     848327 | PA      | $469637.07     | 0.04%             | 2035-03-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                       | ROLLS ROYCE PLC COMPANY GUAR 06/26 3.375                | CUSIP: ACI066P57<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $104579.62     | 0.01%             | 2026-06-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                       | ROLLS ROYCE PLC COMPANY GUAR 144A 10/25 3.625           | CUSIP: 77578JAB4<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |    1800000 | PA      | $1665000.00    | 0.15%             | 2025-10-14      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                       | ROLLS ROYCE PLC COMPANY GUAR REGS 02/26 4.625           | CUSIP: ACI1S5ZS2<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $208202.43     | 0.02%             | 2026-02-16      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                       | ROLLS ROYCE PLC COMPANY GUAR REGS 05/24 0.875           | CUSIP: ACI12HZ13<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $707174.69     | 0.06%             | 2024-05-09      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                       | ROLLS ROYCE PLC COMPANY GUAR REGS 05/28 1.625           | CUSIP: ACI12HZ39<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     100000 | PA      | $85216.34      | 0.01%             | 2028-05-09      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                                       | ROLLS ROYCE PLC COMPANY GUAR REGS 10/27 5.75            | CUSIP: ACI1S61G3<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $222567.71     | 0.02%             | 2027-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS A PASS THROUGH TRUST                   | AMER AIRLINE 19 1A PTT PASS THRU CE 08/33 3.5           | CUSIP: 02378MAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     518657 | PA      | $394481.36     | 0.03%             | 2033-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2019-1 CLASS AA PASS THROUGH TRUST                  | AMER AIRLINE 19 1AA PTT PASS THRU CE 08/33 3.15         | CUSIP: 02377LAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    5186575 | PA      | $4306379.90    | 0.38%             | 2033-08-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| RUTGERS THE STATE UNIVERSITY                                          | RUTGERS NJ ST UNIV RUTHGR 12/99 FIXED 3.915             | CUSIP: 783186TP4<br>LEI: 549300BOYDHNW8J60112 | Long             | DBT              | MUN               | US        |    5800000 | PA      | $3842909.48    | 0.34%             | 2099-12-31      | Fixed         | 3.92%                 | No            |                  2 | On Loan: No      |
| SABRA HEALTH CARE LP                                                  | SABRA HEALTH CARE LP COMPANY GUAR 10/29 3.9             | CUSIP: 78572XAG6<br>LEI: 549300OVKLRFSIQG0H81 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $3857631.99    | 0.34%             | 2029-10-15      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                       | SANDS CHINA LTD SR UNSECURED 08/25 5.625                | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     400000 | PA      | $382956.83     | 0.03%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                            | SANTANDER HOLDINGS USA SR UNSECURED 10/26 3.244         | CUSIP: 80282KAZ9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $1858817.98    | 0.16%             | 2026-10-05      | Fixed         | 3.24%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                     | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A2         | CUSIP: 813765AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4233558 | PA      | $2304906.69    | 0.20%             | 2036-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                     | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3         | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     879806 | PA      | $478983.87     | 0.04%             | 2036-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-NC1                                     | SECURITIZED ASSET BACKED RECEI SABR 2006 NC1 A3         | CUSIP: 81375HAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114134 | PA      | $101660.86     | 0.01%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                 | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2B        | CUSIP: 81376YAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194909 | PA      | $69384.76      | 0.01%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                 | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C        | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190582 | PA      | $67960.78      | 0.01%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                 | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2D        | CUSIP: 81376YAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     653422 | PA      | $233183.65     | 0.02%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4                     | SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2         | CUSIP: 81375WFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34669 | PA      | $32882.84      | 0.00%             | 2036-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                     | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2         | CUSIP: 81375WCT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19499 | PA      | $17888.59      | 0.00%             | 2035-01-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5               | SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1         | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     114776 | PA      | $87198.98      | 0.01%             | 2035-08-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-2                                  | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 2 2A1           | CUSIP: 02660XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     370307 | PA      | $314116.85     | 0.03%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                  | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A12          | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360089 | PA      | $194880.09     | 0.02%             | 2046-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-5                                  | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 5 A1            | CUSIP: 02660KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     478164 | PA      | $152236.74     | 0.01%             | 2046-11-25      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2005-OPT1                                | SG MORTGAGE SECURITIES TRUST SGMS 2005 OPT1 M2          | CUSIP: 81879MAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     622027 | PA      | $603578.26     | 0.05%             | 2035-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE2                                | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE2 A2C         | CUSIP: 784208AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   28150503 | PA      | $6533681.15    | 0.57%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-8                                         | SLM STUDENT LOAN TRUST SLMA 2008 8 A4                   | CUSIP: 78445GAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     839195 | PA      | $837445.15     | 0.07%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2008-9                                         | SLM STUDENT LOAN TRUST SLMA 2008 9 A                    | CUSIP: 78445JAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1773804 | PA      | $1757866.48    | 0.15%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2010-C                                         | SLM STUDENT LOAN TRUST SLMA 2010 C A5 144A              | CUSIP: 78445QAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2146506 | PA      | $2304694.67    | 0.20%             | 2041-10-15      | Floating      | 9.07%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                   | SOCIETE GENERALE JR SUBORDINA 144A 12/49 VAR            | CUSIP: 83367TBF5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     600000 | PA      | $595391.15     | 0.05%             | 2023-12-18      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                   | SOCIETE GENERALE JR SUBORDINA REGS 12/49 VAR            | CUSIP: F8586CRW4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     700000 | PA      | $694623.01     | 0.06%             | 2023-12-18      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO IX LTD 2015-2A                                        | SOUND POINT CLO LTD SNDPT 2015 2A ARRR 144A             | CUSIP: 83609GBN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5900000 | PA      | $5700691.69    | 0.50%             | 2032-07-20      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT3                               | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT3 2A4       | CUSIP: 83611MPJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8373656 | PA      | $8173558.30    | 0.71%             | 2036-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                               | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1       | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40326 | PA      | $28886.68      | 0.00%             | 2037-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                               | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 2A3       | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1525162 | PA      | $1376602.05    | 0.12%             | 2037-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                               | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A2       | CUSIP: 83613FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242575 | PA      | $179304.27     | 0.02%             | 2037-10-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                               | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1       | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     281196 | PA      | $80764.83      | 0.01%             | 2037-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                               | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2       | CUSIP: 83612NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393846 | PA      | $114181.52     | 0.01%             | 2037-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2006-2                               | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 2 M2           | CUSIP: 83611MNJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     163019 | PA      | $161201.13     | 0.01%             | 2036-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2005-BC2                               | SPECIALTY UNDERWRITING + RESID SURF 2005 BC2 M3         | CUSIP: 84751PFW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97075 | PA      | $94406.63      | 0.01%             | 2035-12-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB1                               | SPECIALTY UNDERWRITING + RESID SURF 2006 AB1 A4         | CUSIP: 84751PKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1269265 | PA      | $1203424.07    | 0.11%             | 2036-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3    | SPECIALTY UNDERWRITING + RESID SURF 2006 AB3 A2B        | CUSIP: 84751XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8113518 | PA      | $5659278.48    | 0.49%             | 2037-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2007-BC2    | SPECIALTY UNDERWRITING + RESID SURF 2007 BC2 A2C        | CUSIP: 84752EAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128410 | PA      | $92903.93      | 0.01%             | 2037-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2D        | CUSIP: 84751NAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     665463 | PA      | $383701.66     | 0.03%             | 2037-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                | STANDARD CHARTERED PLC SR UNSECURED 144A 03/26 VAR      | CUSIP: 853254CJ7<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    3500000 | PA      | $3345934.83    | 0.29%             | 2026-03-30      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1                             | STARWOOD COMMERCIAL MORTGAGE T STWD 2019 FL1 A 144A     | CUSIP: 78485WAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5004802 | PA      | $4905274.74    | 0.43%             | 2038-07-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 21-2A                                       | STRATTON MORTGAGE FUNDING PLC STRA 2021 2A A 144A       | CUSIP: ACI1W61K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   12616867 | PA      | $15123511.14   | 1.32%             | 2060-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-7                                     | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 7 A3           | CUSIP: 86359BRV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     219009 | PA      | $198468.57     | 0.02%             | 2034-06-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-1                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 6A1          | CUSIP: 863579Q43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     168925 | PA      | $134965.68     | 0.01%             | 2036-02-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-8                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 8 1A2          | CUSIP: 86361JAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1740146 | PA      | $1173558.90    | 0.10%             | 2036-09-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R1                                       | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M4          | CUSIP: 03072SYB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200000 | PA      | $194586.96     | 0.02%             | 2035-03-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN 2006-9                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 9 1A1          | CUSIP: 86361PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87943 | PA      | $51970.01      | 0.00%             | 2036-10-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTGE 2004-14                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 14 1A          | CUSIP: 863579CB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9978 | PA      | $9282.26       | 0.00%             | 2034-10-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2006-R1                                       | AMERIQUEST MORTGAGE SECURITIES AMSI 2006 R1 M1          | CUSIP: 03072SX42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29475 | PA      | $29294.48      | 0.00%             | 2036-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-9                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 9 2A2A         | CUSIP: 863579QX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     217530 | PA      | $165938.46     | 0.01%             | 2035-05-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-6                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 6 3A1          | CUSIP: 86364CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3521 | PA      | $2286.90       | 0.00%             | 2037-07-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS 1A1       | CUSIP: 863579YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     651600 | PA      | $595077.48     | 0.05%             | 2035-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC6                                | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC6 M1         | CUSIP: 86358ECL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21857 | PA      | $21319.79      | 0.00%             | 2033-07-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2004-BNC2                               | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 M1        | CUSIP: 86358ENJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1138113 | PA      | $1090317.59    | 0.10%             | 2034-12-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC3                               | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC3 A3        | CUSIP: 86361KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52798 | PA      | $50678.27      | 0.00%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2005-R7                                | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R7 M3          | CUSIP: 03072SK20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6986117 | PA      | $6819292.80    | 0.60%             | 2035-09-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TRUST-2005-11                              | STRUCTURED ASSET INVESTMENT LO SAIL 2005 11 A3          | CUSIP: 86358EZP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108008 | PA      | $104928.04     | 0.01%             | 2036-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                                   | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M2           | CUSIP: 86358EMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     468307 | PA      | $463129.51     | 0.04%             | 2034-09-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-4                                   | STRUCTURED ASSET INVESTMENT LO SAIL 2005 4 M4           | CUSIP: 86358ESN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453700 | PA      | $441442.66     | 0.04%             | 2035-05-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 20060BNC1                                | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC1 A4        | CUSIP: 86358EC87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     139533 | PA      | $135722.31     | 0.01%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2003-AR2                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR2 A1         | CUSIP: 86358HTY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136406 | PA      | $129841.17     | 0.01%             | 2033-12-19      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2        | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36176 | PA      | $33359.42      | 0.00%             | 2034-03-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A3        | CUSIP: 86359LAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104335 | PA      | $95145.84      | 0.01%             | 2034-03-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR6                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR6 A2         | CUSIP: 86359LEW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      65911 | PA      | $59402.84      | 0.01%             | 2035-02-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1        | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2144419 | PA      | $2051670.32    | 0.18%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A2         | CUSIP: 86359LRY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     250045 | PA      | $198756.26     | 0.02%             | 2036-02-25      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A2       | CUSIP: 86360KAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     472323 | PA      | $361388.91     | 0.03%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1        | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      79231 | PA      | $26699.29      | 0.00%             | 2037-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR3                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 1A3        | CUSIP: 86363NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     798463 | PA      | $637739.02     | 0.06%             | 2047-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR3                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 2A1        | CUSIP: 86363NAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364200 | PA      | $317752.57     | 0.03%             | 2047-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A4A        | CUSIP: 86364MAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38072 | PA      | $33933.92      | 0.00%             | 2047-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 2A2        | CUSIP: 86360JAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49816 | PA      | $28466.63      | 0.00%             | 2046-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 4A1        | CUSIP: 86360JAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     691828 | PA      | $207108.21     | 0.02%             | 2046-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1        | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     328786 | PA      | $227805.68     | 0.02%             | 2046-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-AR1                                    | STRUCTURED ASSET SECURITIES CO SASC 2005 AR1 M2         | CUSIP: 86359DVX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     413226 | PA      | $390915.59     | 0.03%             | 2035-09-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-EQ1A                                   | STRUCTURED ASSET SECURITIES CO SASC 2006 EQ1A A1 144A   | CUSIP: 86360RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1576325 | PA      | $1554171.36    | 0.14%             | 2036-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-W3                                     | STRUCTURED ASSET SECURITIES CO SASC 2006 WF3 M1         | CUSIP: 86361EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6008 | PA      | $6005.00       | 0.00%             | 2036-09-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-MN1A                                   | STRUCTURED ASSET SECURITIES CO SASC 2007 MN1A A1 144A   | CUSIP: 863613AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1876739 | PA      | $1137729.41    | 0.10%             | 2037-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                    | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A6         | CUSIP: 86358BAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     281269 | PA      | $271211.59     | 0.02%             | 2037-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                    | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A1         | CUSIP: 86364LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165811 | PA      | $163664.35     | 0.01%             | 2037-08-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                    | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A3         | CUSIP: 86364LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40569 | PA      | $40136.63      | 0.00%             | 2037-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO 2006-BC4                               | STRUCTURED ASSET SECURITIES CO SASC 2006 BC4 A4         | CUSIP: 86359RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58781 | PA      | $57065.00      | 0.00%             | 2036-12-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2006-BC2                               | STRUCTURED ASSET SECURITIES CO SASC 2006 BC2 A3         | CUSIP: 86361GAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      48765 | PA      | $46112.34      | 0.00%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M1          | CUSIP: 03072SQ32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70555 | PA      | $69159.61      | 0.01%             | 2035-11-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                       | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 3A2         | CUSIP: 78473NAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87990 | PA      | $76217.83      | 0.01%             | 2037-02-25      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2005-1F                                 | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2005 1F 2A8        | CUSIP: 86789MAT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     211324 | PA      | $187283.72     | 0.02%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED P/T CERT 2007-2                                       | TBW MORTGAGE BACKED PASS THROU TBW 2007 2 A1A           | CUSIP: 872227AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2916451 | PA      | $939652.19     | 0.08%             | 2037-07-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLATERAL TRUST 2004-1                        | AMORTIZING RESIDENTIAL COLLATE ARC 2004 1 A5            | CUSIP: 031733AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89286 | PA      | $86891.73      | 0.01%             | 2034-10-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| TENNESSEE GAS PIPELINE COMPANY LLC                                    | TENNESSEE GAS PIPELINE COMPANY GUAR 144A 03/30 2.9      | CUSIP: 880451AZ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3191246.73    | 0.28%             | 2030-03-01      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FIN 4 PLC                                              | TESCO PROPERTY FIN 4 PLC SR SECURED REGS 10/40 5.8006   | CUSIP: B3LSHBII8<br>LEI: 213800UCE6O94DGHWT77 | Long             | DBT              | CORP              | GB        |     654110 | PA      | $745764.13     | 0.07%             | 2040-10-13      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FINANCE 3 PLC                                          | TESCO PROPERTY FIN 3 PLC SR SECURED REGS 04/40 5.744    | CUSIP: 989XYDII0<br>LEI: 213800HCQGDQGFP75D78 | Long             | DBT              | CORP              | GB        |     184159 | PA      | $208469.89     | 0.02%             | 2040-04-13      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FINANCE 3 PLC                                          | TESCO PROPERTY FIN 3 PLC SR SECURED REGS 04/40 5.744    | CUSIP: G8765XAA6<br>LEI: 213800HCQGDQGFP75D78 | Long             | DBT              | CORP              | GB        |     414358 | PA      | $469057.24     | 0.04%             | 2040-04-13      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FINANCE 5 PLC                                          | TESCO PROPERTY FIN 5 PLC SR SECURED REGS 10/41 5.6611   | CUSIP: ACI01EQ39<br>LEI: 213800BN1HYPUZMXAF92 | Long             | DBT              | CORP              | GB        |      95836 | PA      | $107263.52     | 0.01%             | 2041-10-13      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| TEXAS ELECTRIC MARKET STABILIZATION FUNDING N LLC                     | TEXAS ELECTRIC MKT STABL SR SECURED 144A 02/52 5.167    | CUSIP: 88240TAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7700000 | PA      | $7360042.38    | 0.64%             | 2052-02-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-4                               | THORNBURG MORTGAGE SECURITIES TMST 2003 4 A1            | CUSIP: 885220DW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107361 | PA      | $100679.05     | 0.01%             | 2043-09-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-3                               | THORNBURG MORTGAGE SECURITIES TMST 2004 3 A             | CUSIP: 885220FS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14040 | PA      | $12791.59      | 0.00%             | 2034-09-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-4                               | THORNBURG MORTGAGE SECURITIES TMST 2007 4 2A1           | CUSIP: 88522YAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18029 | PA      | $17381.52      | 0.00%             | 2037-09-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-3                                      | TOWD POINT MORTGAGE TRUST TPMT 2019 3 A1 144A           | CUSIP: 89177LAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7269458 | PA      | $6928407.27    | 0.61%             | 2059-02-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4                           | TPG REAL ESTATE FINANCE TRTX 2021 FL4 A 144A            | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   12600000 | PA      | $12198375.00   | 1.07%             | 2038-03-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| TRUSTAGE FINANCIAL GROUP INC                                          | TRUSTAGE FINANCIAL GROUP SR UNSECURED 144A 04/32 4.625  | CUSIP: 89787EAA9<br>LEI: 549300X7YNHNZXTI6F10 | Long             | DBT              | CORP              | US        |    5300000 | PA      | $4585157.94    | 0.40%             | 2032-04-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| TURKISH AIRLINES 2015-1 CLASS A PASS THROUGH TRUST                    | TURKISH AIRLN 15 1 A PTT PASS THRU CE 144A 09/28 4.2    | CUSIP: 10010YAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | TR        |    3324514 | PA      | $2911915.17    | 0.25%             | 2028-09-15      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                                | UBS AG SUBORDINATED REGS 05/24 5.125                    | CUSIP: BMJ6SQII2<br>LEI: BFM8T61CT2L1QCEMIK50 | Long             | DBT              | CORP              | CH        |    4700000 | PA      | $4648972.10    | 0.41%             | 2024-05-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                  | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -4000000 | PA      | $-3387932.24   | -0.30%            | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                  | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8500000 | PA      | $7468263.71    | 0.65%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                  | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   55900000 | PA      | $50824344.84   | 4.44%             | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                  | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  186900000 | PA      | $175307049.04  | 15.31%            | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                  | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -198000000 | PA      | $-185718543.12 | -16.22%           | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                  | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040628<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -99000000 | PA      | $-92882475.18  | -8.11%            | 2053-02-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                  | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40000000 | PA      | $38507439.20   | 3.36%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                         | UNICREDIT SPA SR UNSECURED 144A 12/23 7.83              | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    8500000 | PA      | $8589962.13    | 0.75%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                    | TREASURY BILL 01/23 0.00000                             | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5338000 | PA      | $5336923.49    | 0.47%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                    | TREASURY BILL 03/23 0.00000                             | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1021000 | PA      | $1014035.51    | 0.09%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST 2017-1A                   | AASET 2017 1 TRUST AASET 2017 1A A 144A                 | CUSIP: 000366AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     742986 | PA      | $576870.39     | 0.05%             | 2042-05-16      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| APOLLO AVIATION SECURITIZATION EQUITY TRUST 2018-1A                   | AASET 2018 1 TRUST AASET 2018 1A A 144A                 | CUSIP: 000367AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1434080 | PA      | $883272.72     | 0.08%             | 2038-01-16      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                    | US TREASURY N/B 11/41 2                                 | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   25000000 | PA      | $17862793.00   | 1.56%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                    | US TREASURY N/B 11/52 4                                 | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8100000 | PA      | $8113921.88    | 0.71%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNIVERSITY OF VIRGINIA                                                | UNIV OF VIRGINIA VA UNIV REVEN UNIHGR 12/99 FIXED 3.227 | CUSIP: 915217XA6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    5600000 | PA      | $3286028.48    | 0.29%             | 2099-12-31      | Fixed         | 3.23%                 | No            |                  2 | On Loan: No      |
| VB-S1 ISSUER LLC - VBTEL 2022-1A                                      | VB S1 ISSUER LLC VBTEL 2022 1A C2II 144A                | CUSIP: 91823AAW1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $1111208.14    | 0.10%             | 2057-02-15      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST-1994-3A                                         | VENDEE MORTGAGE TRUST VENDE 1994 3A 1ZB                 | CUSIP: 911760ET9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50737 | PA      | $51123.56      | 0.00%             | 2024-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VERTICAL BRIDGE HOLDINGS LLC  2020-2A                                 | VB S1 ISSUER LLC VBTOW 2020 2A A 144A                   | CUSIP: 92535VAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7000000 | PA      | $6253261.00    | 0.55%             | 2050-09-15      | Fixed         | 2.64%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2021-8                                     | VERUS SECURITIZATION TRUST VERUS 2021 8 A1 144A         | CUSIP: 92538GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4067357 | PA      | $3444496.66    | 0.30%             | 2066-11-25      | Variable      | 1.82%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO VII LTD                                                   | VIBRANT CLO LTD VIBR 2017 7A A1R 144A                   | CUSIP: 92558BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   13943714 | PA      | $13722782.33   | 1.20%             | 2030-09-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                 | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1           | CUSIP: 92977YBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10680 | PA      | $9912.54       | 0.00%             | 2035-10-20      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                               | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A         | CUSIP: 93364EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6332197 | PA      | $5768358.78    | 0.50%             | 2037-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                               | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A3        | CUSIP: 93364EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1068728 | PA      | $878348.67     | 0.08%             | 2037-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE P/T CERTIFICATES 2007-OA1                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA1 A1A        | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1267087 | PA      | $1055153.15    | 0.09%             | 2047-02-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY2                                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 1A1        | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     666770 | PA      | $590825.05     | 0.05%             | 2036-12-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A1B       | CUSIP: 93364BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33132 | PA      | $23996.32      | 0.00%             | 2047-06-25      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A3          | CUSIP: 93935HAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127606 | PA      | $37357.14      | 0.00%             | 2036-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A        | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10865 | PA      | $9861.25       | 0.00%             | 2042-11-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR12                                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A2A       | CUSIP: 92922FZF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     462449 | PA      | $417113.21     | 0.04%             | 2044-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A1B2      | CUSIP: 92922FB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     264562 | PA      | $239956.89     | 0.02%             | 2034-11-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR13                                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A       | CUSIP: 92922FB72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96061 | PA      | $86646.16      | 0.01%             | 2034-11-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                            | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A        | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101936 | PA      | $94524.04      | 0.01%             | 2045-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1B2      | CUSIP: 92922F5W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113327 | PA      | $99210.92      | 0.01%             | 2045-11-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1      | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3165 | PA      | $2936.56       | 0.00%             | 2045-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 2A        | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151698 | PA      | $130981.89     | 0.01%             | 2046-11-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 3A3       | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      76511 | PA      | $65439.43      | 0.01%             | 2036-12-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                            | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 2A1        | CUSIP: 93362FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56851 | PA      | $51755.31      | 0.00%             | 2036-08-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                            | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 1A         | CUSIP: 93363DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     600938 | PA      | $550508.97     | 0.05%             | 2046-08-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                            | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A         | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9639173 | PA      | $7723731.09    | 0.67%             | 2047-07-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE 2003-AR8                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR8 A          | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117826 | PA      | $111787.97     | 0.01%             | 2033-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 4A1       | CUSIP: 939355AD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     352950 | PA      | $274359.57     | 0.02%             | 2047-04-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                   | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 4A2       | CUSIP: 939355BR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     241480 | PA      | $187037.89     | 0.02%             | 2047-04-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| WAVE TRUST 2019-1                                                     | WAVE USA WAAV 2019 1 A 144A                             | CUSIP: 94354KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2026244 | PA      | $1543095.27    | 0.13%             | 2044-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                 | WELLS FARGO + COMPANY SR UNSECURED 01/29 4.15           | CUSIP: 95000U2D4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1507185.97    | 0.13%             | 2029-01-24      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                 | WELLS FARGO + COMPANY SR UNSECURED 03/33 VAR            | CUSIP: 95000U2U6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    7000000 | PA      | $5915579.39    | 0.52%             | 2033-03-02      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                 | WELLS FARGO + COMPANY SR UNSECURED 05/28 VAR            | CUSIP: 95000U2A0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     600000 | PA      | $558022.45     | 0.05%             | 2028-05-22      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                                 | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1       | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24162 | PA      | $21184.82      | 0.00%             | 2037-07-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY ABS SER 2004-1                                | WELLS FARGO HOME EQUITY TRUST WFHET 2004 1 1A           | CUSIP: 86359BMW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     104627 | PA      | $99405.95      | 0.01%             | 2034-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-2                                  | WELLS FARGO HOME EQUITY TRUST WFHET 2005 2 M7           | CUSIP: 94981PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2194 | PA      | $2193.19       | 0.00%             | 2035-02-25      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                         | ARGENT SECURITIES INC. ARSI 2005 W5 A2C                 | CUSIP: 040104QN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75436 | PA      | $67887.99      | 0.01%             | 2036-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-1                                  | WELLS FARGO HOME EQUITY TRUST WFHET 2006 1 M3           | CUSIP: 9497EUAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     159815 | PA      | $158767.55     | 0.01%             | 2036-05-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                         | ARGENT SECURITIES INC. ARSI 2005 W5 A2D                 | CUSIP: 040104QP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3060125 | PA      | $2668844.85    | 0.23%             | 2036-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                    | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A1          | CUSIP: 94985JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29679 | PA      | $24913.40      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                  | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 2A1      | CUSIP: 94984MAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     176344 | PA      | $152476.78     | 0.01%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                         | ARGENT SECURITIES INC. ARSI 2006 M2 A2C                 | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     767839 | PA      | $256482.57     | 0.02%             | 2036-09-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-3                                      | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 3 1CB3        | CUSIP: 9393365A7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     228389 | PA      | $194675.74     | 0.02%             | 2035-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                        | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                 | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     283586 | PA      | $151561.03     | 0.01%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | FIXED INC CLEARING CORP.REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    2224000 | PA      | $2224000.00    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | AT&T INC SNR S* ICE                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2738.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | SOLD CHF BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-2679.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | SOLD NOK BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-1580.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | BOUGHT SGD SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $3212.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | SOLD NOK BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-3275.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | SOLD ILS BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $12829.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | SOLD INR BOUGHT USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $272.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | BOEING CO/THE SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $525.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | BOEING CO/THE SNR S* ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-21335.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $44463.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $20646.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | BOUGHT MXN SOLD USD 20230509                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $34.44         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                    | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2B        | CUSIP: 00075WAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     338562 | PA      | $200667.77     | 0.02%             | 2037-01-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                    | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2C        | CUSIP: 00075WAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213498 | PA      | $126814.89     | 0.01%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                    | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2D        | CUSIP: 00075WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128099 | PA      | $76226.93      | 0.01%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                   | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A1        | CUSIP: 00075VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8888767 | PA      | $5772982.36    | 0.50%             | 2036-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2007-WMC1                                   | ASSET BACKED FUNDING CERTIFICA ABFC 2007 WMC1 A2B       | CUSIP: 04545EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147371 | PA      | $117519.98     | 0.01%             | 2037-06-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2005-HE5                                  | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE5 M4        | CUSIP: 04541GSL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91993 | PA      | $89110.46      | 0.01%             | 2035-06-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-HE1   | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE1 A5        | CUSIP: 04544RAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6300000 | PA      | $5491863.72    | 0.48%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CHARLES SCHWAB CORP/THE                                               | CHARLES SCHWAB CORP JR SUBORDINA 12/99 VAR              | CUSIP: 808513AR6<br>LEI: 549300VSGCJ7E698NM85 | Long             | EP               | CORP              | US        |    4200000 | NS      | $3513258.00    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $48588.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $15254.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $11168.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $5172.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1350.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLANTIA SPA                                                          | ATLANTIA SPA SR UNSECURED REGS 02/28 1.875              | CUSIP: ACI1VSC04<br>LEI: 8156008DEC771409C487 | Long             | DBT              | CORP              | IT        |     400000 | PA      | $356997.90     | 0.03%             | 2028-02-12      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | BOUGHT CAD SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-59237.51     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $76296.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $21028.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1326500.66   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| AURIUM CLO III DAC 3A                                                 | AURIUM CLO ACLO 3A AR 144A                              | CUSIP: ACI1FVVB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    5279593 | PA      | $5540459.70    | 0.48%             | 2030-04-16      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | CDX ITRAXX EXJP IG38 5Y ICE                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $9688.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | SOLD GBP BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-30403.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | SOLD MXN BOUGHT USD 20230221                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-26634.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | LENNAR CORPORATION SNR S* ICE                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $134759.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | MEXICO LA SP GST                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1435.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | MEXICO LA SP GST                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2616.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | MEXICO LA SP MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1435.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | MEXICO LA SP MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-400.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | MEXICO LA SP MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-728.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | MEXICO LA SP MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3924.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                           | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 04/26 4.25   | CUSIP: 05401AAL5<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    4600000 | PA      | $4175320.09    | 0.36%             | 2026-04-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                           | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     243000 | PA      | $194586.68     | 0.02%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                   | SOUTHWEST AIRLINES CO SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $754.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | BOUGHT KRW SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $6404.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | BOUGHT KRW SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $4143.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                   | SOLD CAD BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $436.69        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BACARDI LIMITED                                                       | BACARDI LTD COMPANY GUAR 144A 05/28 4.7                 | CUSIP: 067316AF6<br>LEI: 549300R32WTQNHNN5055 | Long             | DBT              | CORP              | BM        |    1000000 | PA      | $956613.05     | 0.08%             | 2028-05-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-09

**Name of Applicant:** PIMCO Managed Accounts Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer