# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004472
**Filing Date:** 2025-11
**Character Count:** 1414676
**Document Hash:** ac92b9e32ee65fa84cfbf358c6bc4caf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004472.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004472

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 251528298

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

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

## Series and Classes Contracts Data

### PIMCO Mortgage Opportunities and Bond Fund (Series ID: S000038441)

| Class ID   | Class Name          | Ticker Symbol   |
|:---|:---|:---|
| C000118561 | Institutional Class | PMZIX           |
| C000118562 | I-2                 | PMZPX           |
| C000118565 | Class A             | PMZAX           |
| C000118566 | Class C             | PMZCX           |
| C000200465 | I-3                 | PMZNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Mortgage Opportunities and Bond Fund

- **b. EDGAR series identifier (if any):** S000038441

- **c. LEI of Series:** 549300PFV1F66T7RF111

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

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

- **b. Date as of which information is reported:** 2025-09-30

**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:** $46789177682.97

**Total Liabilities:** $34285829115.75

**Net Assets:** $12503348567.22

**Delayed Delivery Securities:** $186998258.04

**Cash Not Reported:** $133800587.14

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1395557.464300 | **1-Year:** 2321185.131500 | **5-Year:** 4083519.636300 | **10-Year:** 213532.687100 | **30-Year:** 117557.663000

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

- **3-Month:** 39414.990800 | **1-Year:** 116526.094300 | **5-Year:** 381991.725800 | **10-Year:** 58982.366800 | **30-Year:** 4420.177900

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000118565 | -0.09%               | 1.64%                | 0.20%                |
| Class ID C000118566 | -0.16%               | 1.57%                | 0.14%                |
| Class ID C000118562 | -0.07%               | 1.66%                | 0.23%                |
| Class ID C000200465 | -0.07%               | 1.66%                | 0.22%                |
| Class ID C000118561 | -0.06%               | 1.67%                | 0.23%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-28025163.96            | $-44926534.38                              |
| Month 2  | $45054003.20             | $112554039.15                              |
| Month 3  | $79686072.75             | $-90514332.72                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL U95137 FG 08/43 FIXED 4               | CUSIP: 3132H5EK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42765 | PA      | $41722.31       | 0.00%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-77                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 77 GI           | CUSIP: 38378PAG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      854375 | PA      | $73367.07       | 0.00%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4                             | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 4 A3          | CUSIP: 802919AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10000000 | PA      | $10036370.00    | 0.08%             | 2029-01-16      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP2                                        | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP2 1AF1 144A      | CUSIP: 36298XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4036267 | PA      | $3487099.08     | 0.03%             | 2036-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-5                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 5 1A            | CUSIP: 12668KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      577995 | PA      | $541940.29      | 0.00%             | 2047-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004371 G2 02/39 FIXED 6                    | CUSIP: 36202E2C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23360 | PA      | $24562.63       | 0.00%             | 2039-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   300200000 | PA      | $282311508.28   | 2.26%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9TYA1 PIMCO SWAPTION 3.476 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -115600000 | NC      | $-442100.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL1 TRUST                                                      | ATLX TRUST ATLX 2024 RPL1 A1 144A                       | CUSIP: 049915AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      180836 | PA      | $175645.15      | 0.00%             | 2064-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    62200000 | NC      | $3558356.26     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI0477 FR 03/54 FIXED 5               | CUSIP: 3133W6Q67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16778438 | PA      | $16801729.56    | 0.13%             | 2054-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0968 FN 12/31 FIXED 4.5                     | CUSIP: 31418ACE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6748 | PA      | $6798.67        | 0.00%             | 2031-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3175QT9F4 PIMCO FLOOR USD 0.0268 USD SOFR COMP          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -2092000000 | NC      | $-1925058.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-32                                                 | FANNIE MAE FNR 2016 32 NI                               | CUSIP: 3136ASVX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      490842 | PA      | $29045.55       | 0.00%             | 2045-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-4                      | BRIDGECREST LENDING AUTO SECUR BLAST 2024 4 A3          | CUSIP: 10806EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6400000 | PA      | $6411324.16     | 0.05%             | 2028-09-15      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-6                                                  | FANNIE MAE FNR 2015 6 AI                                | CUSIP: 3136AMVR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      176750 | PA      | $10149.48       | 0.00%             | 2034-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOODLEAP HOME IMPROVEMENT SOLUTIONS TRUST  2025-2A                        | GOODLEAP HOME IMPROVEMENT SOLU GDLP 2025 2A A 144A      | CUSIP: 38238FAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9846151 | PA      | $9965928.17     | 0.08%             | 2049-06-20      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-1                                      | MASTR REPERFORMING LOAN TRUST MARP 2005 1 1A1 144A      | CUSIP: 576436AR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      734424 | PA      | $448060.09      | 0.00%             | 2034-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0479 FN 08/40 FIXED 4.5                     | CUSIP: 31417YQ91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5962 | PA      | $5821.77        | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q56894 FG 06/48 FIXED 4               | CUSIP: 3132Y0UU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      928678 | PA      | $893575.24      | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-3                                         | VERUS SECURITIZATION TRUST VERUS 2024 3 A1 144A         | CUSIP: 92540MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5318808 | PA      | $5396847.60     | 0.04%             | 2069-04-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H0306B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  1133385000 | PA      | $1011942355.23  | 8.09%             | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004484 G2 07/39 FIXED 4.5                  | CUSIP: 36202E6V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      114044 | PA      | $110572.01      | 0.00%             | 2039-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTG ASSOC 2022-45                                     | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 45 ZQ           | CUSIP: 38383MP77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2978349 | PA      | $1948958.77     | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 005017 G2 04/41 FIXED 4.5                  | CUSIP: 36202FSE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1312973 | PA      | $1321466.57     | 0.01%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA2134 FR 02/50 FIXED 3.5             | CUSIP: 3133KHLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5080956 | PA      | $4736605.14     | 0.04%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-1                                                  | FANNIE MAE FNR 2019 1 SY                                | CUSIP: 3136B3A75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1517449 | PA      | $1343270.14     | 0.01%             | 2042-12-25      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 168 AS          | CUSIP: 38381BGP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4230765 | PA      | $444734.17      | 0.00%             | 2048-12-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-PJ7                              | GS MORTGAGE BACKED SECURITIES GSMBS 2024 PJ7 A25 144A   | CUSIP: 362949BR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4455087 | PA      | $4466891.39     | 0.04%             | 2054-11-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 345                                                    | FREDDIEMAC STRIP FHS 345 C13                            | CUSIP: 31325VRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3217718 | PA      | $484931.38      | 0.00%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA1037 FN 01/38 FIXED 4                       | CUSIP: 3140Q8EK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      929852 | PA      | $917061.62      | 0.01%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS5361 FN 09/50 FIXED VAR                     | CUSIP: 3140XL5X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3328513 | PA      | $3321932.99     | 0.03%             | 2050-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H18                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H18 NA          | CUSIP: 38375BUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       86285 | PA      | $86294.22       | 0.00%             | 2062-08-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-32                                                 | FANNIE MAE FNR 2019 32 SA                               | CUSIP: 3136B4XA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1901116 | PA      | $222049.41      | 0.00%             | 2049-06-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0524A7<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1000000 | PA      | $-1022108.83    | -0.01%            | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $7180.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 005175 G2 09/41 FIXED 4.5                  | CUSIP: 36202FXC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      295894 | PA      | $297808.59      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUND CORP 2006-5                                          | BANC OF AMERICA FUNDING CORPOR BAFC 2006 5 2A12         | CUSIP: 05950NBC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11479 | PA      | $11577.33       | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5155                                                   | FREDDIE MAC FHR 5155 IO                                 | CUSIP: 3137H35P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6007081 | PA      | $500822.34      | 0.00%             | 2047-04-15      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9TXA2 PIMCO SWAPTION 3.976 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   115600000 | NC      | $3051.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                               | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A     | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1664155 | PA      | $1571380.17     | 0.01%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC8831 FR 10/51 FIXED 3               | CUSIP: 3133ATY47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1010455 | PA      | $903693.44      | 0.01%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1A 144A      | CUSIP: 78450XAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2142871 | PA      | $2172732.20     | 0.02%             | 2056-10-16      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A3 144A    | CUSIP: 14687VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4400000 | PA      | $4426384.60     | 0.04%             | 2028-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H3 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2024 H3 A1 144A              | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7799680 | PA      | $7909109.95     | 0.06%             | 2069-06-25      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD2                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD2 M2        | CUSIP: 07388EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1296500 | PA      | $1367745.13     | 0.01%             | 2036-06-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-54                                                 | FANNIE MAE FNR 2024 54 FC                               | CUSIP: 3136BSSC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4838336 | PA      | $4861251.21     | 0.04%             | 2054-08-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                      | BX TRUST BX 2021 MC D 144A                              | CUSIP: 05608GAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11732500 | PA      | $11305203.52    | 0.09%             | 2034-04-15      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA4                    | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA4 3A1       | CUSIP: 32052NAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73052 | PA      | $64260.56       | 0.00%             | 2036-07-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3175KU9D2 PIMCO FLOOR USD 0.0211 USD SOFR COMP          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -2092000000 | NC      | $-727388.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ABX.HE.AAA.06-2 SP SAL                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-162352.39     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0149 G2 01/55 FIXED 6.5                  | CUSIP: 3618N5EX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      500001 | PA      | $514128.59      | 0.00%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XIV LTD 2019-1A                                         | MOUNTAIN VIEW CLO MVEW 2019 1A A1R 144A                 | CUSIP: 62432MAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17100000 | PA      | $17124795.00    | 0.14%             | 2034-10-15      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-103                                                | FANNIE MAE FNR 2013 103 KO                              | CUSIP: 3136AGMW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2128105 | PA      | $1639965.82     | 0.01%             | 2043-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3389 FN 06/38 FIXED 4                       | CUSIP: 31418CXT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3673981 | PA      | $3618319.45     | 0.03%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0377 FN 04/59 FIXED 3                       | CUSIP: 3140FXM33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27151703 | PA      | $23768316.94    | 0.19%             | 2059-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA 2021-3 TRUST                                     | HOME PARTNERS OF AMERICA TRUST HPA 2021 3 A 144A        | CUSIP: 43730XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2312836 | PA      | $2150376.76     | 0.02%             | 2041-01-17      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8494 FR 01/55 FIXED 5.5             | CUSIP: 3132DWNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26231120 | PA      | $26471483.04    | 0.21%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2177                                                          | FREDDIE MAC FHR 2177 PO                                 | CUSIP: 3133TLQB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1570 | PA      | $1516.90        | 0.00%             | 2029-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL5 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL5 A1 144A   | CUSIP: 74143LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11569322 | PA      | $11665541.48    | 0.09%             | 2055-05-25      | Fixed         | 6.24%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-75                                                 | FANNIE MAE FNR 2013 75 SE                               | CUSIP: 3136AFQG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8016552 | PA      | $790851.27      | 0.01%             | 2043-02-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA4468 FN 11/34 FIXED 3.5                     | CUSIP: 3140QB6E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5734917 | PA      | $5598570.40     | 0.04%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 783007 GN 06/40 FIXED 4.5                     | CUSIP: 36241LKU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       82266 | PA      | $81136.53       | 0.00%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-8                                         | VERUS SECURITIZATION TRUST VERUS 2023 8 A1 144A         | CUSIP: 92540DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3147315 | PA      | $3183882.99     | 0.03%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| FHR-5018                                                                  | FREDDIE MAC FHR 5018 CI                                 | CUSIP: 3137FX6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    37579890 | PA      | $8922082.16     | 0.07%             | 2050-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 367                                                    | FREDDIEMAC STRIP FHS 367 C23                            | CUSIP: 31325X3A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8584102 | PA      | $1259798.39     | 0.01%             | 2050-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-13                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 13 AX3 144A         | CUSIP: 46592XBX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7148118 | PA      | $952881.97      | 0.01%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-188                                                      | FREDDIEMAC STRIP FHS 188 PO                             | CUSIP: 31351BGV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3713 | PA      | $3598.19        | 0.00%             | 2027-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 8A A 144A      | CUSIP: 03331XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5238276 | PA      | $5216481.50     | 0.04%             | 2037-07-25      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10784346 | PA      | $10696901.45    | 0.09%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9FWA3 PIMCO SWAPTION 3.4525 CALL USD 20250          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -118100000 | NC      | $-11.81         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2400                                                          | FREDDIE MAC FHR 2400 PO                                 | CUSIP: 31339NBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1998 | PA      | $1873.87        | 0.00%             | 2032-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS9671 FN 05/47 FIXED 4                       | CUSIP: 3138WKW92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4129 | PA      | $3971.68        | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB8026 FN 02/54 FIXED 6.5                     | CUSIP: 3140QT4L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18994208 | PA      | $19688780.18    | 0.16%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5059                                                   | FREDDIE MAC FHR 5059 IB                                 | CUSIP: 3137F86B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17730137 | PA      | $3073668.26     | 0.02%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES CORP TRUST 2020-PJ6                         | GS MORTGAGE BACKED SECURITIES GSMBS 2020 PJ6 AX4 144A   | CUSIP: 36260RAT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    15426668 | PA      | $207318.99      | 0.00%             | 2051-05-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797QP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      549000 | PA      | $546794.39      | 0.00%             | 2025-11-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-4                                          | TOWD POINT MORTGAGE TRUST TPMT 2018 4 A1 144A           | CUSIP: 89175TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1982546 | PA      | $1887405.63     | 0.02%             | 2058-06-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H02 FH          | CUSIP: 38383KMK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5479957 | PA      | $5510353.61     | 0.04%             | 2074-01-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                      | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX D 144A    | CUSIP: 05493LAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4627211.00     | 0.04%             | 2038-09-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-RFC1                                      | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 RFC1 A4        | CUSIP: 144526AD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11809000 | PA      | $10736598.73    | 0.09%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-68                                                 | FANNIE MAE FNR 2014 68 YI                               | CUSIP: 3136ALSC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      142699 | PA      | $27502.12       | 0.00%             | 2044-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                                  | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528  | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      471217 | PA      | $472906.07      | 0.00%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-10                                                 | FANNIE MAE FNR 2019 10 S                                | CUSIP: 3136B3N30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2823253 | PA      | $280276.18      | 0.00%             | 2049-03-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 968312 FN 02/38 FIXED 4.5                     | CUSIP: 31414KGV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3138 | PA      | $3155.68        | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5265 G2 06/48 FIXED 4.5                  | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      355257 | PA      | $351626.46      | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2              | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE2 A1A       | CUSIP: 04541GWC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1502223 | PA      | $1400151.47     | 0.01%             | 2036-03-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Z2A2 PIMCO FPPSWAPTION 4.46 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    90600000 | NC      | $5281354.86     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                    | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1        | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1822166 | PA      | $829695.63      | 0.01%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL4                             | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL4 SA 144A   | CUSIP: 36272VAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      697576 | PA      | $665894.55      | 0.01%             | 2065-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD4884 FR 02/54 FIXED 6               | CUSIP: 3132DSM90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    49726939 | PA      | $51977488.59    | 0.42%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1B 144A      | CUSIP: 83208DAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5349383 | PA      | $5359374.43     | 0.04%             | 2055-03-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-SJ1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2025 SJ1 PT 144A    | CUSIP: 36273PAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    91317681 | PA      | $86607368.49    | 0.69%             | 2071-08-25      | Variable      | 2.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB7517 FN 01/33 FIXED 2.5                     | CUSIP: 31417EK75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      818790 | PA      | $780765.38      | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| MFA 2021-NQM1 TRUST                                                       | MFRA TRUST MFRA 2021 NQM1 M1 144A                       | CUSIP: 55283FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8966000 | PA      | $7628886.07     | 0.06%             | 2065-04-25      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-118                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 118 IE          | CUSIP: 38380AUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      387148 | PA      | $56941.36       | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-10                                                 | FANNIE MAE FNR 2015 10 SA                               | CUSIP: 3136AMZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1138384 | PA      | $64240.03       | 0.00%             | 2045-03-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-AB2                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 AB2 M3          | CUSIP: 126673QH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      492414 | PA      | $485739.91      | 0.00%             | 2036-05-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RAM9 OTC EPUT FN 6.0 OCT25 98.875 PUT              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   209500000 | NC      | $2.10           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-33                                                 | FANNIE MAE FNR 2019 33 DS                               | CUSIP: 3136B44H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5643646 | PA      | $808171.82      | 0.01%             | 2049-07-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5274                                                   | FREDDIE MAC FHR 5274 IO                                 | CUSIP: 3137H9F46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28303522 | PA      | $4804868.13     | 0.04%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 418                                             | FANNIEMAE STRIP FNS 418 C23                             | CUSIP: 31395Q3P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22320347 | PA      | $3306028.25     | 0.03%             | 2043-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-11                                                        | FANNIE MAE FNR 2009 11 MP                               | CUSIP: 31397NNF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3647 | PA      | $3959.53        | 0.00%             | 2049-03-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-35                                                        | FANNIE MAE FNR 2005 35 DZ                               | CUSIP: 31394CV90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29747 | PA      | $30371.25       | 0.00%             | 2035-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA4068 G2 11/46 FIXED 3                    | CUSIP: 36179SQV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1192398 | PA      | $1081170.59     | 0.01%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                                     | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1         | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3936878 | PA      | $3840278.74     | 0.03%             | 2035-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-4                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2004 4 A4           | CUSIP: 86358EHQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2431647 | PA      | $2411772.91     | 0.02%             | 2034-04-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| REGATTA XVI FUNDING LTD 2019-2A                                           | REGATTA XVI FUNDING LTD. REG16 2019 2A A1R 144A         | CUSIP: 75888TAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10307354 | PA      | $10332625.23    | 0.08%             | 2033-01-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES2                                       | TOWD POINT MORTGAGE TRUST TPMT 2025 CES2 A1 144A        | CUSIP: 89183KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7290826 | PA      | $7343165.37     | 0.06%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RF7                                        | STRUCTURED ASSET SECURITIES CO SASC 2005 RF7 AIO        | CUSIP: 86359DWU7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4311121 | PA      | $110850.14      | 0.00%             | 2035-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| PRKCM 2024-HOME1 TRUST                                                    | PRKCM TRUST PRKCM 2024 HOME1 A1 144A                    | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      703116 | PA      | $714357.84      | 0.01%             | 2059-05-25      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-314                                                      | FREDDIEMAC STRIP FHS 314 S2                             | CUSIP: 31325UUE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7090048 | PA      | $759148.50      | 0.01%             | 2043-09-15      | Floating      | 1.40%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                             | BSST MORTGAGE TRUST BSST 2021 1818 C 144A               | CUSIP: 07403PAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5590000 | PA      | $2183699.96     | 0.02%             | 2036-03-15      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS4616 FN 05/43 FIXED VAR                     | CUSIP: 3140XLDW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7316177 | PA      | $7426725.44     | 0.06%             | 2043-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR1 A1A       | CUSIP: 93934FJQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171882 | PA      | $144847.73      | 0.00%             | 2036-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-53                                                 | FANNIE MAE FNR 2021 53 NI                               | CUSIP: 3136BGNB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23011515 | PA      | $4126201.62     | 0.03%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-165                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 165 IB          | CUSIP: 38379FE39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      684314 | PA      | $63092.56       | 0.00%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H2 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2024 H2 A1 144A              | CUSIP: 22757BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5504315 | PA      | $5567051.30     | 0.04%             | 2069-04-25      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2021-61                                                        | FANNIE MAE FNR 2021 61 KI                               | CUSIP: 3136BGVA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34404314 | PA      | $5182132.56     | 0.04%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-94                                                 | FANNIE MAE FNR 2018 94 LT                               | CUSIP: 3136B3XP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38348 | PA      | $32760.62       | 0.00%             | 2043-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2023-2A                                                  | FIRST HELP FINANCIAL LLC FHF 2023 2A A2 144A            | CUSIP: 30333LAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2748972 | PA      | $2783640.29     | 0.02%             | 2029-10-15      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                      | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 AFPT         | CUSIP: 617463AP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9055195 | PA      | $2913465.47     | 0.02%             | 2036-11-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM1089 FN 08/47 FIXED VAR                     | CUSIP: 3140X4F76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4928343 | PA      | $4741027.33     | 0.04%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A2 144A      | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      749387 | PA      | $751720.57      | 0.01%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA1014 G2 05/43 FIXED 4.5                  | CUSIP: 36179NDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      604981 | PA      | $608894.91      | 0.00%             | 2043-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4100                                                   | FREDDIE MAC FHR 4100 EI                                 | CUSIP: 3137ASY40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2114514 | PA      | $38560.06       | 0.00%             | 2027-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC4917 FN 10/54 FIXED 6                       | CUSIP: 3140ASPB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      587473 | PA      | $611466.89      | 0.00%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                       | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A B2R 144A        | CUSIP: ACI1W4389<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     5600000 | PA      | $6240748.29     | 0.05%             | 2033-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                                              | EURO GALAXY CLO DAC EGLXY 2013 3A BR2 144A              | CUSIP: ACI1W6CM3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2200000 | PA      | $2583440.44     | 0.02%             | 2034-04-24      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H09                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H09 FL          | CUSIP: 38380QAW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      450737 | PA      | $457840.22      | 0.00%             | 2070-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MDPK-2021-39A                                                             | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A          | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2600000 | PA      | $2604926.40     | 0.02%             | 2034-10-22      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AX2796 FN 10/44 FIXED 4                       | CUSIP: 3138Y4DA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46106 | PA      | $44419.27       | 0.00%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U69JA5 PIMCO SWAPTION 3.3125 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   173000000 | NC      | $1997060.10     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RKE6 OTC EPUT FN 5.5 NOV25 98.1796875 PUT          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   202300000 | NC      | $27128.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      801100 | PA      | $786402.47      | 0.01%             | 2047-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2870 FN 08/55 FIXED VAR                     | CUSIP: 3140W3FL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14246075 | PA      | $14958601.42    | 0.12%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS6086 FN 10/53 FIXED VAR                     | CUSIP: 3140XMXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5451176 | PA      | $5727242.33     | 0.05%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8176 FN 04/33 FIXED 4.385                   | CUSIP: 3140LKCN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11208000 | PA      | $11200662.57    | 0.09%             | 2033-04-01      | Fixed         | 4.38%                 | 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        |      395483 | PA      | $335295.82      | 0.00%             | 2047-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 FC          | CUSIP: 38383KVE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3295051 | PA      | $3293890.11     | 0.03%             | 2074-02-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004804 G2 09/40 FIXED 6                    | CUSIP: 36202FKR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17306 | PA      | $18196.34       | 0.00%             | 2040-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004284 G2 11/38 FIXED 5.5                  | CUSIP: 36202EXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8416 | PA      | $8434.28        | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL3 A1A 144A | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11718872 | PA      | $10531924.88    | 0.08%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC2                                    | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC2 M5            | CUSIP: 61744CNV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6057598 | PA      | $5054365.92     | 0.04%             | 2035-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H0506A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   268455000 | PA      | $267073412.45   | 2.14%             | 2054-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 3 LTD 2016-3A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 3A A1R 144A    | CUSIP: 03330EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5300000 | PA      | $5132127.16     | 0.04%             | 2039-01-28      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9585 FN 09/28 FIXED 4.815                   | CUSIP: 3140LLUK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7900000 | PA      | $8060223.85     | 0.06%             | 2028-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM8 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM8 A1 144A          | CUSIP: 67119CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4930495 | PA      | $5003228.19     | 0.04%             | 2064-05-25      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4156                                                   | FREDDIE MAC FHR 4156 SA                                 | CUSIP: 3137AXTT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1145282 | PA      | $102058.33      | 0.00%             | 2033-01-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| CROSS 2023-H1 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2023 H1 A1 144A              | CUSIP: 22758CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3926754 | PA      | $3961147.29     | 0.03%             | 2068-03-25      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD8292 FN 04/55 FIXED 6.5                     | CUSIP: 3140B9GA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1524838 | PA      | $1583503.88     | 0.01%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AT7456 G2 05/46 FIXED 3.5                  | CUSIP: 36194GH98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61177 | PA      | $56598.17       | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.60080 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5494.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-5                                                  | FANNIE MAE FNR 2024 5 DI                                | CUSIP: 3136BQ3W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22138728 | PA      | $3963106.89     | 0.03%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9731 FN 10/28 FIXED 5.61                    | CUSIP: 3140LLY54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2259000 | PA      | $2321358.02     | 0.02%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5183 G2 05/48 FIXED 4.5                  | CUSIP: 36179TXL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      212737 | PA      | $207958.49      | 0.00%             | 2048-05-20      | Fixed         | 4.50%                 | 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        |      709533 | PA      | $351276.69      | 0.00%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2569 FN 02/55 FIXED VAR                     | CUSIP: 3140W22B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7066527 | PA      | $7394255.14     | 0.06%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                   | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A2D 144A     | CUSIP: 288547AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5736364 | PA      | $5664614.50     | 0.05%             | 2037-05-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-10                                                 | FANNIE MAE FNR 2013 10 BI                               | CUSIP: 3136ACBR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      411316 | PA      | $18727.50       | 0.00%             | 2042-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFRF USD SF+26.161/2.50 9/20/23-4Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-137978.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1330000 | PA      | $1313346.93     | 0.01%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS 1A2B      | CUSIP: 863579ZD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3170154 | PA      | $3033568.39     | 0.02%             | 2035-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ1373 FR 01/54 FIXED 5.5             | CUSIP: 3142GRQ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1254435 | PA      | $1267414.56     | 0.01%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-35                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 35 GS           | CUSIP: 38381RG78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7235670 | PA      | $885066.40      | 0.01%             | 2049-03-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0822 FN 02/55 FIXED VAR                     | CUSIP: 3140W04G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34460769 | PA      | $35857918.23    | 0.29%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS8144 FN 10/46 FIXED 4                       | CUSIP: 3138WJBN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33975 | PA      | $32682.69       | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO X DAC 10A                                              | HAYFIN EMERALD CLO HAYEM 10A AR                         | CUSIP: ACI2PCMS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2935126.66     | 0.02%             | 2038-07-18      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ0196 FR 11/53 FIXED 6.5             | CUSIP: 3142GQGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3423671 | PA      | $3586151.29     | 0.03%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 338                                             | FANNIEMAE STRIP FNS 338 1                               | CUSIP: 3136FAW30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      381045 | PA      | $334107.00      | 0.00%             | 2033-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI2867 FR 03/54 FIXED 6               | CUSIP: 3133W9FG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2381266 | PA      | $2473404.44     | 0.02%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  JUN26 XCME 20260915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        2312 | NC      | $205019.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-B                                      | COLLEGE AVE STUDENT LOANS CASL 2021 B A2 144A           | CUSIP: 19425AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7205297 | PA      | $6533587.60     | 0.05%             | 2052-06-25      | Fixed         | 1.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.54666 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4838.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1         | CUSIP: 12668AWH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1700030 | PA      | $1620158.30     | 0.01%             | 2035-12-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM6190 FN 08/49 FLOATING VAR                  | CUSIP: 3140JA2Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1362352 | PA      | $1416483.19     | 0.01%             | 2049-08-01      | Floating      | 6.41%                 | 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        |      548137 | PA      | $513276.15      | 0.00%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7I0A4 PIMCO SWAPTION 2.74 CALL USD 2025103          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    95200000 | NC      | $1066.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750R9I0 OTC EPUT FN 5.5 OCT25 96.9804687 PUT          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   149000000 | NC      | $1.49           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                       | BCP TRUST BCP 2021 330N C 144A                          | CUSIP: 05553BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $3194143.00     | 0.03%             | 2038-06-15      | Floating      | 5.86%                 | 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        |      763317 | PA      | $762493.08      | 0.01%             | 2035-02-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9683 FN 10/28 FIXED 5.57                    | CUSIP: 3140LLXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3703943 | PA      | $3802395.40     | 0.03%             | 2028-10-01      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6685 FN 07/53 FIXED 4                       | CUSIP: 3140QSNB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1752442 | PA      | $1675053.64     | 0.01%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES3                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES3 A1A 144A     | CUSIP: 749420AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8931121 | PA      | $9043413.95     | 0.07%             | 2055-03-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2024-1                                  | JP MORGAN SEASONED MORTGAGE TR JPSMT 2024 1 A3 144A     | CUSIP: 61777HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2775600 | PA      | $2673745.39     | 0.02%             | 2063-01-25      | Variable      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD1747 FN 01/55 FIXED 5.5                     | CUSIP: 3140B15H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      603360 | PA      | $617463.20      | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9NPA4 PIMCO FPPSWAPTION 4.4 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   148400000 | NC      | $8355869.76     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4604                                                   | FREDDIE MAC FHR 4604 DI                                 | CUSIP: 3137BRMT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      527643 | PA      | $55856.19       | 0.00%             | 2046-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                             | BWAY MORTGAGE TRUST BWAY 2021 1450 C 144A               | CUSIP: 12430YAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6000000 | PA      | $5302217.70     | 0.04%             | 2036-09-15      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 B 144A      | CUSIP: 69544AAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1184853 | PA      | $1193701.97     | 0.01%             | 2032-07-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E 3A1         | CUSIP: 05949AHG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23629 | PA      | $23156.94       | 0.00%             | 2034-06-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4394                                                   | FREDDIE MAC FHR 4394 WI                                 | CUSIP: 3137BEV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      150515 | PA      | $8430.69        | 0.00%             | 2041-08-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-27                                                        | FANNIE MAE FNR 2020 27 IM                               | CUSIP: 3136B9UP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8665373 | PA      | $670998.85      | 0.01%             | 2035-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE0715 FN 12/40 FIXED VAR                     | CUSIP: 31419AYM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1078400 | PA      | $1052768.02     | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H11 FA          | CUSIP: 38383KZJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    88707985 | PA      | $89048330.55    | 0.71%             | 2074-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6                             | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL6 PT 144A   | CUSIP: 36272QAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    99308073 | PA      | $83599650.87    | 0.67%             | 2064-01-25      | Fixed         | 3.19%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-101                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 101 IK          | CUSIP: 38384CBD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19034564 | PA      | $2152578.90     | 0.02%             | 2051-01-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-138                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 138 WI          | CUSIP: 38376MCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      478938 | PA      | $19770.68       | 0.00%             | 2045-08-20      | Floating      | 0.26%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                               | WATR ISSUER TRUST WATR 2025 1 B 144A                    | CUSIP: 942611AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5300000 | PA      | $5316071.67     | 0.04%             | 2050-06-17      | Fixed         | 5.56%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ7692 FR 11/54 FIXED 5.5             | CUSIP: 3133CYRM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8626356 | PA      | $8802268.01     | 0.07%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM2984 FN 08/45 FIXED VAR                     | CUSIP: 3140X6J69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7965499 | PA      | $7703660.91     | 0.06%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-29                                                 | FANNIE MAE FNR 2014 29 PA                               | CUSIP: 3136AJT97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17639 | PA      | $17091.82       | 0.00%             | 2044-01-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-2X                                            | SLM STUDENT LOAN TR 04 2 ASSET BACKED REGS 07/39 VAR    | CUSIP: B00KKMII6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      599385 | PA      | $664765.64      | 0.01%             | 2039-07-25      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                      | EXTENDED STAY AMERICA TRUST ESA 2021 ESH B 144A         | CUSIP: 30227FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29514660 | PA      | $29543218.78    | 0.24%             | 2038-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ1                                       | PARK PLACE SECURITIES INC PPSI 2004 WHQ1 M6             | CUSIP: 70069FBW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9202488 | PA      | $8044484.85     | 0.06%             | 2034-09-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF4          | CUSIP: 75970HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9077144 | PA      | $2815729.95     | 0.02%             | 2037-01-25      | Variable      | 5.47%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 440                                             | FANNIEMAE STRIP FNS 440 C36                             | CUSIP: 31424U7Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    77815692 | PA      | $12506937.96    | 0.10%             | 2052-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A5      | CUSIP: 02146XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8003395 | PA      | $3366055.06     | 0.03%             | 2036-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS9372 FN 10/54 FIXED VAR                     | CUSIP: 3140XRMW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      856697 | PA      | $887290.73      | 0.01%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-6 LLC                                                           | PRP ADVISORS, LLC PRPM 2025 6 A1 144A                   | CUSIP: 69395KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8191211 | PA      | $8205866.24     | 0.07%             | 2028-08-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                                  | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A A2 144A     | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1247841 | PA      | $1263721.99     | 0.01%             | 2029-10-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.69100 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-22972.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8F8A1 PIMCO SWAPTION 2.5 CALL USD 20260220          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   201000000 | NC      | $154207.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-2                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2006 2 A4           | CUSIP: 86358EE77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    32361488 | PA      | $15416935.36    | 0.12%             | 2036-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 127 AS          | CUSIP: 38379MX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2045182 | PA      | $106977.96      | 0.00%             | 2043-06-20      | Floating      | 0.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-106                                                | FANNIE MAE FNR 2006 106 TO                              | CUSIP: 31396LNJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      366857 | PA      | $339036.24      | 0.00%             | 2033-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 4 LTD                                                | DIAMETER CAPITAL CLO DCLO 2022 4A A1R 144A              | CUSIP: 25255NAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    22600000 | PA      | $22674570.51    | 0.18%             | 2037-01-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-151                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 151 PI          | CUSIP: 38378UUL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      441836 | PA      | $59821.34       | 0.00%             | 2043-05-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H06                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H06 FC          | CUSIP: 38382Y2C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    41194474 | PA      | $41192430.57    | 0.33%             | 2071-03-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A R 144A       | CUSIP: 83407UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4019000 | PA      | $5437933.71     | 0.04%             | 2034-03-27      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9626 FN 12/54 FIXED 4.5                     | CUSIP: 3140QVVU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15404332 | PA      | $15154763.89    | 0.12%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4463                                                   | FREDDIE MAC FHR 4463 IO                                 | CUSIP: 3137BHGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      302650 | PA      | $16435.22       | 0.00%             | 2038-02-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                        | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A2 144A        | CUSIP: 30336CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1861089 | PA      | $1865710.00     | 0.01%             | 2027-11-15      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A          | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1478877 | PA      | $780465.27      | 0.01%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H01                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H01 FB          | CUSIP: 38383KNN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8112310 | PA      | $8148082.61     | 0.07%             | 2074-01-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0874 FR 03/55 FIXED 6               | CUSIP: 31427M6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14875662 | PA      | $15467665.10    | 0.12%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3635                                                   | FREDDIE MAC FHR 3635 IB                                 | CUSIP: 31398WJ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      146950 | PA      | $7421.34        | 0.00%             | 2037-10-15      | Floating      | 1.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9TJA8 PIMCO SWAPTION 3.373 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -118500000 | NC      | $-185286.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-1CON                                        | BANKERS HEALTHCARE GROUP SECUR BHG 2025 1CON A 144A     | CUSIP: 08860AAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4237261 | PA      | $4282003.46     | 0.03%             | 2036-04-17      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9HKA2 PIMCO FPPSWAPTION 4.47 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    32600000 | NC      | $1910757.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U93RA6 PIMCO FPPSWAPTION 4.31 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    34800000 | NC      | $2087658.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS3                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS3 M6         | CUSIP: 76110WS64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      317247 | PA      | $316951.70      | 0.00%             | 2035-04-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-25                                                 | FANNIE MAE FNR 2017 25 BI                               | CUSIP: 3136AWAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      479059 | PA      | $26088.05       | 0.00%             | 2046-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H0526B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36000000 | PA      | $36248234.40    | 0.29%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004946 G2 02/41 FIXED 4.5                  | CUSIP: 36202FP75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1637033 | PA      | $1647622.57     | 0.01%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-6                                         | VERUS SECURITIZATION TRUST VERUS 2023 6 A1 144A         | CUSIP: 92539XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11450141 | PA      | $11590070.86    | 0.09%             | 2068-09-25      | Fixed         | 6.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BC1922 G2 09/47 FIXED 3.5                  | CUSIP: 3617B5D35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      480080 | PA      | $444132.96      | 0.00%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H19                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H19 FM          | CUSIP: 38382YKG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2293628 | PA      | $2293941.37     | 0.02%             | 2071-12-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS7226 FN 08/47 FIXED VAR                     | CUSIP: 3140XPA41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      929117 | PA      | $894058.67      | 0.01%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4795                                                   | FREDDIE MAC FHR 4795 SL                                 | CUSIP: 3137F5RR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1008307 | PA      | $144627.53      | 0.00%             | 2048-06-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2024-3A                                     | LENDBUZZ SECURITIZATION TRUST LBZZ 2024 3A A2 144A      | CUSIP: 52609YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3955539 | PA      | $3959992.82     | 0.03%             | 2029-10-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1561575.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD6458 FN 06/40 FIXED 4.5                     | CUSIP: 31418UE83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67717 | PA      | $67684.83       | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-36                                                 | FANNIE MAE FNR 2023 36 IO                               | CUSIP: 3136BQDR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   417935101 | PA      | $65958726.53    | 0.53%             | 2052-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-149                                                | FANNIE MAE FNR 2012 149 NI                              | CUSIP: 3136AA4K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      607384 | PA      | $44287.83       | 0.00%             | 2042-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/18/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $10095227.59    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM2 TRUST                                                      | PRP ADVISORS, LLC PRPM 2023 NQM2 A1 144A                | CUSIP: 74390KAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5810651 | PA      | $5854385.46     | 0.05%             | 2068-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BM1222 G2 05/49 FIXED 3.5                  | CUSIP: 3617JRLB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1065233 | PA      | $972294.02      | 0.01%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX0550 FR 12/54 FIXED 6               | CUSIP: 31425UTG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      715054 | PA      | $747473.62      | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV C 144A       | CUSIP: 12660WAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $2422391.50     | 0.02%             | 2038-07-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H12                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H12 FC          | CUSIP: 38383KZF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7823913 | PA      | $7850360.45     | 0.06%             | 2074-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2436 FR 05/55 FIXED 6               | CUSIP: 31426LV68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2304226 | PA      | $2393580.55     | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD0250 FR 06/48 FIXED 4               | CUSIP: 3132DMH32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      283353 | PA      | $272563.39      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | 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        |       87252 | PA      | $58185.39       | 0.00%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-1                                                  | FANNIE MAE FNR 2013 1 MI                                | CUSIP: 3136ABA60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1084736 | PA      | $45663.25       | 0.00%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    57000000 | NC      | $3370176.30     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4999                                                   | FREDDIE MAC FHR 4999 SA                                 | CUSIP: 3137FV4Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12707179 | PA      | $1622832.56     | 0.01%             | 2050-06-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3359 FN 04/38 FIXED 3                       | CUSIP: 31418CWV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3672073 | PA      | $3464688.39     | 0.03%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0427 FR 10/54 FIXED 6.5             | CUSIP: 31427MPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10580503 | PA      | $11156442.44    | 0.09%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP FNS 427                                         | FANNIEMAE STRIP FNS 427 C22                             | CUSIP: 31423XMY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25824909 | PA      | $3369728.92     | 0.03%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-CIP                                     | BX TRUST BX 2021 CIP A 144A                             | CUSIP: 12434FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12948376 | PA      | $12944390.04    | 0.10%             | 2038-12-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H02                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H02 JA          | CUSIP: 38380LQA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1286717 | PA      | $1236148.17     | 0.01%             | 2068-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BE4406 G2 01/48 FIXED 3.5                  | CUSIP: 3617BX3P6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      405682 | PA      | $375299.15      | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-4R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 4R 1A1 144A      | CUSIP: 12639QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      429732 | PA      | $390285.79      | 0.00%             | 2036-10-26      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4168                                                   | FREDDIE MAC FHR 4168 AI                                 | CUSIP: 3137AYFP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      651829 | PA      | $12361.49       | 0.00%             | 2028-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4610                                                   | FREDDIE MAC FHR 4610 GI                                 | CUSIP: 3137BRHU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2691809 | PA      | $356750.83      | 0.00%             | 2045-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BANK OF MONTREAL REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -241762777 | PA      | $-242023880.56  | -1.94%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3292                                                   | FREDDIE MAC FHR 3292 SB                                 | CUSIP: 31397FRP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      324393 | PA      | $31075.92       | 0.00%             | 2037-03-15      | Floating      | 2.26%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 B 144A       | CUSIP: 39571XAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3900000 | PA      | $3941069.34     | 0.03%             | 2059-10-27      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-C6                               | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2018 C6 A2          | CUSIP: 17327GAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14775324 | PA      | $14745924.10    | 0.12%             | 2051-11-10      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/18/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4423847.79    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4116                                                   | FREDDIE MAC FHR 4116 DS                                 | CUSIP: 3137AVL54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      476433 | PA      | $50288.92       | 0.00%             | 2042-08-15      | Floating      | 1.71%                 | 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        |      112794 | PA      | $95545.08       | 0.00%             | 2036-04-25      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR -0.15000 03/18/20-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $615390.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC3467 FN 09/54 FIXED 6.5                     | CUSIP: 3140AQZ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      418427 | PA      | $434255.08      | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5742 FN 06/45 FIXED 6                       | CUSIP: 31418FLY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2577309 | PA      | $2633080.28     | 0.02%             | 2045-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-14T2                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 14T2 A1       | CUSIP: 02150BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12165054 | PA      | $6231096.36     | 0.05%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 377                                             | FANNIEMAE STRIP FNS 377 1                               | CUSIP: 3136FC5M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17929 | PA      | $15234.74       | 0.00%             | 2036-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4959                                                   | FREDDIE MAC FHR 4959 IO                                 | CUSIP: 3137FRNT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9243159 | PA      | $1518488.41     | 0.01%             | 2050-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H17                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H17 FB          | CUSIP: 38383KBM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5827993 | PA      | $5859262.05     | 0.05%             | 2073-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4059                                                   | FREDDIE MAC FHR 4059 HT                                 | CUSIP: 3137AQZX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      563821 | PA      | $550495.91      | 0.00%             | 2042-06-15      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QK1765 FR 07/45 FIXED 6               | CUSIP: 3133D46A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1005947 | PA      | $1029732.40     | 0.01%             | 2045-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5115                                                   | FREDDIE MAC FHR 5115 IM                                 | CUSIP: 3137H0ZX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7971616 | PA      | $1501143.07     | 0.01%             | 2051-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4124                                                   | FREDDIE MAC FHR 4124 SA                                 | CUSIP: 3137AUR68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1237667 | PA      | $97667.13       | 0.00%             | 2042-04-15      | Floating      | 0.51%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-16XS                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 16XS M1        | CUSIP: 863579WV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4632770 | PA      | $4156139.19     | 0.03%             | 2035-08-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-55                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 55 D            | CUSIP: 38379LZD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      284401 | PA      | $234921.03      | 0.00%             | 2042-12-20      | Variable      | 0.14%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BQ7172 GN 10/49 FIXED 3.5                     | CUSIP: 3617LR6H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17123 | PA      | $15692.11       | 0.00%             | 2049-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H0426B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   623000000 | PA      | $603915821.67   | 4.83%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W3                                             | ARGENT SECURITIES INC. ARSI 2004 W3 A3                  | CUSIP: 040104FW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      244387 | PA      | $259499.81      | 0.00%             | 2034-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD3550 FR 04/48 FIXED 4               | CUSIP: 3132DQ5K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      928316 | PA      | $903547.12      | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-55                                                 | FANNIE MAE FNR 2016 55 IP                               | CUSIP: 3136ATHV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16062727 | PA      | $2542816.40     | 0.02%             | 2046-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4894 FN 01/53 FIXED 6                       | CUSIP: 31418ENL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38659443 | PA      | $39633279.44    | 0.32%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2774                                                          | FREDDIE MAC FHR 2774 XO                                 | CUSIP: 31394XGU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3182 | PA      | $3106.68        | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 1A1        | CUSIP: 466285AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2359239 | PA      | $2017835.19     | 0.02%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-77                                                 | FANNIE MAE FNR 2012 77 IO                               | CUSIP: 3136A6H98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      533955 | PA      | $26552.48       | 0.00%             | 2052-07-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| BCC-2021-5A                                                               | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 5A A1R 144A     | CUSIP: 05682EAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1800000 | PA      | $1802147.90     | 0.01%             | 2034-10-23      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5663 FN 03/45 FIXED 6                       | CUSIP: 31418FJH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2278252 | PA      | $2332962.65     | 0.02%             | 2045-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8659 FN 06/33 FIXED 4.44                    | CUSIP: 3140LKTR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12320000 | PA      | $12345411.11    | 0.10%             | 2033-06-01      | Fixed         | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK1092 FN 07/48 FIXED 5                       | CUSIP: 3140HEGA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      311956 | PA      | $313488.10      | 0.00%             | 2048-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                    | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A     | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2696492 | PA      | $2718071.37     | 0.02%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-7                                           | JP MORGAN MORTGAGE TRUST JPMMT 2021 7 AX4 144A          | CUSIP: 46592NBV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    41001133 | PA      | $439302.54      | 0.00%             | 2051-11-25      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 783934 G2 05/44 FIXED 4.5                  | CUSIP: 3622A2LP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      127535 | PA      | $126693.80      | 0.00%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL20 LLC                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL20 A 144A     | CUSIP: 59319CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5900000 | PA      | $5911788.26     | 0.05%             | 2043-02-18      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H08                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H08 FS          | CUSIP: 38375BQP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      502089 | PA      | $504630.12      | 0.00%             | 2062-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| LYRA MUSIC ASSETS DELAWARE LP 2024-2A                                     | LYRA MUSIC ASSETS (DELAWARE) L LYRA 2024 2A A2 144A     | CUSIP: 552339AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    27959871 | PA      | $28391806.37    | 0.23%             | 2064-12-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                    | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A3 144A     | CUSIP: 88164AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2100000 | PA      | $2136434.58     | 0.02%             | 2050-06-20      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-24                                                 | FANNIE MAE FNR 2013 24 PI                               | CUSIP: 3136AB2Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3014738 | PA      | $212682.55      | 0.00%             | 2033-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4119                                                   | FREDDIE MAC FHR 4119 KE                                 | CUSIP: 3137AUUR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1548460 | PA      | $1455075.94     | 0.01%             | 2032-10-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7OYA4 PIMCO SWAPTION 4.25 PUT USD 20251128          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   238500000 | NC      | $125689.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.68700 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-16986.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5353 FN 05/54 FIXED 5.5                     | CUSIP: 31418E5P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19219094 | PA      | $19417950.87    | 0.16%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-RP2                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP2 PT 144A    | CUSIP: 17332KAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   121862511 | PA      | $107870379.05   | 0.86%             | 2065-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA2837 FN 12/38 FIXED 4.5                     | CUSIP: 3140QAEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3052332 | PA      | $3063322.75     | 0.02%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HSBC ASSET LOAN OBLIGATION 2006-2                                         | HSI ASSET LOAN OBLIGATION HALO 2006 2 1A8               | CUSIP: 40431HAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      726016 | PA      | $72643.92       | 0.00%             | 2036-12-25      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H16                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H16 FC          | CUSIP: 38376RWJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106043 | PA      | $106999.96      | 0.00%             | 2066-07-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV2                                        | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV2 AX3 144A       | CUSIP: 46653TBU2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9273035 | PA      | $1225895.16     | 0.01%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H15                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H15 DF          | CUSIP: 38380LA78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      492700 | PA      | $494758.05      | 0.00%             | 2069-09-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL5                             | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL5 PT 144A   | CUSIP: 362951AR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   104160017 | PA      | $89918092.47    | 0.72%             | 2064-07-25      | Fixed         | 3.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4930                                                          | FREDDIE MAC FHR 4930 SG                                 | CUSIP: 3137FPV69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11990741 | PA      | $2039556.72     | 0.02%             | 2049-11-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YRA8 PIMCO FPPSWAPTION 4.458 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   121400000 | NC      | $7068976.32     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-62                                                 | FANNIE MAE FNR 2010 62 L                                | CUSIP: 31398RVD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66000 | PA      | $68818.85       | 0.00%             | 2039-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9FXA2 PIMCO SWAPTION 5.0 PUT USD 20250930           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  1619800000 | NC      | $161.98         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS7601 FN 07/46 FIXED 4                       | CUSIP: 3138WHNT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31862 | PA      | $30650.37       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 2A2         | CUSIP: 68403FAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      150159 | PA      | $85432.32       | 0.00%             | 2037-04-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                                | NAVESINK CLO, LIMITED NAVS 2024 2A A1 144A              | CUSIP: 63942YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2001788.32     | 0.02%             | 2036-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BE4324 G2 12/47 FIXED 3.5                  | CUSIP: 3617BXYV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      985813 | PA      | $911993.08      | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2A          | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      971846 | PA      | $975043.26      | 0.01%             | 2027-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-74                                                 | FANNIE MAE FNR 2024 74 IG                               | CUSIP: 3136BTGD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18780038 | PA      | $4017966.52     | 0.03%             | 2054-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-182                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 182 IW          | CUSIP: 38380UAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4943988 | PA      | $262065.50      | 0.00%             | 2047-05-20      | Floating      | 0.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4979                                                   | FREDDIE MAC FHR 4979 SN                                 | CUSIP: 3137FTXU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12696354 | PA      | $1629646.81     | 0.01%             | 2050-06-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A RC 144A                     | CUSIP: ACI2SP013<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        8407 | PA      | $458938.58      | 0.00%             | 2066-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AGLN                           | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AGLN A 144A    | CUSIP: 94990HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9100000 | PA      | $9135247.94     | 0.07%             | 2037-07-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4922                                                   | FREDDIE MAC FHR 4922 SN                                 | CUSIP: 3137FP2R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1242279 | PA      | $152874.36      | 0.00%             | 2049-04-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9318 FN 10/54 FIXED 5.5                     | CUSIP: 3140QVK86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8110456 | PA      | $8310957.34     | 0.07%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-2 LTD                                        | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 2A BR 144A      | CUSIP: 05684RAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5100000 | PA      | $5109704.64     | 0.04%             | 2034-07-16      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2144 FR 02/54 FIXED 6.5             | CUSIP: 31427PL28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4077669 | PA      | $4272416.10     | 0.03%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-9                                  | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 9 A11 144A    | CUSIP: 16160QAX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12050311 | PA      | $12039034.73    | 0.10%             | 2055-09-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-28                                                 | FANNIE MAE FNR 2018 28 CA                               | CUSIP: 3136B1P32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      681953 | PA      | $612092.88      | 0.00%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3753                                                   | FREDDIE MAC FHR 3753 PO                                 | CUSIP: 3137A3ML0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      449629 | PA      | $362196.91      | 0.00%             | 2040-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-2 LTD                                        | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 2A A2R 144A     | CUSIP: 05684RAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1800000 | PA      | $1800256.93     | 0.01%             | 2034-07-16      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 786378 G2 06/49 FIXED 5                    | CUSIP: 3622AB6P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6631310 | PA      | $6755766.77     | 0.05%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY0125 FN 05/53 FIXED 5.5                     | CUSIP: 3140NGD72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2111786 | PA      | $2149973.77     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                           | JUBILEE CDO BV JUBIL 2016 17A B2RR 144A                 | CUSIP: ACI1W2W16<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1700000 | PA      | $1893129.13     | 0.02%             | 2031-04-15      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2025-1A                                                  | FIRST HELP FINANCIAL LLC FHF 2025 1A A2 144A            | CUSIP: 30340RAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10710955 | PA      | $10695658.98    | 0.09%             | 2031-02-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-70                                                        | FANNIE MAE FNR 2005 70 KC                               | CUSIP: 31394EW38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18098 | PA      | $18533.23       | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FG          | CUSIP: 38383KDF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23062554 | PA      | $23288262.71    | 0.19%             | 2073-08-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2017-A                                      | COLLEGE AVE STUDENT LOANS CASL 2017 A A1 144A           | CUSIP: 194204AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1517549 | PA      | $1531011.15     | 0.01%             | 2046-11-26      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/01/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1280328.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LAD AUTO RECEIVABLES TRUST 2024-2A                                        | LAD AUTO RECEIVABLES TRUST LADAR 2024 2A A4 144A        | CUSIP: 505920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1200000 | PA      | $1221530.16     | 0.01%             | 2029-07-16      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA B 144A      | CUSIP: 21050UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1088000 | PA      | $1106307.78     | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A2                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A2 3A          | CUSIP: 590215AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      262567 | PA      | $172245.36      | 0.00%             | 2036-02-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4139                                                   | FREDDIE MAC FHR 4139 DI                                 | CUSIP: 3137AWXH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      376489 | PA      | $7954.26        | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.62330 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-9517.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2020-2 LTD                                        | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2020 2A ARR 144A     | CUSIP: 05683EAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13300000 | PA      | $13318620.00    | 0.11%             | 2034-07-19      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA R 144A      | CUSIP: 21050UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1183289 | PA      | $590305.65      | 0.00%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4436000 | PA      | $4383819.69     | 0.04%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 4A2              | CUSIP: 46630GAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         553 | PA      | $555.71         | 0.00%             | 2035-07-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5460                                                   | FREDDIE MAC FHR 5460 SG                                 | CUSIP: 3137HFUG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    53244915 | PA      | $5652879.55     | 0.05%             | 2054-10-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 7A1              | CUSIP: 46628KAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7960 | PA      | $7787.65        | 0.00%             | 2035-04-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U97AA5 PIMCO FPPSWAPTION 4.265 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    32400000 | NC      | $1684152.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7570 FR 05/54 FIXED 6               | CUSIP: 3132DVMT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   159656477 | PA      | $166192472.76   | 1.33%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9HJA4 PIMCO FPPSWAPTION 4.47 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    32600000 | NC      | $1830229.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-20                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 20 CF           | CUSIP: 38383VYR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    59327152 | PA      | $58991580.33    | 0.47%             | 2053-02-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-86                                                 | FANNIE MAE FNR 2020 86 PI                               | CUSIP: 3136BCM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25505844 | PA      | $3874312.23     | 0.03%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -18383137 | PA      | $-18402990.89   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.59507 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5448.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                                      | COLLEGE AVE STUDENT LOANS CASL 2018 A A2 144A           | CUSIP: 19423DAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1133205 | PA      | $1117821.66     | 0.01%             | 2047-12-26      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8096 FN 04/33 FIXED 4.7                     | CUSIP: 3140LJ7J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11125000 | PA      | $11218697.75    | 0.09%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                    | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM C 144A      | CUSIP: 04965JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8800000 | PA      | $8596776.32     | 0.07%             | 2036-12-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-14                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 14 A11 144A         | CUSIP: 46653QBD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19931470 | PA      | $18627146.89    | 0.15%             | 2052-05-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                          | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR 144A   | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    28500000 | PA      | $28515774.47    | 0.23%             | 2034-07-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/20/24-4Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5989.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONSLOW BAY FINANCIAL LLC 2022-NQM7                                        | ONSLOW BAY FINANCIAL LLC OBX 2022 NQM7 A1 144A          | CUSIP: 67117DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5246365 | PA      | $5244099.88     | 0.04%             | 2062-08-25      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2021-2 LTD                                             | ROCKFORD TOWER CLO LTD ROCKT 2021 2A A1R 144A           | CUSIP: 77341LAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      800000 | PA      | $800052.62      | 0.01%             | 2034-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 252                            | CUSIP: 31325XQG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      367983 | PA      | $51908.25       | 0.00%             | 2049-05-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B B 144A      | CUSIP: 02007G4C4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1250358 | PA      | $1261540.39     | 0.01%             | 2032-09-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK1962 FN 03/48 FIXED 4                       | CUSIP: 3140HFFC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      934096 | PA      | $895609.72      | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5340 FN 04/44 FIXED 6                       | CUSIP: 31418E5A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11718 | PA      | $12068.12       | 0.00%             | 2044-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-7                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 7 OJ            | CUSIP: 38378CMZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      674289 | PA      | $576755.00      | 0.00%             | 2041-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.7351* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-19369.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                            | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A3 144A     | CUSIP: 39571NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7100000 | PA      | $7266610.02     | 0.06%             | 2060-03-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2885                                                          | FREDDIE MAC FHR 2885 NS                                 | CUSIP: 31395J3Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4485 | PA      | $4858.59        | 0.00%             | 2034-11-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM4 TRUST                                                      | PRP ADVISORS, LLC PRPM 2024 NQM4 A1 144A                | CUSIP: 69381UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4963327 | PA      | $5006108.47     | 0.04%             | 2069-12-26      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750R9J8 OTC EPUT FN 6.0 OCT25 98.890625 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   147000000 | NC      | $1.47           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                           | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1               | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13180 | PA      | $12483.04       | 0.00%             | 2034-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13667000 | PA      | $13572415.21    | 0.11%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNR-2021-69                                                               | FANNIE MAE FNR 2021 69 HS                               | CUSIP: 3136BJJB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7157649 | PA      | $27015.83       | 0.00%             | 2051-05-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                     | ENTERPRISE FLEET FINANCING LLC EFF 2024 3 A2 144A       | CUSIP: 29375QAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2547676 | PA      | $2561590.32     | 0.02%             | 2027-04-20      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC MORTGAGE LOAN TRUST 2007-2                  | DEUTSCHE ALT A SECURITIES INC DBALT 2007 2 2A1          | CUSIP: 25152BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13090144 | PA      | $11324398.37    | 0.09%             | 2047-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ0503 FR 12/53 FIXED 6.5             | CUSIP: 3142GQRZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    54320648 | PA      | $56953869.91    | 0.46%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB6578 FN 06/54 FIXED 7                       | CUSIP: 3140AGJY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      400847 | PA      | $421795.13      | 0.00%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4326                                                   | FREDDIE MAC FHR 4326 HZ                                 | CUSIP: 3137BABQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9176648 | PA      | $7243709.16     | 0.06%             | 2054-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                   | FREDDIE MAC FHR 4988 LI                                 | CUSIP: 3137FUQK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    46097119 | PA      | $10991922.51    | 0.09%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8216 FN 04/33 FIXED 4.49                    | CUSIP: 3140LKDW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7900000 | PA      | $7961057.36     | 0.06%             | 2033-04-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS8786 FN 02/47 FIXED 4                       | CUSIP: 3138WJXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24528 | PA      | $23595.06       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-86                                                        | FANNIE MAE FNR 2009 86 BO                               | CUSIP: 31398FRR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1456 | PA      | $1309.58        | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-59                                                 | FANNIE MAE FNR 2016 59 BI                               | CUSIP: 3136ATPP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1571428 | PA      | $384034.06      | 0.00%             | 2046-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4274                                                   | FREDDIE MAC FHR 4274 MS                                 | CUSIP: 3137B5V67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2201521 | PA      | $270697.47      | 0.00%             | 2043-11-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB9589 FN 06/43 FIXED 4                       | CUSIP: 31417GUP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      853115 | PA      | $829659.10      | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3175KU983 PIMCO FLOOR USD 0.0325 USD SOFR COMP          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   880000000 | NC      | $4946480.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 922855 FN 11/36 FIXED 5.5                     | CUSIP: 31412EH82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29358 | PA      | $30469.88       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2497 FR 05/55 FIXED 6               | CUSIP: 31426LX33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1784667 | PA      | $1854667.71     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B      | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1407021 | PA      | $1376973.51     | 0.01%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM3638 FN 08/44 FIXED VAR                     | CUSIP: 3140J8BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1830328 | PA      | $1782673.20     | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6285 FN 05/43 FIXED 5                       | CUSIP: 3140QR6X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1774008 | PA      | $1795896.24     | 0.01%             | 2043-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5034                                                   | FREDDIE MAC FHR 5034 MI                                 | CUSIP: 3137F6K55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    96443440 | PA      | $13110212.57    | 0.10%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-14                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 14 A3X 144A         | CUSIP: 46653QAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    72094129 | PA      | $2165736.46     | 0.02%             | 2052-05-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-111023.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ4616 FN 02/48 FIXED 4                       | CUSIP: 3140H6DW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2830990 | PA      | $2721850.88     | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                     | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A BV 144A    | CUSIP: 03332AAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $970492.00      | 0.01%             | 2038-04-25      | Fixed         | 4.17%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C D 144A        | CUSIP: 83208DAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4600000 | PA      | $4446605.64     | 0.04%             | 2055-03-15      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 1A7      | CUSIP: 02147RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1048544 | PA      | $1000906.77     | 0.01%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2871 FN 09/55 FIXED VAR                     | CUSIP: 3140W3FM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9495938 | PA      | $9965028.89     | 0.08%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                             | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4305249 | PA      | $4317256.55     | 0.03%             | 2037-01-17      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    43200000 | NC      | $2862717.12     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-3                                      | WELLS FARGO HOME EQUITY TRUST WFHET 2005 3 M8           | CUSIP: 9497ENAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12824000 | PA      | $12715252.48    | 0.10%             | 2035-11-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2025-1A                                     | LENDBUZZ SECURITIZATION TRUST LBZZ 2025 1A A2 144A      | CUSIP: 525938AC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2816965 | PA      | $2821138.51     | 0.02%             | 2030-10-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| COMMONBOND STUDENT LOAN TRUST 2020-AGS                                    | COMMONBOND STUDENT LOAN TRUST CBSLT 2020 AGS A 144A     | CUSIP: 20267WAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3738231 | PA      | $3365507.36     | 0.03%             | 2050-08-25      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN 2007-W8                                             | FANNIEMAE WHOLE LOAN FNW 2007 W8 2A2                    | CUSIP: 31396XVV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1353860 | PA      | $86362.71       | 0.00%             | 2037-09-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| PRKCM 2024-AFC1 TRUST                                                     | PRKCM TRUST PRKCM 2024 AFC1 A1 144A                     | CUSIP: 69380WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3975828 | PA      | $4025568.68     | 0.03%             | 2059-03-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| CROSSROADS ASSET TRUST 2025-A                                             | CROSSROADS ASSET TRUST XROAD 2025 A A2 144A             | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2100000 | PA      | $2114464.38     | 0.02%             | 2032-02-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5203                                                   | FREDDIE MAC FHR 5203 FA                                 | CUSIP: 3137H6KK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6556768 | PA      | $5984736.34     | 0.05%             | 2052-03-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-97                                                 | FANNIE MAE FNR 2012 97 MG                               | CUSIP: 3136A73E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      212797 | PA      | $210863.86      | 0.00%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-100                                                | FANNIE MAE FNR 2013 100 NS                              | CUSIP: 3136AGTH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      392673 | PA      | $246918.67      | 0.00%             | 2043-10-25      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BX5040 FN 01/53 FIXED 6                       | CUSIP: 3140N9S64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22635347 | PA      | $23237046.34    | 0.19%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5510                                                   | FREDDIE MAC FHR 5510 FJ                                 | CUSIP: 3137HJMQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26858539 | PA      | $27114742.81    | 0.22%             | 2055-02-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 A D 144A      | CUSIP: 02007GZ71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      270708 | PA      | $274865.08      | 0.00%             | 2032-05-17      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG3366 FR 05/53 FIXED 5.5             | CUSIP: 3133C3W36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1183102 | PA      | $1210079.41     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7571 FR 06/54 FIXED 6.5             | CUSIP: 3132DVMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22690875 | PA      | $23912596.81    | 0.19%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2614                                                          | FREDDIE MAC FHR 2614 SY                                 | CUSIP: 31393QP30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5470 | PA      | $5535.55        | 0.00%             | 2033-05-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5457                                                   | FREDDIE MAC FHR 5457 GF                                 | CUSIP: 3137HH4K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33230856 | PA      | $33189639.74    | 0.27%             | 2054-10-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9M8A5 PIMCO FPPSWAPTION 4.44 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    50900000 | NC      | $2932659.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-84                                                 | FANNIE MAE FNR 2021 84 PI                               | CUSIP: 3136BKCG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1041847 | PA      | $128356.41      | 0.00%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD2235 FR 01/53 FIXED 6               | CUSIP: 3132DPPU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20619382 | PA      | $21171809.61    | 0.17%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-44                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 44 SI           | CUSIP: 38380VVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9357106 | PA      | $144379.21      | 0.00%             | 2048-03-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                             | GSAA HOME EQUITY TRUST GSAA 2007 5 1F4A                 | CUSIP: 3622ECAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7440609 | PA      | $3217732.85     | 0.03%             | 2037-05-25      | Variable      | 6.03%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL1                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL1 A1A 144A | CUSIP: 16159MAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12486429 | PA      | $11232893.69    | 0.09%             | 2064-03-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-43                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 43 IO           | CUSIP: 38378KDF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1729868 | PA      | $360.85         | 0.00%             | 2048-08-16      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-2                                             | LENDMARK FUNDING TRUST LFT 2024 2A A 144A               | CUSIP: 52590AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      700000 | PA      | $701255.31      | 0.01%             | 2034-02-21      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 03/19/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4489888.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H20 FB          | CUSIP: 38376RFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      152030 | PA      | $152076.00      | 0.00%             | 2065-08-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5807 FN 08/45 FIXED 6                       | CUSIP: 31418FNZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      497293 | PA      | $509893.95      | 0.00%             | 2045-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-32                                                 | FANNIE MAE FNR 2018 32 SC                               | CUSIP: 3136B1A38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3209539 | PA      | $422842.04      | 0.00%             | 2048-05-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TR 2004-2CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 2CB 1A9       | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2510616 | PA      | $2577275.68     | 0.02%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5262                                                   | FREDDIE MAC FHR 5262 FA                                 | CUSIP: 3137H95T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    59798466 | PA      | $59486951.85    | 0.48%             | 2052-10-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H19                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H19 FB          | CUSIP: 38380QNU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6044240 | PA      | $5962478.16     | 0.05%             | 2070-11-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ2596 FR 10/54 FIXED 6.5             | CUSIP: 3142GS3E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5704806 | PA      | $5973606.07     | 0.05%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-143                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 143 SC          | CUSIP: 38382AZF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6796956 | PA      | $826195.87      | 0.01%             | 2046-04-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                   | FREDDIE MAC FHR 5069 PI                                 | CUSIP: 3137F9CZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19705657 | PA      | $3589838.62     | 0.03%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2005-C                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 C 2A1         | CUSIP: 05949AY79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      875197 | PA      | $866061.39      | 0.01%             | 2035-04-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C A1A 144A      | CUSIP: 83208DAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    48441638 | PA      | $48673586.70    | 0.39%             | 2055-03-15      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-56                                                 | FANNIE MAE FNR 2021 56 HI                               | CUSIP: 3136BGM32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18002602 | PA      | $1500986.77     | 0.01%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 418                                             | FANNIEMAE STRIP FNS 418 C15                             | CUSIP: 31395Q3F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11922900 | PA      | $2065029.63     | 0.02%             | 2043-08-25      | Fixed         | 3.50%                 | 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        |     5016863 | PA      | $2684748.81     | 0.02%             | 2036-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RF7                                        | STRUCTURED ASSET SECURITIES CO SASC 2005 RF7 A 144A     | CUSIP: 86359DWT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4311121 | PA      | $3874616.74     | 0.03%             | 2035-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ICG US CLO LTD 2015-2RA                                                   | ICG US CLO LTD ICG 2015 2RA A1R 144A                    | CUSIP: 44933WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9243217 | PA      | $9243213.54     | 0.07%             | 2033-01-16      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H02                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H02 FA          | CUSIP: 38382YN82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1170709 | PA      | $1173553.12     | 0.01%             | 2073-01-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750R9P4 OTC EPUT FN 5.5 OCT25 97.09375 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   146000000 | NC      | $1.46           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 A2 144A      | CUSIP: 69544NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2287666 | PA      | $2309358.24     | 0.02%             | 2032-07-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.23200 04/26/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1599790.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-46                                                        | FANNIE MAE FNR 2006 46 UD                               | CUSIP: 31395D5N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      119872 | PA      | $123897.50      | 0.00%             | 2036-06-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE8898 FN 03/37 FIXED 4                       | CUSIP: 3140FU3G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      608711 | PA      | $595971.34      | 0.00%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A                          | LA HIPOTECARIA SA LHIPO 2014 1A A1 144A                 | CUSIP: 50346EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |     7273384 | PA      | $6980493.45     | 0.06%             | 2042-11-24      | Floating      | 3.51%                 | No            |                  3 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-C                                      | COLLEGE AVE STUDENT LOANS CASL 2021 C A2 144A           | CUSIP: 19424WAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4082683 | PA      | $3806448.36     | 0.03%             | 2055-07-26      | Fixed         | 2.32%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                   | SCLP 2025 C B 144A SCLP 2025 C B 144A                   | CUSIP: 990AAWLV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3787000 | PA      | $3774435.91     | 0.03%             | 2034-09-06      | Fixed         | 4.54%                 | No            |                  3 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 A 144A     | CUSIP: 69544PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      690070 | PA      | $690391.63      | 0.01%             | 2032-04-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-61                                                 | FANNIE MAE FNR 2023 61 IO                               | CUSIP: 3136BQWM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    99609716 | PA      | $20970634.20    | 0.17%             | 2053-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0383 FN 04/59 FIXED 4.5                     | CUSIP: 3140FXM90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5409054 | PA      | $5254623.80     | 0.04%             | 2059-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8664 FN 06/33 FIXED 4.53                    | CUSIP: 3140LKTW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3168150 | PA      | $3204241.17     | 0.03%             | 2033-06-01      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3005                                                   | FREDDIE MAC FHR 3005 SU                                 | CUSIP: 31395WJR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       96862 | PA      | $101919.22      | 0.00%             | 2033-10-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC9758 FN 01/55 FIXED 5.5                     | CUSIP: 3140AXZY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1130522 | PA      | $1156948.72     | 0.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2004-91                                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 91 PS           | CUSIP: 38374JJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      202024 | PA      | $851.33         | 0.00%             | 2034-11-16      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8453 FR 08/54 FIXED 5.5             | CUSIP: 3132DWMA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6173733 | PA      | $6234419.66     | 0.05%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U5S9A5 PIMCO SWAPTION 6.0 PUT USD 20251017           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   391000000 | NC      | $39.10          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-35                                                        | FANNIE MAE FNR 2003 35 UC                               | CUSIP: 31393BL86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1323 | PA      | $1311.91        | 0.00%             | 2033-05-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8910 FN 03/31 FIXED 4.99                    | CUSIP: 3140LK3U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7861523 | PA      | $8075271.92     | 0.06%             | 2031-03-01      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   796336000 | PA      | $813433724.12   | 6.51%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2607 FR 05/55 FIXED 6               | CUSIP: 31426L3R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2584962 | PA      | $2682766.20     | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1         | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      192754 | PA      | $167384.33      | 0.00%             | 2035-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-55                                                 | FANNIE MAE FNR 2016 55 EI                               | CUSIP: 3136ATJG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4982480 | PA      | $625137.77      | 0.00%             | 2043-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/27 2.25                              | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    21700000 | PA      | $21165128.85    | 0.17%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A2 144A      | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1729666 | PA      | $1738903.45     | 0.01%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XI LTD 2019-11A                                               | VIBRANT CLO LTD VIBR 2019 11A A2R 144A                  | CUSIP: 92558NAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12125000 | PA      | $12146318.90    | 0.10%             | 2032-07-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-5                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 5 1A4          | CUSIP: 17307GXW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      252908 | PA      | $233447.63      | 0.00%             | 2035-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                    | FREDDIEMAC STRIP FHS 389 C25                            | CUSIP: 31325YRB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    40844745 | PA      | $7275995.52     | 0.06%             | 2052-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-437                                                       | FANNIEMAE STRIP FNS 437 C21                             | CUSIP: 31424UPT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32021106 | PA      | $7486677.16     | 0.06%             | 2053-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4165                                                   | FREDDIE MAC FHR 4165 TI                                 | CUSIP: 3137AYSK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2458145 | PA      | $123527.67      | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5056                                                   | FREDDIE MAC FHR 5056 SA                                 | CUSIP: 3137F74P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6667974 | PA      | $1067174.56     | 0.01%             | 2050-12-25      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1                        | GS MORTGAGE BACKED SECURITIES GSMBS 2021 NQM1 M1 144A   | CUSIP: 36262EAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17128000 | PA      | $13877542.36    | 0.11%             | 2061-07-25      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-66                                                 | FANNIE MAE FNR 2018 66 BS                               | CUSIP: 3136B25R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      761389 | PA      | $86082.07       | 0.00%             | 2048-09-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP1                                        | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF2 144A      | CUSIP: 3623413V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      419034 | PA      | $339160.13      | 0.00%             | 2036-01-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2004-CB8              | CREDIT BASED ASSET SERVICING A CBASS 2004 CB8 M1        | CUSIP: 59020UPR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      297336 | PA      | $295967.97      | 0.00%             | 2035-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| C-BASS LTD 12A                                                            | C BASS LTD CBCL 12A A 144A                              | CUSIP: 12498CAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15662101 | PA      | $1113074.16     | 0.01%             | 2034-12-15      | Floating      | 7.84%                 | No            |                  2 | On Loan: No      |
| NLT 2023-1 TRUST                                                          | NMLT TRUST NLT 2023 1 A1 144A                           | CUSIP: 62917MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3014485 | PA      | $2751574.25     | 0.02%             | 2062-10-25      | Variable      | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $159.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4704                                                   | FREDDIE MAC FHR 4704 SK                                 | CUSIP: 3137F1HV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7836470 | PA      | $963782.40      | 0.01%             | 2047-07-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-9                                                  | FANNIE MAE FNR 2019 9 FA                                | CUSIP: 3136B33L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      421111 | PA      | $417983.16      | 0.00%             | 2049-03-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0144 FN 03/55 FIXED 6.5                     | CUSIP: 3140Y6ES5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4155826 | PA      | $4401455.19     | 0.04%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BR8765 FN 03/51 FIXED 3                       | CUSIP: 3140L7W32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      741595 | PA      | $662587.99      | 0.01%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-85                                                 | FANNIE MAE FNR 2018 85 IO                               | CUSIP: 3136B3QF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7286847 | PA      | $947868.67      | 0.01%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLT 2022-5 MORTGAGE LOAN TRUST                                           | COLT FUNDING LLC COLT 2022 5 M1 144A                    | CUSIP: 19688LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4800000 | PA      | $4700247.36     | 0.04%             | 2067-03-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM2 TRUST                                                      | GCAT GCAT 2024 NQM2 A1 144A                             | CUSIP: 36831CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3878112 | PA      | $3926667.12     | 0.03%             | 2059-06-25      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-13                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 13 A4X 144A         | CUSIP: 46592XAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8715385 | PA      | $160217.54      | 0.00%             | 2052-04-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE7840 FN 02/47 FIXED 4                       | CUSIP: 3140FTWA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      510648 | PA      | $491226.71      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GPMT LLC 2021-FL3                                                         | GPMT LTD. GPMT 2021 FL3 B 144A                          | CUSIP: 36264BAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     5000000 | PA      | $5004048.00     | 0.04%             | 2035-07-16      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BD2441 FN 01/47 FIXED 3.5                     | CUSIP: 3140F9WB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5961027 | PA      | $5598881.19     | 0.04%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                 | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 C 144A     | CUSIP: 78486BAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7825000 | PA      | $7815046.29     | 0.06%             | 2038-04-18      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES7                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES7 A1A 144A     | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8198371 | PA      | $8224066.33     | 0.07%             | 2044-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A                                | OCTAGON INVESTMENT PARTNERS 40 OCT40 2019 1A A1RR 144A  | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    26200000 | PA      | $26245839.52    | 0.21%             | 2035-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-5                                         | VERUS SECURITIZATION TRUST VERUS 2024 5 A1 144A         | CUSIP: 92540HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7108432 | PA      | $7212286.50     | 0.06%             | 2069-06-25      | Variable      | 6.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-62                                                 | FANNIE MAE FNR 2016 62 SC                               | CUSIP: 3136ATWH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2869677 | PA      | $328187.45      | 0.00%             | 2046-09-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-20                                            | COUNTRYWIDE HOME LOANS CWHL 2006 20 1A3                 | CUSIP: 12544AAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5481841 | PA      | $2443135.51     | 0.02%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B        | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2016679 | PA      | $1559998.70     | 0.01%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-6                                           | ANGEL OAK MORTGAGE TRUST AOMT 2023 6 A1 144A            | CUSIP: 03464UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2819382 | PA      | $2849570.13     | 0.02%             | 2067-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA5229 FN 02/50 FIXED 3                       | CUSIP: 3140QCY34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8540583 | PA      | $7525078.59     | 0.06%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OPEN TRUST 2023-AIR                                                       | OPEN TRUST OPEN 2023 AIR A 144A                         | CUSIP: 68373BAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1495284 | PA      | $1498432.39     | 0.01%             | 2040-11-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6022 FN 04/43 FIXED 5                       | CUSIP: 3140QRVQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2853647 | PA      | $2888870.97     | 0.02%             | 2043-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-118                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 118 WI          | CUSIP: 38380GNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1796619 | PA      | $73738.44       | 0.00%             | 2046-06-20      | Floating      | 0.18%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A90             | CUSIP: 46631NDT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      962239 | PA      | $469032.52      | 0.00%             | 2037-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED RESIDENTIAL SECURITIES 2006-1X                                  | PREFERRED RESIDENTIAL SECURITI PRS 2006 1X D1C REGS     | CUSIP: G7218JAW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     4655756 | PA      | $6138118.11     | 0.05%             | 2043-12-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-2                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 2 3A1         | CUSIP: 07401EAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1435188 | PA      | $1270821.19     | 0.01%             | 2046-12-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ2170 FR 08/54 FIXED 7               | CUSIP: 3133CSMT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      462800 | PA      | $486929.53      | 0.00%             | 2054-08-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN FUJI EUR CLO III DAC 3A                                      | BLUEMOUNTAIN FUJI EUR CLO BLUME 3A A2R 144A             | CUSIP: ACI1XNNH4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      199106 | PA      | $231933.13      | 0.00%             | 2031-01-15      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A     | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1797029 | PA      | $1496859.80     | 0.01%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5392                                                   | FREDDIE MAC FHR 5392 GI                                 | CUSIP: 3137HBX25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    94246197 | PA      | $11138778.92    | 0.09%             | 2051-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-2PL                                                   | ACHV ABS TRUST ACHV 2024 2PL A 144A                     | CUSIP: 00092HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1472737 | PA      | $1482212.21     | 0.01%             | 2031-10-27      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| FHR-5100                                                                  | FREDDIE MAC FHR 5100 MI                                 | CUSIP: 3137FYVU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19817549 | PA      | $3642477.32     | 0.03%             | 2048-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1B 144A      | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7379227 | PA      | $7471171.85     | 0.06%             | 2056-03-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-45                                                 | FANNIE MAE FNR 2013 45 IK                               | CUSIP: 3136AD3D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      166836 | PA      | $15135.03       | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA3056 G2 08/45 FLOATING VAR               | CUSIP: 36179RMD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      378840 | PA      | $387125.33      | 0.00%             | 2045-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD5188 FN 03/55 FIXED 6                       | CUSIP: 3140B5XS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1180536 | PA      | $1226040.06     | 0.01%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4520                                                          | FREDDIE MAC FHR 4520 SB                                 | CUSIP: 3137BLUL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3273936 | PA      | $2115635.53     | 0.02%             | 2045-08-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-10                                                 | FANNIE MAE FNR 2013 10 QI                               | CUSIP: 3136ACCD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      297876 | PA      | $27661.90       | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CITIGROUP REVERSE REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -2201690879 | PA      | $-2203885881.65 | -17.63%           |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-18229.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-PRL4                             | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL4 PT 144A   | CUSIP: 36272VAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   131637166 | PA      | $121161414.31   | 0.97%             | 2065-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-7                                              | LEHMAN MORTGAGE TRUST LMT 2006 7 2A5                    | CUSIP: 52520QAQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    16530250 | PA      | $1909690.20     | 0.02%             | 2036-11-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H06                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H06 PT          | CUSIP: 38381TC60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1107279 | PA      | $1072948.58     | 0.01%             | 2069-01-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS4796 FN 04/45 FIXED 3.5                     | CUSIP: 3138WEKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1717740 | PA      | $1615814.58     | 0.01%             | 2045-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                        | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A3 144A        | CUSIP: 30336CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3900000 | PA      | $3951653.16     | 0.03%             | 2029-04-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 783207 GN 09/40 FIXED 4.5                     | CUSIP: 36241LR40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5147604 | PA      | $5081654.65     | 0.04%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8626 FN 10/30 FIXED 4.49                    | CUSIP: 3140LKSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1747000 | PA      | $1769884.02     | 0.01%             | 2030-10-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-3                                                  | FANNIE MAE FNR 2021 3 IB                                | CUSIP: 3136BDYC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14174017 | PA      | $2444038.48     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                      | VASA TRUST VASA 2021 VASA C 144A                        | CUSIP: 92230AAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16314000 | PA      | $15018281.76    | 0.12%             | 2039-07-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                        | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 2A 144A    | CUSIP: 86359DXR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1153778 | PA      | $1037048.89     | 0.01%             | 2036-01-25      | Variable      | 4.82%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE9                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE9 1A2       | CUSIP: 07389MAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      982991 | PA      | $977304.25      | 0.01%             | 2036-11-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3842                                                   | FREDDIE MAC FHR 3842 PH                                 | CUSIP: 3137A9QP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6595 | PA      | $6544.30        | 0.00%             | 2041-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4474                                                   | FREDDIE MAC FHR 4474 NI                                 | CUSIP: 3137BJFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      169794 | PA      | $31073.10       | 0.00%             | 2045-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK1278 FN 06/48 FLOATING VAR                  | CUSIP: 3140HEM41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      107956 | PA      | $107066.19      | 0.00%             | 2048-06-01      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AA4630 FN 05/39 FIXED 4.5                     | CUSIP: 31416NEC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74570 | PA      | $75181.16       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004195 G2 07/38 FIXED 6                    | CUSIP: 36202EUU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53983 | PA      | $57749.11       | 0.00%             | 2038-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-22                                                        | FANNIE MAE FNR 2008 22 FD                               | CUSIP: 31397LGE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      986824 | PA      | $994482.25      | 0.01%             | 2048-04-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U5SEA9 PIMCO SWAPTION 6.0 PUT USD 20251017           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   186000000 | NC      | $18.60          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2024-H4 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2024 H4 A1 144A              | CUSIP: 22758HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5008273 | PA      | $5076354.37     | 0.04%             | 2069-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2014-8                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 8 2A2 144A     | CUSIP: 17323AAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5911545 | PA      | $5375505.84     | 0.04%             | 2037-06-27      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB1 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB1 A1 144A          | CUSIP: 67448MAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9319036 | PA      | $9177647.89     | 0.07%             | 2053-03-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BN5883 FN 03/49 FIXED 5                       | CUSIP: 3140JNRD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      508840 | PA      | $511665.17      | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AX6964 G2 11/46 FIXED 3.5                  | CUSIP: 36196JWZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      417116 | PA      | $385891.22      | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3805                                                   | FREDDIE MAC FHR 3805 SC                                 | CUSIP: 3137A7D56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77059 | PA      | $66958.24       | 0.00%             | 2041-02-15      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-10                                          | JP MORGAN MORTGAGE TRUST JPMMT 2024 10 A11 144A         | CUSIP: 46658LAX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13451302 | PA      | $13433961.54    | 0.11%             | 2055-03-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL4 TRUST                                                      | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL4 A1 144A   | CUSIP: 740943AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    27600000 | PA      | $26859923.39    | 0.21%             | 2065-03-25      | Fixed         | 4.00%                 | No            |                  3 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-S1                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 S1 A1         | CUSIP: 466275AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      672883 | PA      | $649014.38      | 0.01%             | 2047-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-3A                                               | AFFIRM MASTER TRUST AFRMT 2025 3A A 144A                | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2600000 | PA      | $2598859.64     | 0.02%             | 2034-10-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H10                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H10 GF          | CUSIP: 38382Y4C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33454058 | PA      | $32985777.94    | 0.26%             | 2073-03-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H23                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H23 MA          | CUSIP: 38375US27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4695066 | PA      | $4578005.42     | 0.04%             | 2067-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 405                                             | FANNIEMAE STRIP FNS 405 1                               | CUSIP: 3136FGS73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      234559 | PA      | $186996.15      | 0.00%             | 2040-10-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-19                                                 | FANNIE MAE FNR 2015 19 IP                               | CUSIP: 3136ANJE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6994057 | PA      | $1197979.80     | 0.01%             | 2045-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                                          | GRIFONAS FINANCE PLC GRIF 1 A REGS                      | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     4483011 | PA      | $5114947.87     | 0.04%             | 2039-08-28      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-4                                         | VERUS SECURITIZATION TRUST VERUS 2024 4 A1 144A         | CUSIP: 92540GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6200700 | PA      | $6289327.48     | 0.05%             | 2069-06-25      | Variable      | 6.22%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-401                                                      | FREDDIEMAC STRIP FHS 401 C15                            | CUSIP: 3142G47L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    58620460 | PA      | $12659516.23    | 0.10%             | 2053-06-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8550 FN 05/33 FIXED 4.49                    | CUSIP: 3140LKQC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4005000 | PA      | $4026545.50     | 0.03%             | 2033-05-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-C                                   | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 C 3A4         | CUSIP: 43709BAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8671538 | PA      | $8139000.55     | 0.07%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 AF          | CUSIP: 38383KEW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7265877 | PA      | $7343355.62     | 0.06%             | 2073-08-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-15                                            | COUNTRYWIDE HOME LOANS CWHL 2007 15 1A16                | CUSIP: 17025TAR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56746 | PA      | $33659.01       | 0.00%             | 2037-09-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-110                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 110 PS          | CUSIP: 38381YWG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5214364 | PA      | $661993.21      | 0.01%             | 2049-09-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF5          | CUSIP: 759950GX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3373845 | PA      | $1642473.64     | 0.01%             | 2036-05-25      | Variable      | 6.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    62200000 | NC      | $3557485.46     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM7070 FN 04/51 FIXED VAR                     | CUSIP: 3140XA2C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    50942873 | PA      | $45780498.92    | 0.37%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                                        | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A        | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2545906 | PA      | $2549861.30     | 0.02%             | 2059-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA6424 FN 07/50 FIXED 3                       | CUSIP: 3140QED66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23013359 | PA      | $20302643.57    | 0.16%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| KREST COMMERCIAL MORTGAGE SECURITIES TRUST 2021-CHIP                      | KREST COMMERCIAL MORTGAGE SECU KREST 2021 CHIP D 144A   | CUSIP: 50085PAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17515000 | PA      | $11643987.76    | 0.09%             | 2044-11-05      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $39.01          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FA          | CUSIP: 38383KCV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    44912169 | PA      | $45173903.70    | 0.36%             | 2073-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                               | WATR ISSUER TRUST WATR 2025 1 R 144A                    | CUSIP: 942611AE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3614382 | PA      | $6163238.96     | 0.05%             | 2050-06-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | 317U5S7A7 PIMCO SWAPTION 5.5 PUT USD 20251017           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   391000000 | NC      | $39.10          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8309 FR 03/53 FIXED 6               | CUSIP: 3132DWGS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21871706 | PA      | $22443407.05    | 0.18%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                            | OFSI FUND LTD OFSBS 2021 10A AR 144A                    | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13000000 | PA      | $13013911.04    | 0.10%             | 2034-04-20      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-52                                                 | FANNIE MAE FNR 2016 52 PI                               | CUSIP: 3136AS6D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1781556 | PA      | $191992.92      | 0.00%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-168                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 168 QT          | CUSIP: 38380TTB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24683 | PA      | $23305.36       | 0.00%             | 2046-11-20      | Floating      | 1.21%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF3 LLC                                                        | PRP ADVISORS, LLC PRPM 2024 RCF3 A1 144A                | CUSIP: 74390BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      704889 | PA      | $696633.21      | 0.01%             | 2054-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-79                                                 | FANNIE MAE FNR 2014 79 PS                               | CUSIP: 3136ALF48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2301276 | PA      | $241501.23      | 0.00%             | 2044-06-25      | Floating      | 1.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-41                                                 | FANNIE MAE FNR 2020 41 SA                               | CUSIP: 3136B9Z91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9251992 | PA      | $1228831.04     | 0.01%             | 2050-06-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-8                                           | ANGEL OAK MORTGAGE TRUST AOMT 2024 8 A1 144A            | CUSIP: 03465QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2905536 | PA      | $2920456.79     | 0.02%             | 2069-05-27      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-ST3                                | UPSTART PASS THROUGH TRUST UPSPT 2022 ST3 A 144A        | CUSIP: 91681EAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      486237 | PA      | $484611.35      | 0.00%             | 2030-05-20      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8202 FN 04/28 FIXED 4.14                    | CUSIP: 3140LKDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10531042 | PA      | $10570249.38    | 0.08%             | 2028-04-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I-2005-HQ7                                         | MORGAN STANLEY CAPITAL I TRUST MSC 2005 HQ7 E           | CUSIP: 617451BW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11845 | PA      | $11738.94       | 0.00%             | 2042-11-14      | Variable      | 5.44%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  1400638000 | PA      | $1448435990.31  | 11.58%            | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3921                                                   | FREDDIE MAC FHR 3921 US                                 | CUSIP: 3137AFFZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      478166 | PA      | $339005.97      | 0.00%             | 2041-09-15      | Floating      | 0.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2535 FR 03/55 FIXED 5.5             | CUSIP: 31427PY99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4000905 | PA      | $4049553.32     | 0.03%             | 2055-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-2A                                                   | REACH FINANCIAL LLC REACH 2025 2A A 144A                | CUSIP: 75525QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13973983 | PA      | $14033284.37    | 0.11%             | 2032-08-18      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4820                                                          | FREDDIE MAC FHR 4820 ES                                 | CUSIP: 3137FHHV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1116341 | PA      | $157008.88      | 0.00%             | 2048-03-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AN8528 FN 03/33 FIXED 3.43                    | CUSIP: 3138LMPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      958230 | PA      | $895848.62      | 0.01%             | 2033-03-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P4                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P4 A3 144A    | CUSIP: 14687NAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1047890 | PA      | $1058841.51     | 0.01%             | 2028-10-10      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B D 144A      | CUSIP: 02007G4E0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3454937 | PA      | $3471729.12     | 0.03%             | 2032-09-15      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4248                                                   | FREDDIE MAC FHR 4248 ES                                 | CUSIP: 3137B4UN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      839526 | PA      | $824323.04      | 0.01%             | 2041-05-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4793 FR 09/55 FIXED 6.5             | CUSIP: 3142GVKF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3423341 | PA      | $3617770.23     | 0.03%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9B7A0 PIMCO FPPSWAPTION 4.43 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    34900000 | NC      | $1992022.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BN4325 FN 01/49 FIXED 4.5                     | CUSIP: 3140JLYX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1493051 | PA      | $1475028.27     | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0250 FN 08/54 FIXED 6.5                     | CUSIP: 3140AMH46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      781918 | PA      | $813262.15      | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAFAA5 PIMCO SWAPTION 3.635 PUT USD 2026091          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    97400000 | NC      | $1608814.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ0118 FR 07/54 FIXED 6               | CUSIP: 3133CQDX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      654549 | PA      | $673124.89      | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BR9873 FN 04/51 FIXED 3                       | CUSIP: 3140L86K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      506616 | PA      | $450858.46      | 0.00%             | 2051-04-01      | Fixed         | 3.00%                 | 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        |      767837 | PA      | $777967.58      | 0.01%             | 2047-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A2         | CUSIP: 07384MR87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27507 | PA      | $26250.79       | 0.00%             | 2034-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9CWA0 PIMCO FPPSWAPTION 4.63 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35800000 | NC      | $2294747.78     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BF4034 G2 02/48 FIXED 3.5                  | CUSIP: 3617GAPT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      545826 | PA      | $492809.33      | 0.00%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 B 144A     | CUSIP: 14687WAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    19760000 | PA      | $19808459.42    | 0.16%             | 2030-12-10      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-2                                                    | CHASEFLEX TRUST CFLX 2007 2 A2                          | CUSIP: 16165WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      727072 | PA      | $699001.69      | 0.01%             | 2037-05-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7399 FR 12/54 FIXED 4.5             | CUSIP: 3132DVGG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9777212 | PA      | $9564738.19     | 0.08%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $134.60         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TR 2006-1                                         | MASTR REPERFORMING LOAN TRUST MARP 2006 1 1A2 144A      | CUSIP: 57643QBM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1931125 | PA      | $1227672.50     | 0.01%             | 2035-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL AZ8592 GN 04/47 FIXED 4                       | CUSIP: 36197MRM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      525792 | PA      | $501626.84      | 0.00%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 15 WI           | CUSIP: 38380CSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      740319 | PA      | $35740.90       | 0.00%             | 2045-11-20      | Floating      | 0.34%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF3 LLC                                                        | PRP ADVISORS, LLC PRPM 2025 RCF3 A1 144A                | CUSIP: 69392PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2980433 | PA      | $3003205.83     | 0.02%             | 2055-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2006-W3                                              | FANNIEMAE WHOLE LOAN FNW 2006 W3 1AS                    | CUSIP: 31396L7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3612066 | PA      | $133911.58      | 0.00%             | 2046-10-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                    | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P E 144A     | CUSIP: 61772WAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8200000 | PA      | $7132092.68     | 0.06%             | 2038-12-15      | Floating      | 7.34%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-56                                                 | FANNIE MAE FNR 2020 56 DI                               | CUSIP: 3136BBMQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12862769 | PA      | $2180142.88     | 0.02%             | 2050-08-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-172                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 172 IO          | CUSIP: 38380B5X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      421882 | PA      | $9318.95        | 0.00%             | 2046-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4143                                                   | FREDDIE MAC FHR 4143 HI                                 | CUSIP: 3137AX7M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      867339 | PA      | $16057.75       | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 354                                                    | FREDDIEMAC STRIP FHS 354 C8                             | CUSIP: 31325WVT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6481800 | PA      | $975942.99      | 0.01%             | 2046-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TROPIC CDO CORP 2006-5A                                                   | TROPIC CDO CORP TROPC 2006 5A A1L2 144A                 | CUSIP: 89708BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8938569 | PA      | $8603373.02     | 0.07%             | 2036-07-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 C 144A       | CUSIP: 39571MAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1389057 | PA      | $1423949.99     | 0.01%             | 2059-06-25      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG6256 FR 07/53 FIXED 6               | CUSIP: 3133C65R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2699073 | PA      | $2778325.09     | 0.02%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9EUA8 PIMCO SWAPTION 2.5 CALL USD 20260529          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   192500000 | NC      | $362208.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM1303 FN 04/47 FIXED VAR                     | CUSIP: 3140J5NV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      269126 | PA      | $259199.21      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                              | BEAR STEARNS ALT A TRUST BALTA 2005 3 2A3               | CUSIP: 07386HRX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9261 | PA      | $8706.02        | 0.00%             | 2035-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 783356 G2 06/41 FIXED 6                    | CUSIP: 36241LWR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8429 | PA      | $8914.41        | 0.00%             | 2041-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                        | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5575000 | PA      | $5584526.39     | 0.04%             | 2034-10-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-SD1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 SD1 M1 144A     | CUSIP: 1266712J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1519170 | PA      | $1493337.84     | 0.01%             | 2032-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-113                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 113 EO          | CUSIP: 38380X3A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49281 | PA      | $48662.55       | 0.00%             | 2042-09-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-69                                                        | FANNIE MAE FNR 2005 69 AO                               | CUSIP: 31394EP77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      101945 | PA      | $89328.23       | 0.00%             | 2035-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 B 144A       | CUSIP: 39571MAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4630189 | PA      | $4726957.32     | 0.04%             | 2059-06-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4325                                                   | FREDDIE MAC FHR 4325 PS                                 | CUSIP: 3137B9UG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      622493 | PA      | $48272.78       | 0.00%             | 2044-02-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-63                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 63 ZJ           | CUSIP: 38383RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4438096 | PA      | $2939832.65     | 0.02%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                             | GREYWOLF CLO LTD GWOLF 2020 3RA A2R2 144A               | CUSIP: 39809CBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7700000 | PA      | $7709747.12     | 0.06%             | 2033-04-22      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.60243 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-7052.12       | -0.00%            |  |  |  | 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        |     4655795 | PA      | $5455481.13     | 0.04%             | 2033-04-15      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-1                                                         | FANNIE MAE FNR 2007 1 JO                                | CUSIP: 31396PHR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      509192 | PA      | $434010.01      | 0.00%             | 2037-02-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 02/07/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2893827.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2644 FR 09/55 FIXED 6.5             | CUSIP: 31427P5E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11029858 | PA      | $11581509.51    | 0.09%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2013-MH1                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2013 MH1 A 144A       | CUSIP: 12647RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1969710 | PA      | $1775487.15     | 0.01%             | 2053-05-27      | Variable      | 4.70%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES2                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES2 A1A 144A     | CUSIP: 74938PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12058518 | PA      | $12213357.90    | 0.10%             | 2044-04-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5287                                                   | FREDDIE MAC FHR 5287 IO                                 | CUSIP: 3137H9MY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38493463 | PA      | $6611483.17     | 0.05%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                                  | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A C 144A      | CUSIP: 37989EAG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $516616.65      | 0.00%             | 2030-08-15      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                             | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL4 A1 144A   | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6791054 | PA      | $6649964.81     | 0.05%             | 2061-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                   | FREDDIE MAC FHR 5051 IP                                 | CUSIP: 3137F7YM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    48040272 | PA      | $8324005.13     | 0.07%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4836                                                          | FREDDIE MAC FHR 4836 SN                                 | CUSIP: 3137FJB57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1781556 | PA      | $232286.44      | 0.00%             | 2048-10-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 2A2              | CUSIP: 466247YN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1973110 | PA      | $1608625.25     | 0.01%             | 2035-11-25      | Variable      | 5.42%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ0947 FR 07/54 FIXED 5.5             | CUSIP: 3133CRBQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1071329 | PA      | $1085422.15     | 0.01%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY9433 FN 09/53 FIXED 5                       | CUSIP: 3140NSPT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1187029 | PA      | $1190768.18     | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H02                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H02 FJ          | CUSIP: 38383KMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3826853 | PA      | $3849377.87     | 0.03%             | 2073-12-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| CITY OF DETROIT                                                           | DETROIT MI DET 04/44 ADJUSTABLE VAR                     | CUSIP: 251093S84<br>LEI: 549300BQRJP7MKKHOY28 | Long             | DBT              | MUN               | US        |     4573863 | PA      | $3603588.40     | 0.03%             | 2044-04-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| RIVERVIEW HECM TRUST 2007-4A                                              | RIVERVIEW HECM TRUST RVMLT 2007 4A A 144A               | CUSIP: 76942LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      885992 | PA      | $772426.89      | 0.01%             | 2047-05-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2C        | CUSIP: 59022QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22487484 | PA      | $11069486.61    | 0.09%             | 2037-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8WSA2 PIMCO SWAPTION 5.0 PUT USD 20251008           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  1042200000 | NC      | $104.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1                                 | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 1 A 144A       | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2500000 | PA      | $2557918.50     | 0.02%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Z9A5 PIMCO SWAPTION 3.993 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -40100000 | NC      | $-12.03         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2835                                                          | FREDDIE MAC FHR 2835 QO                                 | CUSIP: 31395FEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28740 | PA      | $25861.91       | 0.00%             | 2032-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CANYON CLO 2020-1 LTD                                                     | CANYON CAPITAL CLO LTD CANYC 2020 1A AR2 144A           | CUSIP: 13876LAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      800000 | PA      | $800725.51      | 0.01%             | 2034-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-137                                                | FANNIE MAE FNR 2012 137 KS                              | CUSIP: 3136AAK53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      608174 | PA      | $70059.60       | 0.00%             | 2032-12-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI8177 FR 06/54 FIXED 7               | CUSIP: 3133WFCN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2215168 | PA      | $2335805.46     | 0.02%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 B 144A   | CUSIP: 46653DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1900000 | PA      | $1383202.47     | 0.01%             | 2036-03-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-54                                                 | FANNIE MAE FNR 2013 54 QZ                               | CUSIP: 3136AEUQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46957 | PA      | $43569.50       | 0.00%             | 2033-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0023 FR 10/54 FIXED 6               | CUSIP: 31427MAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    65414843 | PA      | $68017995.34    | 0.54%             | 2054-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA4543 FN 11/49 FIXED 3                       | CUSIP: 3140QCBM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1498346 | PA      | $1354988.08     | 0.01%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS D 144A     | CUSIP: 78486DAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9200000 | PA      | $9165799.00     | 0.07%             | 2034-04-15      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2D            | CUSIP: 61750MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4789974 | PA      | $2065070.55     | 0.02%             | 2036-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0262 FN 05/58 FIXED 3                       | CUSIP: 3140FXJG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16063297 | PA      | $14061418.99    | 0.11%             | 2058-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAAHA9 PIMCO SWAPTION 3.9075 PUT USD 202511          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -160800000 | NC      | $-66249.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4120                                                   | FREDDIE MAC FHR 4120 HS                                 | CUSIP: 3137AVDC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      922755 | PA      | $612744.25      | 0.00%             | 2042-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/20/24-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-10131877.44   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR2                                    | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR2 1A        | CUSIP: 36185N6M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7350 | PA      | $6987.83        | 0.00%             | 2035-05-25      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-2                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 2 M1          | CUSIP: 542514FX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23088 | PA      | $23785.66       | 0.00%             | 2034-06-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASX                                                      | VASA TRUST VASA 2021 VASX B REGS                        | CUSIP: U9223AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2411372.00     | 0.02%             | 2039-07-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 180 WI          | CUSIP: 38376T6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1077896 | PA      | $48187.33       | 0.00%             | 2045-09-20      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE8409 FN 03/47 FIXED 4                       | CUSIP: 3140FUKX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41516 | PA      | $39545.09       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES3                                       | TOWD POINT MORTGAGE TRUST TPMT 2025 CES3 A1A 144A       | CUSIP: 891949BU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18011845 | PA      | $18127438.19    | 0.14%             | 2065-08-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2640 FR 06/55 FIXED 6.5             | CUSIP: 31427P5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2809682 | PA      | $2964923.03     | 0.02%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL3 M1 144A     | CUSIP: 12661GAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $828623.00      | 0.01%             | 2060-01-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4072                                                   | FREDDIE MAC FHR 4072 Z                                  | CUSIP: 3137ARRJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1286424 | PA      | $1209300.58     | 0.01%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 7 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0706B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   411600000 | PA      | $430996020.25   | 3.45%             | 2054-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                       | DOLP TRUST DOLP 2021 NYC D 144A                         | CUSIP: 23345LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19360000 | PA      | $16733151.95    | 0.13%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306A1<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -1188405000 | PA      | $-1044030038.00 | -8.35%            | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                            | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A2 144A     | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7181280 | PA      | $7207476.89     | 0.06%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-50                                                 | FANNIE MAE FNR 2013 50 TS                               | CUSIP: 3136AD5T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3307356 | PA      | $2967610.04     | 0.02%             | 2033-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    24954000 | PA      | $24764769.07    | 0.20%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B A2 144A     | CUSIP: 02007G4B6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2369100 | PA      | $2391804.93     | 0.02%             | 2032-09-15      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4794 FR 09/55 FIXED 6.5             | CUSIP: 3142GVKG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3552349 | PA      | $3761766.76     | 0.03%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX4075 FR 01/55 FIXED 6               | CUSIP: 31425YQ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      485765 | PA      | $507794.01      | 0.00%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                   | FREDDIE MAC FHR 5069 LI                                 | CUSIP: 3137F9CS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8243224 | PA      | $1169086.19     | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                   | FREDDIE MAC FHR 5069 IK                                 | CUSIP: 3137F9C58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11853917 | PA      | $1586001.89     | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4776                                                   | FREDDIE MAC FHR 4776 SP                                 | CUSIP: 3137F4RD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1530119 | PA      | $217232.33      | 0.00%             | 2048-03-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| ATCLO-2021-17A                                                            | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 17A AR 144A       | CUSIP: 04942FAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1000936.10     | 0.01%             | 2034-10-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3611                                                   | FREDDIE MAC FHR 3611 PO                                 | CUSIP: 31398LSE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41414 | PA      | $37052.01       | 0.00%             | 2034-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5140                                                   | FREDDIE MAC FHR 5140 JI                                 | CUSIP: 3137H24K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3638808 | PA      | $822259.55      | 0.01%             | 2050-12-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ATLANTIC AVENUE 2024-3A LTD                                               | ATLANTIC AVENUE LTD MCCP 2024 3A A 144A                 | CUSIP: 04822JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    21900000 | PA      | $21927375.00    | 0.18%             | 2035-01-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5087                                                   | FREDDIE MAC FHR 5087 IL                                 | CUSIP: 3137FFMC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7893783 | PA      | $1303952.63     | 0.01%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB8157 FN 03/54 FIXED 6                       | CUSIP: 3140QUB39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5584078 | PA      | $5797689.82     | 0.05%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BC7809 FN 04/46 FIXED 4                       | CUSIP: 3140F3VB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4793 | PA      | $4596.95        | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS8674 FN 01/37 FIXED 4                       | CUSIP: 3138WJT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      333793 | PA      | $327063.24      | 0.00%             | 2037-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AO3522 FN 10/40 FIXED 4.5                     | CUSIP: 3138LT4G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60176 | PA      | $60225.21       | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5171                                                   | FREDDIE MAC FHR 5171 AI                                 | CUSIP: 3137H4HW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28677776 | PA      | $4631297.38     | 0.04%             | 2050-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA COMM MTGE INC 2006-4                                      | BANC OF AMERICA COMMERCIAL MOR BACM 2006 4 C            | CUSIP: 05950WAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      332523 | PA      | $329446.79      | 0.00%             | 2046-07-10      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2301 FN 05/45 FIXED VAR                     | CUSIP: 3140W2RX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31909798 | PA      | $33066621.69    | 0.26%             | 2045-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9656 FN 12/54 FIXED 5.5                     | CUSIP: 3140QVWS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10592753 | PA      | $10857876.52    | 0.09%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                                          | TOWD POINT MORTGAGE TRUST TPMT 2024 4 A1A 144A          | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21543312 | PA      | $21598251.54    | 0.17%             | 2064-10-27      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-130                                                | FANNIE MAE FNR 2013 130 IO                              | CUSIP: 3136AHJ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      980307 | PA      | $7432.89        | 0.00%             | 2044-01-25      | Variable      | 0.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AN8717 FN 03/28 FIXED 3.02                    | CUSIP: 3138LMVK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6617000 | PA      | $6473953.76     | 0.05%             | 2028-03-01      | Fixed         | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7SBA0 PIMCO SWAPTION 5.5 PUT USD 20251216           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -354400000 | NC      | $-35.44         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB8697 FN 07/54 FIXED 5.5                     | CUSIP: 3140AJUX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3970803 | PA      | $4064237.84     | 0.03%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5003                                                   | FREDDIE MAC FHR 5003 DS                                 | CUSIP: 3137FVJG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5646546 | PA      | $782291.16      | 0.01%             | 2050-08-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY11 A1       | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1456733 | PA      | $1377613.54     | 0.01%             | 2036-06-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FD          | CUSIP: 38382Y5F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4240681 | PA      | $4290964.38     | 0.03%             | 2073-05-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-9                                                  | FANNIE MAE FNR 2012 9 TE                                | CUSIP: 3136A3F55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      158043 | PA      | $152102.55      | 0.00%             | 2041-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                                | SANDSTONE PEAK LTD. SAND 2021 1A A1R 144A               | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18500000 | PA      | $18541625.00    | 0.15%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-53                                                 | FANNIE MAE FNR 2010 53 ZJ                               | CUSIP: 31398R3N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100591 | PA      | $98074.77       | 0.00%             | 2040-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/1.75000 06/15/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $166536129.27   | 1.33%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8420 FR 04/54 FIXED 5.5             | CUSIP: 3132DWK93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    48463808 | PA      | $48907855.69    | 0.39%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYMT LOAN TRUST 2024-INV1                                                 | NEW YORK MORTGAGE TRUST NYMT 2024 INV1 A1 144A          | CUSIP: 62956XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4570349 | PA      | $4591785.02     | 0.04%             | 2069-06-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| CASCADE MH ASSET TRUST 2024-MH1                                           | CASCADE MH ASSET TRUST CMHAT 2024 MH1 A1 144A           | CUSIP: 14731VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1371643 | PA      | $1413200.46     | 0.01%             | 2056-11-25      | Variable      | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.25000 03/20/24-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5389390.23    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CRSNT TRUST 2021-MOON                                                     | CRSNT TRUST CRSNT 2021 MOON C 144A                      | CUSIP: 22877LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10913000 | PA      | $10755319.15    | 0.09%             | 2036-04-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL U50008 FG 08/30 FIXED 4.5             | CUSIP: 3132FPAH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49600 | PA      | $49731.18       | 0.00%             | 2030-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF4 LLC                                                        | PRP ADVISORS, LLC PRPM 2025 RCF4 A1 144A                | CUSIP: 69382WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4093222 | PA      | $4054987.82     | 0.03%             | 2055-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797RP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      272000 | PA      | $270554.77      | 0.00%             | 2025-11-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                      | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST B 144A    | CUSIP: 05555XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $8851184.00     | 0.07%             | 2052-08-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| BCP TRUST 2021-330N                                                       | BCP TRUST BCP 2021 330N D 144A                          | CUSIP: 05553BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12750000 | PA      | $4000567.50     | 0.03%             | 2038-06-15      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2468 FR 09/55 FIXED 5.5             | CUSIP: 31427PW67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    30040075 | PA      | $30742254.24    | 0.25%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.6766* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-9528.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2024-2                                       | DRIVE AUTO RECEIVABLES TRUST DRIVE 2024 2 B             | CUSIP: 26207AAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    20000000 | PA      | $20073100.00    | 0.16%             | 2029-07-16      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AC5848 FN 05/40 FIXED 4.5                     | CUSIP: 31417SQA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      776331 | PA      | $776710.68      | 0.01%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAI9A1 PIMCO SWAPTION 2.7 CALL USD 20260323          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   114300000 | NC      | $214369.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 LLC                                                        | PRP ADVISORS, LLC PRPM 2024 RCF2 A1 144A                | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1657542 | PA      | $1624894.35     | 0.01%             | 2054-03-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| FHR-5023                                                                  | FREDDIE MAC FHR 5023 BI                                 | CUSIP: 3137FWUP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18359905 | PA      | $2415219.80     | 0.02%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AN9215 FN 05/28 FIXED 3.43                    | CUSIP: 3138LNGZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9728000 | PA      | $9609314.61     | 0.08%             | 2028-05-01      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-8                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 8 A 144A       | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2019656 | PA      | $2028707.29     | 0.02%             | 2032-01-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 166 SA          | CUSIP: 38379FDK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      703782 | PA      | $31857.88       | 0.00%             | 2042-06-20      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-1A                                               | AFFIRM MASTER TRUST AFRMT 2025 1A A 144A                | CUSIP: 00833BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    25800000 | PA      | $26020644.18    | 0.21%             | 2033-02-15      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-4                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 4 2A1         | CUSIP: 073882AC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      116746 | PA      | $103065.39      | 0.00%             | 2036-10-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0167 FN 02/57 FIXED 3                       | CUSIP: 3140FXFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13539105 | PA      | $11985113.43    | 0.10%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-6                                                  | FANNIE MAE FNR 2015 6 IN                                | CUSIP: 3136AMXJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3623693 | PA      | $175664.67      | 0.00%             | 2043-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB6673 FN 06/54 FIXED 7                       | CUSIP: 3140AGMX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      329556 | PA      | $346278.04      | 0.00%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA7152 FN 02/54 FIXED 6.5                     | CUSIP: 3140A75N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      746167 | PA      | $783487.07      | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-2 LTD                                        | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 2A A1R 144A     | CUSIP: 05684RAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13200000 | PA      | $13217397.20    | 0.11%             | 2034-07-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 C 144A   | CUSIP: 46653DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29900000 | PA      | $18609030.44    | 0.15%             | 2036-03-15      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-2                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 2 C 144A       | CUSIP: 69545GAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6999265 | PA      | $7045727.29     | 0.06%             | 2032-10-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-119                                                       | FANNIE MAE FNR 2006 119 SW                              | CUSIP: 31396LM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22806 | PA      | $25283.56       | 0.00%             | 2036-12-25      | Floating      | 7.64%                 | 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        |    10581271 | PA      | $9356783.85     | 0.07%             | 2038-01-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 386                                             | FANNIEMAE STRIP FNS 386 14                              | CUSIP: 3136FFSR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      164649 | PA      | $37030.75       | 0.00%             | 2038-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        4597 | NC      | $1338661.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 390                                                    | FREDDIEMAC STRIP FHS 390 C28                            | CUSIP: 31325YX86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4020770 | PA      | $867408.42      | 0.01%             | 2052-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MFA 2023-INV2 TRUST                                                       | MFRA TRUST MFRA 2023 INV2 A1 144A                       | CUSIP: 59319BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4156606 | PA      | $4205541.83     | 0.03%             | 2058-10-25      | Variable      | 6.78%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-123                                                | FANNIE MAE FNR 2012 123 ES                              | CUSIP: 3136A9YV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1678265 | PA      | $1460986.20     | 0.01%             | 2042-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4070 FN 03/38 FIXED VAR                     | CUSIP: 3140J8QY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1523054 | PA      | $1471765.03     | 0.01%             | 2038-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-84                                                 | FANNIE MAE FNR 2020 84 LI                               | CUSIP: 3136BC5Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    74021546 | PA      | $11450800.14    | 0.09%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5203                                                   | FREDDIE MAC FHR 5203 SA                                 | CUSIP: 3137H6KL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15131003 | PA      | $356383.53      | 0.00%             | 2052-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4136                                                   | FREDDIE MAC FHR 4136 IO                                 | CUSIP: 3137AWHG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      624969 | PA      | $13053.23       | 0.00%             | 2027-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-11                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 11 1A1         | CUSIP: 86364YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1854936 | PA      | $1584201.60     | 0.01%             | 2037-12-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE9727 FN 05/37 FIXED 4                       | CUSIP: 3140FVYZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      548049 | PA      | $541941.38      | 0.00%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4238                                                   | FREDDIE MAC FHR 4238 PS                                 | CUSIP: 3137B4EG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2392776 | PA      | $346045.89      | 0.00%             | 2043-08-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                        | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A4          | CUSIP: 55275RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1939235 | PA      | $928756.17      | 0.01%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1          | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102105 | PA      | $88595.04       | 0.00%             | 2047-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YPA0 PIMCO FPPSWAPTION 4.458 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   121400000 | NC      | $6855579.40     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-75                                                 | FANNIE MAE FNR 2020 75 JI                               | CUSIP: 3136BCJE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14114836 | PA      | $2356377.23     | 0.02%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-146                                                | FANNIE MAE FNR 2012 146 KI                              | CUSIP: 3136ABGH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2847001 | PA      | $324072.14      | 0.00%             | 2042-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9810 FN 01/55 FIXED 6                       | CUSIP: 3140QV3U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    60748860 | PA      | $63260164.78    | 0.51%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0404A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    74600000 | PA      | $73378728.62    | 0.59%             | 2039-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H08 HF          | CUSIP: 38382Y3K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    67755480 | PA      | $68154993.58    | 0.55%             | 2073-03-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-18N                                                  | LEHMAN XS TRUST LXS 2006 18N A3                         | CUSIP: 52522GAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5263132 | PA      | $5198755.57     | 0.04%             | 2036-12-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3117                                                          | FREDDIE MAC FHR 3117 OK                                 | CUSIP: 31396HVU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29379 | PA      | $25882.21       | 0.00%             | 2036-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3298                                                   | FREDDIE MAC FHR 3298 OE                                 | CUSIP: 31397GG87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61768 | PA      | $55826.60       | 0.00%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX5294 FR 02/55 FIXED 6               | CUSIP: 31426A3C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1303472 | PA      | $1355346.11     | 0.01%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 433                                             | FANNIEMAE STRIP FNS 433 C13                             | CUSIP: 31423XYP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4162456 | PA      | $538393.94      | 0.00%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL4                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL4 A1A 144A | CUSIP: 16160NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7628129 | PA      | $6918413.42     | 0.06%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-362                                                      | FREDDIEMAC STRIP FHS 362 C9                             | CUSIP: 31325W4U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13956575 | PA      | $2478399.19     | 0.02%             | 2047-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-20                                                 | FANNIE MAE FNR 2016 20 EI                               | CUSIP: 3136ARXE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      136528 | PA      | $13776.52       | 0.00%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $20900495.88    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV D 144A       | CUSIP: 12660WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $3344783.00     | 0.03%             | 2038-07-15      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0497 FN 07/60 FIXED 3                       | CUSIP: 3140FXRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25555879 | PA      | $22368038.15    | 0.18%             | 2060-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-164                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 164 WI          | CUSIP: 38380KJB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3261254 | PA      | $190933.69      | 0.00%             | 2046-11-20      | Floating      | 0.11%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTG INV TRUST 2005-1                                        | AMERICAN HOME MORTGAGE INVESTM AHM 2005 1 M1            | CUSIP: 02660TDM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5304128 | PA      | $4985720.59     | 0.04%             | 2045-06-25      | Floating      | 5.29%                 | 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        |     2462847 | PA      | $2444419.74     | 0.02%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF4                                        | STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A   | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      753543 | PA      | $632908.52      | 0.01%             | 2036-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA2484 FN 12/45 FIXED 4                       | CUSIP: 31418BXN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12001 | PA      | $11554.92       | 0.00%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0333 FN 01/55 FIXED VAR                     | CUSIP: 3140W0LP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1574681 | PA      | $1599773.55     | 0.01%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 1.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0124A1<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -9500000 | PA      | $-8501944.16    | -0.07%            | 2040-10-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX2553 FR 01/55 FIXED 5.5             | CUSIP: 31425WZT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3466702 | PA      | $3518782.39     | 0.03%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                      | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM D 144A    | CUSIP: 05549RAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9060000 | PA      | $7836763.19     | 0.06%             | 2037-07-15      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-OPT1                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 OPT1 A1        | CUSIP: 59022VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7831993 | PA      | $7201904.00     | 0.06%             | 2037-08-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-9                                           | JP MORGAN MORTGAGE TRUST JPMMT 2024 9 A11 144A          | CUSIP: 46593DAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9696420 | PA      | $9723246.66     | 0.08%             | 2055-02-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-5                                          | AEGIS ASSET BACKED SECURITIES AABST 2004 5 M2           | CUSIP: 00764MDH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4574484 | PA      | $4163013.57     | 0.03%             | 2034-12-25      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-31                                                 | FANNIE MAE FNR 2013 31 YI                               | CUSIP: 3136ADFK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1001783 | PA      | $18509.85       | 0.00%             | 2028-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD1 M1 144A     | CUSIP: 126670VP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      294002 | PA      | $293158.02      | 0.00%             | 2036-02-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM10 TRUST                                                      | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM10 A1 144A         | CUSIP: 67449CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6387224 | PA      | $6466187.71     | 0.05%             | 2063-10-25      | Fixed         | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    68700000 | NC      | $3578363.16     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2025-SF1                                      | SBNA AUTO RECEIVABLES TRUST SBAT 2025 SF1 B 144A        | CUSIP: 78437XAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2141411 | PA      | $2144116.08     | 0.02%             | 2031-03-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BT9206 GN 04/50 FIXED 3.5                     | CUSIP: 3617MYGP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      181298 | PA      | $166153.02      | 0.00%             | 2050-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                  | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF B 144A     | CUSIP: 61691KAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2453679.75     | 0.02%             | 2034-11-15      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7501 FR 07/49 FIXED 4               | CUSIP: 3132DVKN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      736812 | PA      | $710162.28      | 0.01%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-A                                             | OPORTUN FUNDING LLC OPTN 2025 A A 144A                  | CUSIP: 68377TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5100000 | PA      | $5107963.14     | 0.04%             | 2033-02-08      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2006-R2                                    | AMERIQUEST MORTGAGE SECURITIES AMSI 2006 R2 M3          | CUSIP: 03072SZ99<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12700000 | PA      | $11789901.49    | 0.09%             | 2036-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q19615 FG 07/43 FIXED 4               | CUSIP: 3132JBDV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48824 | PA      | $47533.80       | 0.00%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA5561 FN 04/50 FIXED 3.5                     | CUSIP: 3140QDFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5777416 | PA      | $5369193.58     | 0.04%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2001-M2                                                   | FANNIEMAE ACES FNA 2001 M2 Z2                           | CUSIP: 313920HM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10866 | PA      | $10817.26       | 0.00%             | 2031-06-25      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-109                                                | FANNIE MAE FNR 2013 109 BO                              | CUSIP: 3136AGRJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1889799 | PA      | $1097171.23     | 0.01%             | 2043-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3862 FN 01/38 FIXED 3                       | CUSIP: 3140H5JG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4217040 | PA      | $3977752.05     | 0.03%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA3035 G2 08/45 FIXED 4                    | CUSIP: 36179RLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1031781 | PA      | $988992.85      | 0.01%             | 2045-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.72136 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-17751.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                                           | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A            | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      746454 | PA      | $754554.91      | 0.01%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES9                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES9 A1A 144A     | CUSIP: 74942JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22500000 | PA      | $22460735.93    | 0.18%             | 2055-09-25      | Fixed         | 4.79%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AX4341 G2 10/46 FIXED 3.5                  | CUSIP: 36196FZE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21893 | PA      | $20254.20       | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-12                                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 12 1A1A       | CUSIP: 41161PVF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16824215 | PA      | $7882930.56     | 0.06%             | 2035-10-19      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H08                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H08 FC          | CUSIP: 38383KYQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      321299 | PA      | $321192.62      | 0.00%             | 2074-05-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5009                                                   | FREDDIE MAC FHR 5009 NI                                 | CUSIP: 3137FWEG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29572467 | PA      | $4989537.65     | 0.04%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-73                                                 | FANNIE MAE FNR 2015 73 ES                               | CUSIP: 3136AP7M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      584450 | PA      | $388809.15      | 0.00%             | 2045-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4826 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16995140 | PA      | $17372719.33    | 0.14%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4150                                                   | FREDDIE MAC FHR 4150 HS                                 | CUSIP: 3137AY4T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1888579 | PA      | $1050942.13     | 0.01%             | 2043-01-15      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-3 LTD                                        | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 3A AR 144A      | CUSIP: 05683NAJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11600000 | PA      | $11615655.94    | 0.09%             | 2034-07-24      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX4                                      | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX4 A4        | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6324693 | PA      | $6245669.53     | 0.05%             | 2036-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H01                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H01 FL          | CUSIP: 38380LPU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2236967 | PA      | $2236477.30     | 0.02%             | 2068-12-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    52750000 | PA      | $51172364.61    | 0.41%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GREYWOLF CLO III LTD 2020-3RA                                             | GREYWOLF CLO LTD GWOLF 2020 3RA A1R2 144A               | CUSIP: 39809CAY0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18431635 | PA      | $18480658.77    | 0.15%             | 2033-04-22      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-2                                | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 2 M1 144A       | CUSIP: 85573HAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6564000 | PA      | $5909357.84     | 0.05%             | 2065-05-25      | Variable      | 2.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL V84392 FG 06/48 FIXED 4.5             | CUSIP: 3132L92Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39543 | PA      | $39095.71       | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | 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        |     3935517 | PA      | $3985191.87     | 0.03%             | 2037-10-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G07335 FG 03/39 FIXED 7               | CUSIP: 3128M9PU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11346 | PA      | $11959.63       | 0.00%             | 2039-03-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-50                                                 | FANNIE MAE FNR 2007 50 WS                               | CUSIP: 31396V6E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      188624 | PA      | $17914.69       | 0.00%             | 2037-06-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-25                                                 | FANNIE MAE FNR 2019 25 PS                               | CUSIP: 3136B4ZD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4536358 | PA      | $528914.84      | 0.00%             | 2049-06-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                             | BSST MORTGAGE TRUST BSST 2021 1818 D 144A               | CUSIP: 07403PAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    32020000 | PA      | $9603636.92     | 0.08%             | 2036-03-15      | Floating      | 6.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH2185 FN 06/47 FIXED 4                       | CUSIP: 3140GQNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       85545 | PA      | $81973.90       | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 D 144A       | CUSIP: 39571MAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4630189 | PA      | $4806162.72     | 0.04%             | 2059-06-25      | Fixed         | 7.33%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A4 144A    | CUSIP: 14688GAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4270000 | PA      | $4382164.79     | 0.04%             | 2029-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2016-43A                                          | DRYDEN SENIOR LOAN FUND DRSLF 2016 43A AR3 144A         | CUSIP: 26245CBQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1001000.00     | 0.01%             | 2034-04-20      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL5 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL5 AS 144A     | CUSIP: 55282XAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    10455353 | PA      | $10452516.12    | 0.08%             | 2036-07-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-1A                                                        | RCKT TRUST RCKTL 2025 1A A 144A                         | CUSIP: 74939RAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1942280 | PA      | $1947051.31     | 0.02%             | 2034-07-25      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A2         | CUSIP: 590238AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10083710 | PA      | $3950254.98     | 0.03%             | 2047-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS1                                    | MILL CITY MORTGAGE TRUST MCMLT 2019 GS1 A1 144A         | CUSIP: 59981BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1231804 | PA      | $1208447.48     | 0.01%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                       | SAXON ASSET SECURITIES TRUST SAST 2005 3 M3             | CUSIP: 805564SU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      233261 | PA      | $232384.75      | 0.00%             | 2035-11-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-176                                                      | FREDDIEMAC STRIP FHS 176 PO                             | CUSIP: 31282XVL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         193 | PA      | $190.10         | 0.00%             | 2026-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4367                                                   | FREDDIE MAC FHR 4367 GS                                 | CUSIP: 3137BCL55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      174298 | PA      | $9696.79        | 0.00%             | 2037-03-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ABX.HE.AAA.06-2 SP BRC                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-16235.24      | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM3123 FN 04/37 FIXED VAR                     | CUSIP: 3140J7PH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2472790 | PA      | $2458764.49     | 0.02%             | 2037-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM7534 FN 04/50 FIXED VAR                     | CUSIP: 3140XBLQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2452550 | PA      | $2267011.22     | 0.02%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $772414.37      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-45                                                 | FANNIE MAE FNR 2016 45 AS                               | CUSIP: 3136ASXT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3558457 | PA      | $433374.50      | 0.00%             | 2046-07-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q010         | BANC OF CALIFORNIA MULTIFAMILY FHMS Q010 APT3           | CUSIP: 3137FMUL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1025799 | PA      | $1017840.62     | 0.01%             | 2046-10-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3962                                                   | FREDDIE MAC FHR 3962 KS                                 | CUSIP: 3137AJKA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      389486 | PA      | $23668.57       | 0.00%             | 2038-06-15      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS9644 FN 05/37 FIXED 4                       | CUSIP: 3138WKWE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1027243 | PA      | $1015893.83     | 0.01%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-37                                                        | FANNIE MAE FNR 2020 37 IA                               | CUSIP: 3136B9T56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1940732 | PA      | $375789.85      | 0.00%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-58                                                 | FANNIE MAE FNR 2015 58 AI                               | CUSIP: 3136APU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      529170 | PA      | $30385.02       | 0.00%             | 2055-08-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RDI5 OTC EPUT FN 6.0 OCT25 99.640625 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    65000000 | NC      | $0.65           | 0.00%             |  |  |  | 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        |    19041237 | PA      | $18978284.51    | 0.15%             | 2060-12-27      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3785                                                   | FREDDIE MAC FHR 3785 LS                                 | CUSIP: 3137A5L77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      524833 | PA      | $490845.15      | 0.00%             | 2041-01-15      | Floating      | 0.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS7211 FN 02/54 FIXED VAR                     | CUSIP: 3140XPAM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19412939 | PA      | $20292685.62    | 0.16%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MFA 2021-AEINV2 TRUST                                                     | MFRA TRUST MFRA 2021 AEI2 AX3 144A                      | CUSIP: 55284CBS2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    27514645 | PA      | $4159919.96     | 0.03%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 444                                             | FANNIEMAE STRIP FNS 444 C8                              | CUSIP: 31424VC44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7815264 | PA      | $1064473.14     | 0.01%             | 2052-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A A 144A           | CUSIP: ACI0Y9KL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     5336669 | PA      | $7203122.06     | 0.06%             | 2049-12-21      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-B                                            | FREMONT HOME LOAN TRUST FHLT 2005 B M5                  | CUSIP: 35729PJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4174784 | PA      | $4051905.78     | 0.03%             | 2035-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA                           | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AURA A 144A    | CUSIP: 95004VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10300000 | PA      | $10274250.00    | 0.08%             | 2042-10-15      | Floating      | 5.69%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 12/17/25-2Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1998094.34     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7650 G2 10/51 FIXED 3                    | CUSIP: 36179WQB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1170903 | PA      | $1047011.03     | 0.01%             | 2051-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB0964 FN 04/54 FIXED 6                       | CUSIP: 3140AACA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1461426 | PA      | $1497225.41     | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0278 FN 04/55 FIXED 6.5                     | CUSIP: 3140Y6JY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21137123 | PA      | $22190054.41    | 0.18%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B E 144A      | CUSIP: 02007G4F7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1842633 | PA      | $1862979.09     | 0.01%             | 2032-09-15      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS3838 FN 05/49 FIXED VAR                     | CUSIP: 3140XKHQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16021546 | PA      | $15582576.33    | 0.12%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6676 FN 07/53 FIXED 6                       | CUSIP: 3140QSM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      976005 | PA      | $1010628.39     | 0.01%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8644 G2 02/53 FIXED 3.5                  | CUSIP: 36179XS98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      397404 | PA      | $365290.38      | 0.00%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2004-OPT5                                      | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A4        | CUSIP: 04542BKB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5259595 | PA      | $5313262.99     | 0.04%             | 2034-06-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL1                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL1 A1 144A   | CUSIP: 69392FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1877198 | PA      | $1824705.73     | 0.01%             | 2069-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 003515 G2 02/34 FIXED 5.5                  | CUSIP: 36202D3Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1015 | PA      | $1047.18        | 0.00%             | 2034-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-80                                                 | FANNIE MAE FNR 2019 80 ES                               | CUSIP: 3136B74R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1565029 | PA      | $201257.61      | 0.00%             | 2050-01-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2007-AR1                                       | GREENPOINT MORTGAGE FUNDING TR GPMF 2007 AR1 3A3        | CUSIP: 39539KAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6973814 | PA      | $6672264.32     | 0.05%             | 2037-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-3                                                  | FANNIE MAE FNR 2021 3 DI                                | CUSIP: 3136BDYF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17716562 | PA      | $2284387.68     | 0.02%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-84                                                 | FANNIE MAE FNR 2015 84 CI                               | CUSIP: 3136AQRG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      473504 | PA      | $69778.60       | 0.00%             | 2045-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-92                                                 | FANNIE MAE FNR 2014 92 SB                               | CUSIP: 3136AMEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      444544 | PA      | $24548.40       | 0.00%             | 2045-01-25      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    68700000 | NC      | $4463177.94     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3B       | CUSIP: 17311XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2209067 | PA      | $1628411.55     | 0.01%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 M1 144A       | CUSIP: 85573RAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9324000 | PA      | $6998534.73     | 0.06%             | 2066-11-25      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| 522 FUNDING CLO 2020-6 LTD                                                | 522 FUNDING CLO LTD MORGN 2020 6A A1R2 144A             | CUSIP: 33835AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4600000 | PA      | $4608263.30     | 0.04%             | 2034-10-23      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC4                       | BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC4 M2        | CUSIP: 07384YKJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       86547 | PA      | $52551.32       | 0.00%             | 2033-09-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2011-H01                                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H01 AF          | CUSIP: 38375BJN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      113775 | PA      | $113746.54      | 0.00%             | 2060-11-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BP3476 FN 06/51 FIXED 3                       | CUSIP: 3140KA2J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1469420 | PA      | $1309214.82     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV2 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV2 A3 144A     | CUSIP: 12659TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5598270 | PA      | $4861843.26     | 0.04%             | 2056-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE3619 FN 05/47 FIXED 4                       | CUSIP: 3140FPAV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26859341 | PA      | $25837868.68    | 0.21%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE7380 FN 01/47 FLOATING VAR                  | CUSIP: 3140FTFW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       99980 | PA      | $98379.54       | 0.00%             | 2047-01-01      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-1                                             | OPORTUN FUNDING LLC OPTN 2025 1 A 144A                  | CUSIP: 68377PAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3632011 | PA      | $3637052.59     | 0.03%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-1 TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 1 A 144A       | CUSIP: 83406YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5328485 | PA      | $5356616.95     | 0.04%             | 2034-02-27      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DE8092 FN 08/55 FIXED 5.5                     | CUSIP: 3140BL7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      999086 | PA      | $1020078.02     | 0.01%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2019-R1                                                         | CIM TRUST CIM 2019 R1 A 144A                            | CUSIP: 12555VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2760312 | PA      | $2533264.49     | 0.02%             | 2058-10-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-84                                                 | FANNIE MAE FNR 2013 84 PS                               | CUSIP: 3136AF5D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      855630 | PA      | $71557.63       | 0.00%             | 2042-11-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-11                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 11 3AV3         | CUSIP: 12666TAK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3809649 | PA      | $3662196.10     | 0.03%             | 2046-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U5SFA8 PIMCO SWAPTION 5.5 PUT USD 20251017           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   186000000 | NC      | $18.60          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME PARTNERS OF AMERICA TRUST 2021-2                                     | HOME PARTNERS OF AMERICA TRUST HPA 2021 2 A 144A        | CUSIP: 43732VAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7773349 | PA      | $7551841.22     | 0.06%             | 2026-12-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| VMC FINANCE 2021-FL4 LLC                                                  | VMC FINANCE LLC VMC 2021 FL4 C 144A                     | CUSIP: 91835RAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2895583.95     | 0.02%             | 2036-06-16      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-4                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 4 A4            | CUSIP: 026934AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5195876 | PA      | $4725128.58     | 0.04%             | 2037-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX4041 FR 01/55 FIXED 6               | CUSIP: 31425YP35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2091603 | PA      | $2170712.69     | 0.02%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5188 FR 10/42 FIXED 4               | CUSIP: 3133KYXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      128114 | PA      | $125302.92      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5458                                                   | FREDDIE MAC FHR 5458 SA                                 | CUSIP: 3137HFY66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    47764276 | PA      | $3633528.75     | 0.03%             | 2054-09-25      | Floating      | 0.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE9                                     | MORGAN STANLEY CAPITAL INC MSAC 2004 HE9 M1             | CUSIP: 61744CJT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1610560 | PA      | $1553835.23     | 0.01%             | 2034-11-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ1991 FN 12/29 FIXED 4.4                     | CUSIP: 3140NWF91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24838889 | PA      | $25130241.43    | 0.20%             | 2029-12-01      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4388                                                   | FREDDIE MAC FHR 4388 WS                                 | CUSIP: 3137BDGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      942746 | PA      | $121706.66      | 0.00%             | 2042-08-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5             | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      272803 | PA      | $282591.55      | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2011-98                                                        | FANNIE MAE FNR 2011 98 SL                               | CUSIP: 3136A1GP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15569 | PA      | $62.65          | 0.00%             | 2026-10-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| T-MOBILE US TRUST 2024-2A                                                 | T MOBILE US TRUST TMUST 2024 2A A 144A                  | CUSIP: 87268CAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7700000 | PA      | $7734767.04     | 0.06%             | 2029-05-21      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GOODGREEN TRUST 2018-1A                                                   | GOODGREEN TRUST GOODG 2018 1A A 144A                    | CUSIP: 38218GAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     4220320 | PA      | $3907124.28     | 0.03%             | 2053-10-15      | Variable      | 3.93%                 | No            |                  2 | On Loan: No      |
| VCAT 2025-NPL1 LLC                                                        | VCAT ASSET SECURITIZATION, LLC VCAT 2025 NPL1 A1 144A   | CUSIP: 921962AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3619045 | PA      | $3629505.63     | 0.03%             | 2055-01-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 1A1        | CUSIP: 12668ACG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123453 | PA      | $117619.77      | 0.00%             | 2035-11-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GLOBAL MORTGAGE SECURITIZATION LTD 2005-A                                 | GLOBAL MORTGAGE SECURITIZATION GMSL 2005 A A2 144A      | CUSIP: 378961AQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |      362888 | PA      | $353806.18      | 0.00%             | 2032-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 440                                             | FANNIEMAE STRIP FNS 440 C46                             | CUSIP: 31424U8A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    44185835 | PA      | $9479878.69     | 0.08%             | 2053-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4976                                                   | FREDDIE MAC FHR 4976 DI                                 | CUSIP: 3137FTAM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8125666 | PA      | $1543884.72     | 0.01%             | 2050-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XLVI LTD 2020-46A                                    | MADISON PARK FUNDING LTD MDPK 2020 46A ARR 144A         | CUSIP: 55822AAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    31900000 | PA      | $31933495.00    | 0.26%             | 2034-10-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-6                                       | RBSSP RESECURITIZATION TRUST RBSSP 2009 6 17A3 144A     | CUSIP: 74928XDE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88939 | PA      | $79236.58       | 0.00%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-83                                                 | FANNIE MAE FNR 2013 83 UO                               | CUSIP: 3136AFU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      404965 | PA      | $210623.04      | 0.00%             | 2043-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A A2 144A         | CUSIP: 36270YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4065898 | PA      | $4069210.53     | 0.03%             | 2027-10-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QH1527 FR 09/53 FIXED 5               | CUSIP: 3133CDVU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2081956 | PA      | $2088515.37     | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2638 FR 06/55 FIXED 6.5             | CUSIP: 31427P4Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2800552 | PA      | $2966074.59     | 0.02%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL1505 FR 06/55 FIXED 6.5             | CUSIP: 31427NU72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5952848 | PA      | $6271552.52     | 0.05%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-3                                                  | FANNIE MAE FNR 2021 3 TI                                | CUSIP: 3136BDR42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    42340728 | PA      | $7244269.84     | 0.06%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                  | FANNIE MAE FNR 2013 6 ES                                | CUSIP: 3136ABL84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1357518 | PA      | $1186551.53     | 0.01%             | 2033-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL1 LLC                                                        | PRP ADVISORS, LLC PRPM 2024 RPL1 A1 144A                | CUSIP: 69380XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2084599 | PA      | $2058662.00     | 0.02%             | 2064-12-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8627 FN 07/54 FIXED VAR                     | CUSIP: 3140XQSR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2993266 | PA      | $3135186.25     | 0.03%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0279 FN 04/55 FIXED 6.5                     | CUSIP: 3140Y6JZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24879269 | PA      | $26123629.86    | 0.21%             | 2055-04-01      | Fixed         | 6.50%                 | 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        |      343805 | PA      | $334613.78      | 0.00%             | 2034-11-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BX5455 FN 01/53 FIXED 6                       | CUSIP: 3140NABZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1279409 | PA      | $1313381.01     | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC2381 FR 06/51 FIXED 3               | CUSIP: 3133ALUE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      663135 | PA      | $593572.03      | 0.00%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.00000 12/21/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $29816338.22    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV6                       | BAYVIEW OPPORTUNITY MASTER FUN BVINV 2021 6 AF 144A     | CUSIP: 07335UAU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1074214 | PA      | $999949.39      | 0.01%             | 2051-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-2                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 2 1A            | CUSIP: 1266713T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2227716 | PA      | $2199490.83     | 0.02%             | 2034-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4068                                                   | FREDDIE MAC FHR 4068 DS                                 | CUSIP: 3137ARMT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4766756 | PA      | $541319.97      | 0.00%             | 2042-06-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $8631.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2024-RCF4                                                | PRP ADVISORS, LLC PRPM 2024 RCF4 A1 144A                | CUSIP: 74448JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      722690 | PA      | $713209.51      | 0.01%             | 2054-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4731                                                   | FREDDIE MAC FHR 4731 TK                                 | CUSIP: 3137FBQY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      339275 | PA      | $279390.50      | 0.00%             | 2042-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 363                                                    | FREDDIEMAC STRIP FHS 363 C6                             | CUSIP: 31325XBP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1209731 | PA      | $183374.33      | 0.00%             | 2048-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFA 2021-RPL1 TRUST                                                       | MFRA TRUST MFRA 2021 RPL1 M2 144A                       | CUSIP: 55283QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1372000 | PA      | $1152069.36     | 0.01%             | 2060-07-25      | Variable      | 2.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH2718 FN 05/47 FIXED 4                       | CUSIP: 3140GRAU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      722437 | PA      | $694921.82      | 0.01%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2004-1                                                   | MORTGAGEIT TRUST MHL 2004 1 A1                          | CUSIP: 61913PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       78819 | PA      | $76703.18       | 0.00%             | 2034-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-45                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 45 SG           | CUSIP: 38381TYZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9631100 | PA      | $1097953.11     | 0.01%             | 2049-04-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM4 TRUST                                                       | MFRA TRUST MFRA 2023 NQM4 A1 144A                       | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3486989 | PA      | $3519601.45     | 0.03%             | 2068-12-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-17                                            | COUNTRYWIDE HOME LOANS CWHL 2007 17 2A1                 | CUSIP: 12544KAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9603126 | PA      | $2691992.39     | 0.02%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-85                                                 | FANNIE MAE FNR 2020 85 IJ                               | CUSIP: 3136BCU99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8504204 | PA      | $1131518.38     | 0.01%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-14                                                        | FANNIE MAE FNR 2007 14 OP                               | CUSIP: 31396PE72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2048 | PA      | $1805.96        | 0.00%             | 2037-03-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS MORTGAGE FUNDING TRUST2006-AR2                               | BEAR STEARNS MORTGAGE FUNDING BSMF 2006 AR2 2A1         | CUSIP: 07401AAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       74796 | PA      | $70078.70       | 0.00%             | 2046-09-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2549 FR 05/55 FIXED 6               | CUSIP: 31426LZP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2613823 | PA      | $2705943.88     | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U5W2A3 PIMCO SWAPTION 6.0 PUT USD 20251103           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   202100000 | NC      | $20.21          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4104                                                   | FREDDIE MAC FHR 4104 F                                  | CUSIP: 3137ATT36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      957856 | PA      | $940028.22      | 0.01%             | 2042-09-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4851                                                   | FREDDIE MAC FHR 4851 PF                                 | CUSIP: 3137FKAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23303785 | PA      | $22392002.99    | 0.18%             | 2057-08-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| PK ALIFT LOAN FUNDING 4 LP 2024-2                                         | PK ALIFT LOAN FUNDING PKAIR 2024 2 A 144A               | CUSIP: 69381EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6282815 | PA      | $6297968.10     | 0.05%             | 2039-10-15      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| BANCO LA HIPOTECARIA SA 2016-1A                                           | LA HIPOTECARIA SA LHIPO 2016 1A A 144A                  | CUSIP: 50346VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | PA        |     4000710 | PA      | $3694603.24     | 0.03%             | 2046-01-15      | Fixed         | 3.36%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2006-113                                                | FANNIE MAE FNR 2006 113 SA                              | CUSIP: 31396LZ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      265086 | PA      | $20259.00       | 0.00%             | 2036-12-25      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-14                                                 | FANNIE MAE FNR 2016 14 IO                               | CUSIP: 3136ARNQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      982562 | PA      | $122342.18      | 0.00%             | 2046-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.6062* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-6471.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 E 144A        | CUSIP: 22545YAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $526417.50      | 0.00%             | 2049-01-15      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TRUST 2005-3                                    | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 3 M6            | CUSIP: 29256PAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3552106 | PA      | $3326140.47     | 0.03%             | 2035-10-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1       | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3030114 | PA      | $2633273.46     | 0.02%             | 2037-01-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3492 FN 10/38 FIXED 4                       | CUSIP: 31418C3A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10729988 | PA      | $10560381.83    | 0.08%             | 2038-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-47                                                 | FANNIE MAE FNR 2015 47 GI                               | CUSIP: 3136APDE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87073 | PA      | $4710.49        | 0.00%             | 2044-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 770823 G2 01/42 FIXED 4.5                  | CUSIP: 36176ND40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      105795 | PA      | $103970.56      | 0.00%             | 2042-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2007-QS8                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS8 A2         | CUSIP: 74922UAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2151620 | PA      | $259555.97      | 0.00%             | 2037-06-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| GPMT LLC 2021-FL3                                                         | GPMT LTD. GPMT 2021 FL3 AS 144A                         | CUSIP: 36264BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    15000000 | PA      | $14991105.00    | 0.12%             | 2035-07-16      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BC1102 GN 07/47 FIXED 4                       | CUSIP: 3617B4GK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      272612 | PA      | $260081.99      | 0.00%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-138                                                | FANNIE MAE FNR 2012 138 EI                              | CUSIP: 3136AAFB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      940418 | PA      | $17382.96       | 0.00%             | 2027-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AX3230 G2 11/46 FIXED 3.5                  | CUSIP: 36196EST5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      614832 | PA      | $568808.47      | 0.00%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VENTURE XXIX CLO LTD 2017-29A                                             | VENTURE CDO LTD VENTR 2017 29A AR 144A                  | CUSIP: 92331EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2755234 | PA      | $2759308.91     | 0.02%             | 2030-09-07      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD1526 FN 01/55 FIXED 4.5                     | CUSIP: 3140B1VU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      941673 | PA      | $918123.52      | 0.01%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 430                                             | FANNIEMAE STRIP FNS 430 C47                             | CUSIP: 31424QLW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    83114578 | PA      | $7656093.52     | 0.06%             | 2042-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4902                                                   | FREDDIE MAC FHR 4902 CS                                 | CUSIP: 3137FN2Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3350533 | PA      | $487871.08      | 0.00%             | 2049-08-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -73050000 | PA      | $-58895328.69   | -0.47%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 414                                                    | FREDDIEMAC STRIP FHS 414 C18                            | CUSIP: 3142G9U81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23208390 | PA      | $3418017.01     | 0.03%             | 2052-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.66000 09/30/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-87731.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-19                                                 | FANNIE MAE FNR 2015 19 AI                               | CUSIP: 3136ANJM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      857343 | PA      | $42829.18       | 0.00%             | 2055-04-25      | Floating      | 1.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6               | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      973963 | PA      | $996178.79      | 0.01%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-48                                                 | FANNIE MAE FNR 2016 48 SH                               | CUSIP: 3136ATLJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6236599 | PA      | $952004.41      | 0.01%             | 2046-08-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS3698 FN 11/52 FIXED VAR                     | CUSIP: 3140XKDC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34431 | PA      | $35107.63       | 0.00%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 376                                             | FANNIEMAE STRIP FNS 376 2                               | CUSIP: 3136FC2Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2027 | PA      | $90.42          | 0.00%             | 2029-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004308 G2 12/38 FIXED 5                    | CUSIP: 36202EYD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17583 | PA      | $17626.85       | 0.00%             | 2038-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  COMM MTGE SEC 2006-T24                                      | BEAR STEARNS COMMERCIAL MORTGA BSCMS 2006 T24 B 144A    | CUSIP: 07388NAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66639 | PA      | $65501.38       | 0.00%             | 2041-10-12      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q55189 FG 04/48 FIXED 4               | CUSIP: 3132XXXT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      424975 | PA      | $409111.21      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-49                                                 | FANNIE MAE FNR 2019 49 SB                               | CUSIP: 3136B55K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3709936 | PA      | $471280.98      | 0.00%             | 2049-09-25      | Floating      | 1.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9V5A8 PIMCO FPPSWAPTION 4.64 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    64400000 | NC      | $3373664.84     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-AR8                                      | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 AR8 A1        | CUSIP: 94985YAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2092785 | PA      | $1926633.25     | 0.02%             | 2037-11-25      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QF5678 FR 01/53 FIXED 6               | CUSIP: 3133BTJX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      791042 | PA      | $813118.72      | 0.01%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX0519 FR 12/54 FIXED 5.5             | CUSIP: 31425USH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2405501 | PA      | $2474367.06     | 0.02%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5338 FR 03/45 FIXED 6               | CUSIP: 3133KY4X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      462165 | PA      | $473971.49      | 0.00%             | 2045-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4828 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10325719 | PA      | $10564694.55    | 0.08%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-63                                                 | FANNIE MAE FNR 2021 63 CI                               | CUSIP: 3136BGT50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8932224 | PA      | $1790073.16     | 0.01%             | 2050-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3316                                                   | FREDDIE MAC FHR 3316 JO                                 | CUSIP: 31397HKD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1920 | PA      | $1602.69        | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7829 G2 01/52 FIXED 3.5                  | CUSIP: 36179WVW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8034902 | PA      | $7395272.41     | 0.06%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP FNS 426                                         | FANNIEMAE STRIP FNS 426 C26                             | CUSIP: 31422MZN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9019673 | PA      | $1104691.73     | 0.01%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 7 LTD 2019-7A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 7A A 144A      | CUSIP: 03331FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1770587 | PA      | $1766721.88     | 0.01%             | 2037-04-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR11                                                  | BCAP LLC TRUST BCAP 2012 RR11 1A2 144A                  | CUSIP: 05542AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1928215 | PA      | $1748014.40     | 0.01%             | 2037-01-26      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-135                                                       | FANNIE MAE FNR 2010 135 MF                              | CUSIP: 31398SG23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      535909 | PA      | $532792.29      | 0.00%             | 2040-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-ECC1                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 ECC1 M1         | CUSIP: 126673AF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      851109 | PA      | $842257.41      | 0.01%             | 2034-11-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM3 TRUST                                                      | PRP ADVISORS, LLC PRPM 2023 NQM3 A1 144A                | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7672152 | PA      | $7753943.76     | 0.06%             | 2068-11-25      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1051 FN 09/55 FIXED 6.5                     | CUSIP: 3140Y7EZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4799959 | PA      | $5060746.73     | 0.04%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-9                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 9 2A3         | CUSIP: 54251WAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18204723 | PA      | $5694555.77     | 0.05%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                               | WATR ISSUER TRUST WATR 2025 1 C 144A                    | CUSIP: 942611AC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3300000 | PA      | $3310058.90     | 0.03%             | 2050-06-17      | Fixed         | 5.81%                 | No            |                  3 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA3 2A         | CUSIP: 93364AAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      484448 | PA      | $425728.00      | 0.00%             | 2047-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD4486 FN 04/55 FIXED 6                       | CUSIP: 3140B46Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1106231 | PA      | $1152299.49     | 0.01%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV2                                      | VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A      | CUSIP: 92540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3623549 | PA      | $3655289.55     | 0.03%             | 2068-08-25      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| LA HIPOTECARIA SA 2019-1A                                                 | LA HIPOTECARIA SA LHIPO 2019 1A AAA 144A                | CUSIP: 50346WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    21942617 | PA      | $20102691.13    | 0.16%             | 2046-09-29      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $719397.28      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA4563 FN 11/49 FIXED 3.5                     | CUSIP: 3140QCB96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24554593 | PA      | $22899167.38    | 0.18%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 JF          | CUSIP: 38383KVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3821164 | PA      | $3822217.26     | 0.03%             | 2074-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                   | ACHV ABS TRUST ACHV 2025 1PL B 144A                     | CUSIP: 00112MAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      883687 | PA      | $887797.98      | 0.01%             | 2032-04-26      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 782435 GN 09/38 FIXED 4.5                     | CUSIP: 36241KV47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      392545 | PA      | $392423.26      | 0.00%             | 2038-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-23                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 23 CF           | CUSIP: 38381RNK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1054902 | PA      | $1030700.58     | 0.01%             | 2049-02-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                          | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 3A1               | CUSIP: 125438AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      362986 | PA      | $332023.89      | 0.00%             | 2047-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| AFFIRM ASSET SECURITIZATION TRUST 2024-X2                                 | AFFIRM INC AFFRM 2024 X2 A 144A                         | CUSIP: 00833QAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2499371 | PA      | $2501748.24     | 0.02%             | 2029-12-17      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2021-2                                 | ELLINGTON FINANCIAL MORTGAGE T EFMT 2021 2 M1 144A      | CUSIP: 31572LAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $1536389.80     | 0.01%             | 2066-06-25      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4385                                                   | FREDDIE MAC FHR 4385 LS                                 | CUSIP: 3137BDTX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2935733 | PA      | $2547676.87     | 0.02%             | 2037-07-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QZ0435 FR 08/55 FIXED 6.5             | CUSIP: 31426WPV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      341303 | PA      | $361422.22      | 0.00%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-50                                                 | FANNIE MAE FNR 2016 50 PI                               | CUSIP: 3136ATDT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2683121 | PA      | $602100.60      | 0.00%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4315                                                   | FREDDIE MAC FHR 4315 KS                                 | CUSIP: 3137B8JG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1385194 | PA      | $186395.39      | 0.00%             | 2041-08-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD6727 FR 07/54 FIXED 6.5             | CUSIP: 3132DUPL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4130118 | PA      | $4326536.34     | 0.03%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7HZA8 PIMCO SWAPTION 4.74 PUT USD 20251030          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    70100000 | NC      | $70.10          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM2983 FN 05/49 FIXED VAR                     | CUSIP: 3140X6J51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    42615054 | PA      | $41030569.24    | 0.33%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-15                                                 | FANNIE MAE FNR 2019 15 SA                               | CUSIP: 3136B36U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8378849 | PA      | $977177.41      | 0.01%             | 2049-04-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-RPL1                  | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 RPL1 A1        | CUSIP: 61776YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3727000 | PA      | $3642800.04     | 0.03%             | 2064-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-9                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 9 3AV4          | CUSIP: 12666RAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6097587 | PA      | $6056205.24     | 0.05%             | 2046-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SYCAMORE TREE CLO 2023-2A LTD                                             | SYCAMORE TREE CLO LTD STCP 2023 2A AR 144A              | CUSIP: 87122CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    19900000 | PA      | $19992460.38    | 0.16%             | 2037-01-20      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-143                                                | FANNIE MAE FNR 2012 143 AI                              | CUSIP: 3136AAS48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1310671 | PA      | $109005.77      | 0.00%             | 2033-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                    | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P C 144A     | CUSIP: 61772WAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8896000 | PA      | $8079762.64     | 0.06%             | 2038-12-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5399 G2 08/48 FIXED 4.5                  | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2154552 | PA      | $2132583.77     | 0.02%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8WRA3 PIMCO SWAPTION 3.33 CALL USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -115800000 | NC      | $-53534.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                      | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM B 144A    | CUSIP: 05549RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3300000 | PA      | $3153998.76     | 0.03%             | 2037-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-SEA1                          | MORGAN STANLEY CAPITAL INC MSAC 2007 SEA1 1A1 144A      | CUSIP: 61757MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3649297 | PA      | $3038272.56     | 0.02%             | 2047-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AW9166 FN 07/34 FIXED 4                       | CUSIP: 3138XZFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      111523 | PA      | $109922.97      | 0.00%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2641 FR 08/55 FIXED 6.5             | CUSIP: 31427P5B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5635584 | PA      | $5942619.41     | 0.05%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                             | ARGENT SECURITIES INC. ARSI 2006 M1 A1                  | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10887259 | PA      | $9858209.83     | 0.08%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AW1485 G2 01/47 FIXED 3.5                  | CUSIP: 36195PUJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      697873 | PA      | $645619.39      | 0.01%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-111                                                | FANNIE MAE FNR 2012 111 NS                              | CUSIP: 3136A9EX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2087922 | PA      | $175767.71      | 0.00%             | 2042-05-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P3 A4         | CUSIP: 146919AD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2875000 | PA      | $2890806.18     | 0.02%             | 2030-09-10      | Fixed         | 4.31%                 | No            |                  2 | On Loan: No      |
| NAVIENT REFINANCE LOAN TRUST 2025-A                                       | NAVIENT REFINANCE LOAN TRUST NAVRL 2025 A A 144A        | CUSIP: 63943FAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4929875 | PA      | $4994722.58     | 0.04%             | 2055-02-16      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ7040 FN 08/38 FIXED 4                       | CUSIP: 3140H8ZE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      307125 | PA      | $304128.73      | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS4009 FN 12/39 FIXED 3.5                     | CUSIP: 3138WDN31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      711722 | PA      | $680982.51      | 0.01%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B A1B 144A      | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1448428 | PA      | $1479257.96     | 0.01%             | 2056-10-16      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9CVA1 PIMCO FPPSWAPTION 4.63 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35800000 | NC      | $1880563.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-4 LLC                                                           | PRP ADVISORS, LLC PRPM 2025 4 A1 144A                   | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5144480 | PA      | $5160429.23     | 0.04%             | 2030-06-25      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| JP MORGAN SEASONED MORTGAGE TRUST 2025-1                                  | JP MORGAN SEASONED MORTGAGE TR JPSMT 2025 1 A4 144A     | CUSIP: 46659PAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11649852 | PA      | $10973863.61    | 0.09%             | 2063-01-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4804                                                   | FREDDIE MAC FHR 4804 WS                                 | CUSIP: 3137FGM51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1887387 | PA      | $243835.51      | 0.00%             | 2048-05-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-5                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 5 A 144A       | CUSIP: 69544LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1336396 | PA      | $1348299.59     | 0.01%             | 2031-10-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4594 FR 08/55 FIXED 6.5             | CUSIP: 3142GVC82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10423072 | PA      | $10939253.71    | 0.09%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VII LTD 2017-7A                                              | TRINITAS CLO LTD TRNTS 2017 7A A1R2 144A                | CUSIP: 89641CAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    16000000 | PA      | $16053459.68    | 0.13%             | 2035-01-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 2A5          | CUSIP: 05950BBB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1079372 | PA      | $847059.07      | 0.01%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA2907 FN 02/47 FIXED 4                       | CUSIP: 31418CGR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12404 | PA      | $11931.91       | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OCEANVIEW MORTGAGE TRUST 2025-INV3                                        | BAYVIEW OPPORTUNITY MASTER FUN BVINV 2025 3 AF1 144A    | CUSIP: 67648CAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17789871 | PA      | $17837821.88    | 0.14%             | 2055-05-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                         | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1B 144A         | CUSIP: 64032BAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    25000000 | PA      | $25185237.50    | 0.20%             | 2055-05-17      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5166 FN 10/53 FIXED 6                       | CUSIP: 31418EW48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6536716 | PA      | $6697995.41     | 0.05%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY LTD 2025-FL3                                      | ACRES PLC ACRES 2025 FL3 A 144A                         | CUSIP: 00501DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    26900000 | PA      | $26990427.04    | 0.22%             | 2040-08-18      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB4006 FN 05/54 FIXED 5.5                     | CUSIP: 3140ADNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2396198 | PA      | $2452574.95     | 0.02%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2004-61                                                 | FANNIE MAE FNR 2004 61 NS                               | CUSIP: 31394ATH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      118292 | PA      | $7168.03        | 0.00%             | 2034-08-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A      | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6200000 | PA      | $6251266.56     | 0.05%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AK9808 FN 04/42 FIXED 4                       | CUSIP: 3138EE3S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3958 | PA      | $3851.99        | 0.00%             | 2042-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U96ZA0 PIMCO FPPSWAPTION 4.265 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    32400000 | NC      | $1980968.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XI DAC 21-1                                        | CORDATUS CLO PLC CORDA 11A AR 144A                      | CUSIP: ACI1W60L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3606843 | PA      | $4234616.09     | 0.03%             | 2031-10-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL K94169 FG 01/38 FIXED 3.5             | CUSIP: 3132LQQW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      374738 | PA      | $360250.03      | 0.00%             | 2038-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                            | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A4 144A     | CUSIP: 39571VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6491248 | PA      | $6536263.51     | 0.05%             | 2060-06-25      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 2A3       | CUSIP: 02150ECA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4090812 | PA      | $1833431.37     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                         | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A1        | CUSIP: 93934FFZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      538831 | PA      | $519549.24      | 0.00%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-2 LTD                                                  | WELLFLEET CLO LTD WELF 2021 2A A1R 144A                 | CUSIP: 95023AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $5011512.20     | 0.04%             | 2034-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 726705 G2 12/41 FIXED 4.5                  | CUSIP: 3620ADKS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      406908 | PA      | $400756.54      | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U401N7 IRO USD 1Y P 3.40000 MAY27 3.4 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   236100000 | NC      | $1023068.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU COMMERCIAL MORTGAGE SECURITIES TRUST 2006-SL1                        | WAMU COMMERCIAL MORTGAGE SECUR WMCMS 2006 SL1 D 144A    | CUSIP: 933633AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14557 | PA      | $14534.55       | 0.00%             | 2043-11-23      | Variable      | 6.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AV3786 G2 11/46 FIXED 3.5                  | CUSIP: 36195EF37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      912743 | PA      | $844426.30      | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8AUA7 PIMCO FPPSWAPTION 4.098 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35100000 | NC      | $2301707.07     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 337                                                    | FREDDIEMAC STRIP FHS 337 S1                             | CUSIP: 31325VL36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2156190 | PA      | $233158.98      | 0.00%             | 2044-09-15      | Floating      | 1.56%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY9977 FR 08/55 FIXED 6.5             | CUSIP: 31426VCP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      774685 | PA      | $820352.33      | 0.01%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-121                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 121 QS          | CUSIP: 38380YJ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1273506 | PA      | $186335.99      | 0.00%             | 2048-09-20      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 1A           | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5416607 | PA      | $5113582.06     | 0.04%             | 2037-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM2002 FN 10/47 FIXED VAR                     | CUSIP: 3140J6GL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3806875 | PA      | $3662098.84     | 0.03%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD1767 FN 02/55 FIXED 6                       | CUSIP: 3140B16D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      863284 | PA      | $898769.74      | 0.01%             | 2055-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q54304 FG 02/48 FIXED 4.5             | CUSIP: 3132XWYA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      500247 | PA      | $494911.11      | 0.00%             | 2048-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306B9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -1167000000 | PA      | $-1025271047.58 | -8.20%            | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI0028 FN 07/41 FIXED 4.5                     | CUSIP: 3138ADA62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      149052 | PA      | $148425.97      | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AF1000 G2 06/43 FIXED 3.5                  | CUSIP: 36181GDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31196 | PA      | $28650.89       | 0.00%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP4                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP4 PT 144A    | CUSIP: 17332EAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    84469552 | PA      | $72074202.72    | 0.58%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 324                                                    | FREDDIEMAC STRIP FHS 324 C23                            | CUSIP: 31325VBT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11775641 | PA      | $2215133.56     | 0.02%             | 2043-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                    | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A         | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3164032 | PA      | $3081192.94     | 0.02%             | 2059-08-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                                  | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9400000 | PA      | $9411131.29     | 0.08%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                       | DOLP TRUST DOLP 2021 NYC E 144A                         | CUSIP: 23345LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    27180000 | PA      | $22248561.37    | 0.18%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 C 144A     | CUSIP: 14687WAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8558000 | PA      | $8591974.40     | 0.07%             | 2030-12-10      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-TWR                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 TWR B 144A       | CUSIP: 36251SAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11605000 | PA      | $3655575.00     | 0.03%             | 2031-07-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS12                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS12 A8        | CUSIP: 761118DV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      467916 | PA      | $376986.80      | 0.00%             | 2035-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS4835 FN 02/53 FIXED VAR                     | CUSIP: 3140XLLR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8055668 | PA      | $8491809.32     | 0.07%             | 2053-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ2179 FR 08/54 FIXED 5.5             | CUSIP: 3133CSM40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5373425 | PA      | $5499858.93     | 0.04%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS4                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS4 M4         | CUSIP: 76110WU95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2764586 | PA      | $2765825.86     | 0.02%             | 2035-05-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 C 144A      | CUSIP: 69544AAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1342801 | PA      | $1351711.20     | 0.01%             | 2032-07-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7H8A8 PIMCO SWAPTION 3.985 PUT USD 2025102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    88600000 | NC      | $10410.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5468                                                   | FREDDIE MAC FHR 5468 FC                                 | CUSIP: 3137HHAZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    98099042 | PA      | $98080030.90    | 0.78%             | 2054-11-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS7102 FN 11/32 FIXED 4.5                     | CUSIP: 3140LH3L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23527000 | PA      | $23803159.69    | 0.19%             | 2032-11-01      | Fixed         | 4.50%                 | 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        |       85098 | PA      | $60786.53       | 0.00%             | 2045-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-8                                                  | FANNIE MAE FNR 2015 8 AS                                | CUSIP: 3136AMUT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15012629 | PA      | $2098247.65     | 0.02%             | 2045-03-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-1                                          | TOWD POINT MORTGAGE TRUST TPMT 2017 1 M2 144A           | CUSIP: 89173FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6020000 | PA      | $5830859.43     | 0.05%             | 2056-10-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8792 FN 08/54 FIXED VAR                     | CUSIP: 3140XQXW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18282873 | PA      | $18723459.13    | 0.15%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC2388 FR 05/51 FIXED 3               | CUSIP: 3133ALUM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      636386 | PA      | $566241.15      | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-153                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 153 WI          | CUSIP: 38380HB35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2913042 | PA      | $148623.68      | 0.00%             | 2046-10-20      | Floating      | 0.30%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2007-AB1                                   | SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A2D        | CUSIP: 84752CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      257410 | PA      | $132688.28      | 0.00%             | 2037-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS5590 FN 07/53 FIXED VAR                     | CUSIP: 3140XMF84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20348 | PA      | $20635.14       | 0.00%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-42                                                 | FANNIE MAE FNR 2017 42 TS                               | CUSIP: 3136AWY50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      499318 | PA      | $347269.73      | 0.00%             | 2043-05-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5003                                                   | FREDDIE MAC FHR 5003 AS                                 | CUSIP: 3137FVHZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5794251 | PA      | $877376.44      | 0.01%             | 2050-08-25      | Floating      | 1.63%                 | 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        |      210663 | PA      | $223726.36      | 0.00%             | 2037-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB7673 FN 01/33 FIXED 2.5                     | CUSIP: 31417EQ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2688327 | PA      | $2561765.85     | 0.02%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-66                                                 | FANNIE MAE FNR 2017 66 GS                               | CUSIP: 3136AYDK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9571528 | PA      | $1290118.55     | 0.01%             | 2047-09-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX2583 FR 01/55 FIXED 5.5             | CUSIP: 31425W2R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8054933 | PA      | $8227796.74     | 0.07%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-42                                                 | FANNIE MAE FNR 2014 42 SA                               | CUSIP: 3136AKPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      517778 | PA      | $21102.68       | 0.00%             | 2044-07-25      | Floating      | 1.45%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-54                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 54 JZ           | CUSIP: 38378MRJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1226958 | PA      | $1046940.12     | 0.01%             | 2043-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 399                                                    | FREDDIEMAC STRIP FHS 399 C30                            | CUSIP: 3142G4VZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   137069292 | PA      | $16957017.54    | 0.14%             | 2051-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   119400000 | NC      | $6573567.00     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5442                                                   | FREDDIE MAC FHR 5442 FB                                 | CUSIP: 3137HF4U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22929264 | PA      | $23037398.32    | 0.18%             | 2054-08-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| OBP DEPOSITOR LLC TRUST 2019-OBP                                          | ONE BRYANT PARK TRUST OBP 2019 OBP A 144A               | CUSIP: 68236JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    40000000 | PA      | $36874992.00    | 0.29%             | 2054-09-15      | Fixed         | 2.52%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES9                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES9 A1A 144A     | CUSIP: 749426AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10584736 | PA      | $10705249.42    | 0.09%             | 2044-12-25      | Variable      | 5.58%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -777400000 | PA      | $-732592576.40  | -5.86%            | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-40                                                 | FANNIE MAE FNR 2020 40 IO                               | CUSIP: 3136B9P50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16643203 | PA      | $3116581.20     | 0.02%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE5                       | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE5 M1        | CUSIP: 073879CC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5349139 | PA      | $5340317.94     | 0.04%             | 2034-07-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0012 FN 11/54 FIXED VAR                     | CUSIP: 3140W0AN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8856304 | PA      | $9107633.54     | 0.07%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE FUNDING TRUST SERIES 2004-3                             | NOVASTAR HOME EQUITY LOAN NHEL 2004 3 M6                | CUSIP: 66987XFU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119860 | PA      | $108738.66      | 0.00%             | 2034-12-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH0887 FN 04/47 FIXED 4                       | CUSIP: 3140GN6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15805 | PA      | $15201.99       | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD3321 FN 02/55 FIXED 6.5                     | CUSIP: 3140B3VP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      888634 | PA      | $923668.22      | 0.01%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-74                                                 | FANNIE MAE FNR 2024 74 SE                               | CUSIP: 3136BS3V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38343480 | PA      | $4193760.59     | 0.03%             | 2054-10-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-17                                                 | FANNIE MAE FNR 2014 17 HI                               | CUSIP: 3136AJYB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      401489 | PA      | $6019.16        | 0.00%             | 2028-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-20                                                 | FANNIE MAE FNR 2012 20 SJ                               | CUSIP: 3136A4FS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      714544 | PA      | $116661.32      | 0.00%             | 2042-03-25      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4573                                                   | FREDDIE MAC FHR 4573 IO                                 | CUSIP: 3137BP6Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5080296 | PA      | $744918.26      | 0.01%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-9                                             | COUNTRYWIDE HOME LOANS CWHL 2007 9 A13                  | CUSIP: 12544XAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1269028 | PA      | $593486.64      | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H24                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H24 FA          | CUSIP: 38383KGP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7837127 | PA      | $7896425.39     | 0.06%             | 2073-10-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MTGE 5123                                               | FREDDIE MAC FHR 5123 IM                                 | CUSIP: 3137H15V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6712049 | PA      | $777912.44      | 0.01%             | 2051-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124417 | PA      | $119863.36      | 0.00%             | 2059-11-25      | Variable      | 2.75%                 | 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        |        2623 | PA      | $2620.75        | 0.00%             | 2035-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2019-65                                                        | FANNIE MAE FNR 2019 65 F                                | CUSIP: 3136B7AX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1306578 | PA      | $1289277.97     | 0.01%             | 2059-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-110                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 110 SA          | CUSIP: 38380FUN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4783927 | PA      | $293439.41      | 0.00%             | 2043-04-20      | Floating      | 0.57%                 | 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        |      113951 | PA      | $113524.79      | 0.00%             | 2036-02-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO XVI LTD 2021-16A                                            | JAMESTOWN CLO LTD JTWN 2021 16A AR 144A                 | CUSIP: 47048RAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    21200000 | PA      | $21198044.51    | 0.17%             | 2034-07-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-7                                        | HOME EQUITY ASSET TRUST HEAT 2005 7 M2                  | CUSIP: 437084PA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10352166 | PA      | $9959132.12     | 0.08%             | 2036-01-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-76                                                 | FANNIE MAE FNR 2016 76 CS                               | CUSIP: 3136ATY81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      194312 | PA      | $8573.81        | 0.00%             | 2046-10-25      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1580 FR 12/54 FIXED 5.5             | CUSIP: 31425VXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1723240 | PA      | $1747335.46     | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-115                                                | FANNIE MAE FNR 2012 115 MS                              | CUSIP: 3136A9CF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3067812 | PA      | $556709.95      | 0.00%             | 2042-10-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4615                                                          | FREDDIE MAC FHR 4615 AF                                 | CUSIP: 3137BRYG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1583084 | PA      | $1562579.83     | 0.01%             | 2038-10-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGGE ACQUIS CORP 2005-OPT2                                     | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 OPT2 M4       | CUSIP: 46626LEP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      486108 | PA      | $481232.51      | 0.00%             | 2035-12-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                                    | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A          | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6801099 | PA      | $6807516.48     | 0.05%             | 2031-06-15      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                   | FREDDIE MAC FHR 4988 BI                                 | CUSIP: 3137FUNQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12426464 | PA      | $1843986.55     | 0.01%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-4110                                                          | FREDDIE MAC FHR 4110 AI                                 | CUSIP: 3137AU5Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      129886 | PA      | $2445.92        | 0.00%             | 2027-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4813                                                   | FREDDIE MAC FHR 4813 CS                                 | CUSIP: 3137FGSN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2641234 | PA      | $342682.46      | 0.00%             | 2048-08-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 1A1          | CUSIP: 86362TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1815982 | PA      | $1813560.48     | 0.01%             | 2037-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-158                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 158 AS          | CUSIP: 38377RGV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      794217 | PA      | $759639.74      | 0.01%             | 2040-12-20      | Floating      | 1.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-116                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 116 IP          | CUSIP: 38379MZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      704311 | PA      | $81881.68       | 0.00%             | 2044-10-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-70                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 70 IJ           | CUSIP: 38378TNC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      469603 | PA      | $67317.37       | 0.00%             | 2043-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-22CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 22CB 1A1      | CUSIP: 12667FRY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7278007 | PA      | $7405300.47     | 0.06%             | 2034-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8820 FN 06/28 FIXED 4.32                    | CUSIP: 3140LKYS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3156864 | PA      | $3184102.44     | 0.03%             | 2028-06-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-7                                                  | FANNIE MAE FNR 2021 7 CI                                | CUSIP: 3136BDB31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34618217 | PA      | $5250776.96     | 0.04%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2003-7X                                            | SLM STUDENT LOAN TR 03 7 SLM STUDENT LOAN TR 03 7 REGS  | CUSIP: 763369II8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      502754 | PA      | $558171.91      | 0.00%             | 2033-12-15      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-124                                                | FANNIE MAE FNR 2006 124 PO                              | CUSIP: 31396PFL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      112020 | PA      | $93340.58       | 0.00%             | 2037-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                        | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A43         | CUSIP: 94985JBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7645 | PA      | $6703.18        | 0.00%             | 2037-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8431 FR 05/54 FIXED 5.5             | CUSIP: 3132DWLL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6479639 | PA      | $6546349.88     | 0.05%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-BA                                         | NELNET STUDENT LOAN TRUST NSLT 2025 BA A1A 144A         | CUSIP: 64032BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    25000000 | PA      | $25212690.00    | 0.20%             | 2055-05-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-87                                                 | FANNIE MAE FNR 2015 87 KI                               | CUSIP: 3136AQWR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      208968 | PA      | $20411.24       | 0.00%             | 2045-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9TKA6 PIMCO SWAPTION 4.073 PUT USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   118500000 | NC      | $675.45         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BF0178 FN 03/57 FIXED 3                       | CUSIP: 3140FXFU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2523460 | PA      | $2227651.22     | 0.02%             | 2057-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-5                                              | LEHMAN MORTGAGE TRUST LMT 2007 5 4A2                    | CUSIP: 52521RBH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71599 | PA      | $46106.73       | 0.00%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2015-R4                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2015 R4 8A4 144A    | CUSIP: 05990RCG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3179215 | PA      | $3067648.80     | 0.02%             | 2035-01-27      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 414                                                    | FREDDIEMAC STRIP FHS 414 C45                            | CUSIP: 3142G9V64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    97769258 | PA      | $21172627.03    | 0.17%             | 2054-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RBD8 OTC EPUT FN 6.0 OCT25 99.1640625 PUT          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   419000000 | NC      | $4.19           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1049 FN 09/55 FIXED 6.5                     | CUSIP: 3140Y7EX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5947710 | PA      | $6285519.89     | 0.05%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-4                                                  | FANNIE MAE FNR 2014 4 YI                                | CUSIP: 3136AH4J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31911 | PA      | $3037.93        | 0.00%             | 2044-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4447                                                   | FREDDIE MAC FHR 4447 SC                                 | CUSIP: 3137BGXH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      201556 | PA      | $135116.56      | 0.00%             | 2045-03-15      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS1                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A       | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4415063 | PA      | $4418669.48     | 0.04%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-428                                                       | FANNIEMAE STRIP FNS 428 C16                             | CUSIP: 31423YJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28702436 | PA      | $5118502.84     | 0.04%             | 2050-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 C9                             | CUSIP: 31325XWS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3811668 | PA      | $643835.24      | 0.01%             | 2049-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL7 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL7 A1 144A     | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20355075 | PA      | $20276375.92    | 0.16%             | 2061-07-27      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RK48 OTC EPUT FN 6.0 NOV25 99.8125 PUT             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   402200000 | NC      | $14559.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8UAA5 PIMCO SWAPTION 5.0 PUT USD 20260330           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    84200000 | NC      | $20898.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9OQA1 PIMCO FPPSWAPTION 4.4 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    64500000 | NC      | $3728841.75     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC                           | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 2A AR 144A    | CUSIP: ACI2QLH16<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      613001 | PA      | $719704.83      | 0.01%             | 2033-01-15      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-AM3                                        | MASTR ASSET BACKED SECURITIES MABS 2006 AM3 A4          | CUSIP: 57645EAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6831434 | PA      | $6138828.88     | 0.05%             | 2036-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-89                                                 | FANNIE MAE FNR 2020 89 TI                               | CUSIP: 3136BC5G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    49619975 | PA      | $8482792.73     | 0.07%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9151 FN 09/54 FIXED 6                       | CUSIP: 3140QVEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29499198 | PA      | $30673101.84    | 0.25%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QA4675 FR 11/49 FIXED 3               | CUSIP: 31346YFQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      447003 | PA      | $399807.07      | 0.00%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                                  | FANNIE MAE FNR 2022 3 YS                                | CUSIP: 3136BLFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   287332745 | PA      | $1258718.56     | 0.01%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3117                                                          | FREDDIE MAC FHR 3117 EO                                 | CUSIP: 31396HUN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31751 | PA      | $28427.13       | 0.00%             | 2036-02-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3852                                                   | FREDDIE MAC FHR 3852 TP                                 | CUSIP: 3137ABB59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19184 | PA      | $19522.54       | 0.00%             | 2041-05-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD4487 FN 04/55 FIXED 6                       | CUSIP: 3140B46Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2963414 | PA      | $3085919.02     | 0.02%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7                             | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL7 PT 144A   | CUSIP: 36273CAR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   103801046 | PA      | $93651566.46    | 0.75%             | 2064-07-25      | Variable      | 3.99%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FL          | CUSIP: 38383KDY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      325419 | PA      | $328471.64      | 0.00%             | 2073-05-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR25                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR25 5A1       | CUSIP: 45661HAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      113498 | PA      | $87719.83       | 0.00%             | 2036-09-25      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A R 144A                      | CUSIP: ACI2SPFW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      524249 | PA      | $663012.20      | 0.01%             | 2066-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q010         | BANC OF CALIFORNIA MULTIFAMILY FHMS Q010 APT2           | CUSIP: 3137FMUK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       92514 | PA      | $92991.45       | 0.00%             | 2047-12-25      | Variable      | 7.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 005082 G2 06/41 FIXED 4.5                  | CUSIP: 36202FUF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6610723 | PA      | $6616956.25     | 0.05%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-70                                                        | FANNIE MAE FNR 2005 70 GB                               | CUSIP: 31394E2B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      704429 | PA      | $726466.12      | 0.01%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-3                                          | TOWD POINT MORTGAGE TRUST TPMT 2018 3 A1 144A           | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11709573 | PA      | $11535003.34    | 0.09%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-58                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 58 ID           | CUSIP: 38382RFP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3234188 | PA      | $93364.22       | 0.00%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2656931.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750ROM4 OTC ECAL FN 6.0 OCT25 102.375 CALL            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -236500000 | NC      | $-64067.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA1193 FN 03/55 FIXED VAR                     | CUSIP: 3140W1KF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    30931249 | PA      | $32152641.75    | 0.26%             | 2055-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-48                                                 | FANNIE MAE FNR 2016 48 IQ                               | CUSIP: 3136ATLT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      666466 | PA      | $74415.55       | 0.00%             | 2046-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-11                                                 | FANNIE MAE FNR 2016 11 BI                               | CUSIP: 3136ARPK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1728731 | PA      | $235296.67      | 0.00%             | 2046-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019 57                                                 | FANNIE MAE FNR 2019 57 SB                               | CUSIP: 3136B6QD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2946217 | PA      | $380356.06      | 0.00%             | 2049-10-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM2333 FN 02/50 FIXED VAR                     | CUSIP: 3140X5SX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4443536 | PA      | $4134303.52     | 0.03%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BA7937 GN 06/47 FIXED 4                       | CUSIP: 3617ALZA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      135677 | PA      | $129440.99      | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5181                                                   | FREDDIE MAC FHR 5181 BI                                 | CUSIP: 3137H4T91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    43055359 | PA      | $4757686.07     | 0.04%             | 2051-02-25      | Fixed         | 2.00%                 | 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        |      516257 | PA      | $510736.48      | 0.00%             | 2035-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R4                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R4 M2          | CUSIP: 03072SRG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      349827 | PA      | $336821.84      | 0.00%             | 2034-06-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-E                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 E A1B 144A      | CUSIP: 78450XAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2914305 | PA      | $2940154.26     | 0.02%             | 2056-10-16      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q46896 FG 03/47 FIXED 4               | CUSIP: 3132WLUW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1532095 | PA      | $1483015.93     | 0.01%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2010-6R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 6R 2A7 144A      | CUSIP: 12643PAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5701611 | PA      | $4764504.32     | 0.04%             | 2048-05-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-149                                                | FANNIE MAE FNR 2012 149 CI                              | CUSIP: 3136AA2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      519118 | PA      | $8322.92        | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7998 FN 02/54 FIXED 6                       | CUSIP: 3140QT3G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6017345 | PA      | $6218917.13     | 0.05%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-2                                 | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 2 A 144A       | CUSIP: 75907AAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5400000 | PA      | $5448723.12     | 0.04%             | 2033-12-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5159                                                   | FREDDIE MAC FHR 5159 AI                                 | CUSIP: 3137H3RQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21225952 | PA      | $3520553.45     | 0.03%             | 2044-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-7                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2005 7 M2           | CUSIP: 86358EWD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2189623 | PA      | $2152895.32     | 0.02%             | 2035-08-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                                   | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A1 144A      | CUSIP: 288547AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1635900 | PA      | $1614203.71     | 0.01%             | 2037-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME LOAN TRUST 2005-3                                          | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 3 M4           | CUSIP: 83611MFQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3082451 | PA      | $3251273.52     | 0.03%             | 2035-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR13                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR13 4A1       | CUSIP: 45660LRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27087 | PA      | $24860.65       | 0.00%             | 2035-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAEZA1 PIMCO SWAPTION 4.032 PUT USD 2025120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -152500000 | NC      | $-308888.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8462 FR 09/54 FIXED 5.5             | CUSIP: 3132DWMK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3004594 | PA      | $3033721.21     | 0.02%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO XI 2012-11A                                                    | APIDOS CLO LTD APID 2012 11A AR4 144A                   | CUSIP: 03763YBY1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2400000 | PA      | $2403573.07     | 0.02%             | 2034-04-17      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-43                                                 | FANNIE MAE FNR 2014 43 PF                               | CUSIP: 3136AKKG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      685369 | PA      | $681138.41      | 0.01%             | 2042-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 772363 GN 09/41 FIXED 4.5                     | CUSIP: 36176PZ41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44123 | PA      | $44355.07       | 0.00%             | 2041-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2007-1                                            | BNC MORTGAGE LOAN TRUST BNCMT 2007 1 A5                 | CUSIP: 05569GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29581000 | PA      | $25236178.22    | 0.20%             | 2037-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8229 FN 06/30 FIXED 4.5                     | CUSIP: 3140LKEB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1647000 | PA      | $1669745.70     | 0.01%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-1A                                                   | REACH FINANCIAL LLC REACH 2024 1A A 144A                | CUSIP: 75526PAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      212807 | PA      | $213119.38      | 0.00%             | 2031-02-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-2                                             | SEQUOIA MORTGAGE TRUST SEMT 2007 2 1A2                  | CUSIP: 81744LAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34023 | PA      | $32058.29       | 0.00%             | 2036-06-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-126                                                | FANNIE MAE FNR 2013 126 CS                              | CUSIP: 3136AHQK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      320856 | PA      | $23993.06       | 0.00%             | 2041-09-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 430                                             | FANNIEMAE STRIP FNS 430 C42                             | CUSIP: 31424QLR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    40955709 | PA      | $2029327.11     | 0.02%             | 2037-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797RD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      809000 | PA      | $807184.70      | 0.01%             | 2025-10-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.54542 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2065.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A1 144A     | CUSIP: 21050UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1222787 | PA      | $1225483.32     | 0.01%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P3 A3 144A    | CUSIP: 14688GAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3825371 | PA      | $3853394.76     | 0.03%             | 2028-08-10      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 A A2A2 144A     | CUSIP: 78448YAK7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      542200 | PA      | $537397.26      | 0.00%             | 2053-01-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 0.25000 03/18/20-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1108858.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER CLO LTD 2017-3A                                     | WIND RIVER CLO LTD WINDR 2017 3A AR2 144A               | CUSIP: 97316LAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4100000 | PA      | $4106324.33     | 0.03%             | 2035-04-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-27                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 27 PZ           | CUSIP: 38378FZB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1481177 | PA      | $1329840.58     | 0.01%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2025-CP1                                          | NEW YORK MORTGAGE TRUST NYMT 2025 CP1 A1 144A           | CUSIP: 67121VAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8127794 | PA      | $7807239.95     | 0.06%             | 2069-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS RE CAP TR 2006-2                                      | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 2 A3           | CUSIP: 617463AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13911995 | PA      | $4474335.37     | 0.04%             | 2036-11-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-206                                                      | FREDDIEMAC STRIP FHS 206 PO                             | CUSIP: 3128CU5E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37333 | PA      | $35071.88       | 0.00%             | 2029-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9V6A7 PIMCO FPPSWAPTION 4.64 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   128800000 | NC      | $8295402.64     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MCW1                                       | PARK PLACE SECURITIES INC PPSI 2004 MCW1 M3             | CUSIP: 70069FCJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9671484 | PA      | $9688908.28     | 0.08%             | 2034-10-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2006-1                                     | AMERICAN HOME MORTGAGE INVESTM AHM 2006 1 12A1          | CUSIP: 02660TJB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3453784 | PA      | $3095818.26     | 0.02%             | 2046-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-62                                                 | FANNIE MAE FNR 2010 62 CE                               | CUSIP: 31398RWN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13992 | PA      | $13980.41       | 0.00%             | 2040-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B C 144A      | CUSIP: 02007G4D2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      723892 | PA      | $727792.29      | 0.01%             | 2032-09-15      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2030                                                          | FREDDIE MAC FHR 2030 A                                  | CUSIP: 3133TCXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2315 | PA      | $2271.62        | 0.00%             | 2028-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-59                                                 | FANNIE MAE FNR 2021 59 IM                               | CUSIP: 3136BGW64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23613004 | PA      | $3422372.06     | 0.03%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2025-SF1                                      | SBNA AUTO RECEIVABLES TRUST SBAT 2025 SF1 C 144A        | CUSIP: 78437XAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7900000 | PA      | $7935459.15     | 0.06%             | 2031-04-15      | Fixed         | 5.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ5582 FR 09/54 FIXED 6               | CUSIP: 3133CWFX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1190620 | PA      | $1236473.98     | 0.01%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-20                                                 | FANNIE MAE FNR 2022 20 ZP                               | CUSIP: 3136BL6W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7521435 | PA      | $6233924.39     | 0.05%             | 2050-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8000000 | PA      | $8136733.52     | 0.07%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 AX4 144A       | CUSIP: 465973BV6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    27869373 | PA      | $251440.27      | 0.00%             | 2052-03-25      | Variable      | 0.15%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                       | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF B 144A         | CUSIP: 04410RAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8335000 | PA      | $8335520.94     | 0.07%             | 2035-04-15      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ47         | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ47 A2             | CUSIP: 3137HAMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9387000 | PA      | $9803048.74     | 0.08%             | 2031-06-25      | Fixed         | 5.43%                 | 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        |     5814661 | PA      | $5814129.47     | 0.05%             | 2051-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                       | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A B 144A     | CUSIP: 03331MAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $5026439.50     | 0.04%             | 2040-10-22      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4920 FN 02/53 FIXED 6                       | CUSIP: 31418EPE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20876221 | PA      | $21402001.84    | 0.17%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-5X                                                      | EUROSAIL PLC ESAIL 2007 5X A1A REGS                     | CUSIP: B29H4QII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      641680 | PA      | $842252.38      | 0.01%             | 2045-09-13      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $5586.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK8736 FN 01/49 FIXED 4.5                     | CUSIP: 3140HNV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1037315 | PA      | $1022640.73     | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-1                                                  | FANNIE MAE FNR 2021 1 IJ                                | CUSIP: 3136BDT24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36217965 | PA      | $5399602.40     | 0.04%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA1159 G2 07/43 FIXED 4.5                  | CUSIP: 36179NJC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      420365 | PA      | $423084.86      | 0.00%             | 2043-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-12                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 12 AX1 144A         | CUSIP: 46592WBU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    44470717 | PA      | $1245936.07     | 0.01%             | 2052-02-25      | Variable      | 0.48%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR39                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR39 A1        | CUSIP: 45660KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1729406 | PA      | $1604756.03     | 0.01%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H15                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H15 FA          | CUSIP: 38376RWY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53869 | PA      | $54020.13       | 0.00%             | 2066-07-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-7F                                           | GSR MORTGAGE LOAN TRUST GSR 2006 7F 3A5                 | CUSIP: 36298NAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      669171 | PA      | $184925.58      | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PRPM 2023-RCF2 LLC                                                        | PRP ADVISORS, LLC PRPM 2023 RCF2 A1 144A                | CUSIP: 69380RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      850766 | PA      | $841572.66      | 0.01%             | 2053-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 2A3        | CUSIP: 93364FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48766 | PA      | $43800.87       | 0.00%             | 2037-07-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA4003 G2 10/46 FIXED 3                    | CUSIP: 36179SNU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      822499 | PA      | $744764.63      | 0.01%             | 2046-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD5297 FR 04/54 FIXED 6               | CUSIP: 3132DS3E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3691103 | PA      | $3814749.83     | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD8030 FN 05/55 FIXED 6                       | CUSIP: 3140B84Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      838723 | PA      | $871816.67      | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 INV2 AX13 144A  | CUSIP: 64831GAX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9962840 | PA      | $1049122.93     | 0.01%             | 2051-09-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                                 | FANNIE MAE FNR 2024 38 SA                               | CUSIP: 3136BR4T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    90612171 | PA      | $4131280.72     | 0.03%             | 2051-01-25      | Floating      | 1.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4964                                                   | FREDDIE MAC FHR 4964 IA                                 | CUSIP: 3137FRN64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2217672 | PA      | $597421.60      | 0.00%             | 2050-03-25      | Fixed         | 4.50%                 | 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        |     3743446 | PA      | $2966870.92     | 0.02%             | 2036-12-19      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAGCA1 PIMCO SWAPTION 2.5 CALL USD 20260617          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   563000000 | NC      | $1179766.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-1                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 1 A 144A       | CUSIP: 69548AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      246015 | PA      | $247655.58      | 0.00%             | 2031-07-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                                  | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A     | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2847891 | PA      | $2549445.92     | 0.02%             | 2042-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01                         | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2017 SC01 1A        | CUSIP: 3137G1BK2<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     1525741 | PA      | $1325957.72     | 0.01%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-103                                                | FANNIE MAE FNR 2010 103 DS                              | CUSIP: 31398TW56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27081 | PA      | $308.33         | 0.00%             | 2040-08-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| AYRESOME CDO I LTD                                                        | AYRESOME CDO LTD AYRES 2005 1A A3 144A                  | CUSIP: 05473WAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2266377 | PA      | $532616.81      | 0.00%             | 2045-12-08      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-20777.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-99                                                 | FANNIE MAE FNR 2020 99 QI                               | CUSIP: 3136BDHS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10406537 | PA      | $1776558.24     | 0.01%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-9AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 9AR 2A          | CUSIP: 61748HQY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1551893 | PA      | $1449732.34     | 0.01%             | 2035-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AI4        | CUSIP: 76112BR28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6060256 | PA      | $5440396.97     | 0.04%             | 2035-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2018-SP2              | CREDIT SUISSE MORTGAGE TRUST CSMC 2018 SP2 PT 144A      | CUSIP: 12654QBH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1952720 | PA      | $1947412.27     | 0.02%             | 2050-06-01      | Variable      | 6.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8266 G2 09/52 FIXED 3.5                  | CUSIP: 36179XFF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      641377 | PA      | $587507.04      | 0.00%             | 2052-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-84                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 84 LI           | CUSIP: 38379XGB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2857142 | PA      | $440066.73      | 0.00%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-WMC1                                        | HSI ASSET SECURITIZATION CORPO HASC 2006 WMC1 A2        | CUSIP: 40430MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6438252 | PA      | $2784961.18     | 0.02%             | 2036-07-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO LEASE TRUST 2023-A                                              | SBNA AUTO LEASE TRUST SBALT 2023 A A4 144A              | CUSIP: 78436TAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3400000 | PA      | $3444625.68     | 0.03%             | 2028-04-20      | Fixed         | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U97WA1 PIMCO FPPSWAPTION 4.3075 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24900000 | NC      | $1327695.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2469                                                          | FREDDIE MAC FHR 2469 HO                                 | CUSIP: 31392RDB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3624 | PA      | $3459.52        | 0.00%             | 2032-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET 2004-FFH2                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FFH2 M3         | CUSIP: 32027NJA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2347167 | PA      | $2308950.34     | 0.02%             | 2034-06-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5096                                                   | FREDDIE MAC FHR 5096 NI                                 | CUSIP: 3137FYS72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29996720 | PA      | $5333647.73     | 0.04%             | 2051-03-25      | Fixed         | 3.00%                 | 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        |     1854293 | PA      | $1826268.74     | 0.01%             | 2035-02-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H20 JF          | CUSIP: 38383K2U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      968796 | PA      | $966720.67      | 0.01%             | 2074-11-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C                            | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 C M1          | CUSIP: 73316MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3708909 | PA      | $3574277.55     | 0.03%             | 2036-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-1                                                  | FANNIE MAE FNR 2016 1 SI                                | CUSIP: 3136AQG46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1912567 | PA      | $217445.09      | 0.00%             | 2046-02-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-NQM1 TRUST                                                      | PRP ADVISORS, LLC PRPM 2025 NQM1 A1 144A                | CUSIP: 74391EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10303182 | PA      | $10419985.05    | 0.08%             | 2069-11-25      | Fixed         | 5.80%                 | 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        |     3871084 | PA      | $3863672.42     | 0.03%             | 2047-09-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-RPL1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2021 RPL1 A2 144A   | CUSIP: 36261WAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2770000 | PA      | $2393169.48     | 0.02%             | 2060-12-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C C 144A        | CUSIP: 83208DAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2300000 | PA      | $2268831.32     | 0.02%             | 2055-03-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 626789 GN 04/35 FIXED 5                       | CUSIP: 36291FKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67876 | PA      | $69273.68       | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2023-8                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2023 8 C 144A       | CUSIP: 694960AC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3246451 | PA      | $3340820.80     | 0.03%             | 2031-06-16      | Fixed         | 9.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BE6179 GN 12/47 FIXED 4                       | CUSIP: 3617G02L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       96991 | PA      | $92393.11       | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3413 FN 07/38 FIXED 4                       | CUSIP: 31418CYK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2732990 | PA      | $2691208.64     | 0.02%             | 2038-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-20                                                 | FANNIE MAE FNR 2013 20 IY                               | CUSIP: 3136ACVE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1277282 | PA      | $230644.77      | 0.00%             | 2043-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF9                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF9 M1          | CUSIP: 32027NVZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5254139 | PA      | $6206215.73     | 0.05%             | 2035-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-1                                  | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 1A A2 144A     | CUSIP: 37988XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2413546 | PA      | $2431854.98     | 0.02%             | 2030-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                    | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 C 144A       | CUSIP: 78432WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15140000 | PA      | $15002472.78    | 0.12%             | 2038-05-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AE2153 G2 05/43 FIXED 3.5                  | CUSIP: 36180UMA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44027 | PA      | $40462.65       | 0.00%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-1Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $394296.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5093                                                   | FREDDIE MAC FHR 5093 PI                                 | CUSIP: 3137FYKD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13446045 | PA      | $2284314.94     | 0.02%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A13      | CUSIP: 02150EAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1612239 | PA      | $791316.99      | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2004-T3                                           | FANNIEMAE GRANTOR TRUST FNGT 2004 T3 2A                 | CUSIP: 31393YV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12870 | PA      | $12952.17       | 0.00%             | 2043-08-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 45 2A1        | CUSIP: 12667G6K4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900053 | PA      | $649293.89      | 0.01%             | 2035-10-20      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9584 FN 09/28 FIXED 4.815                   | CUSIP: 3140LLUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6332000 | PA      | $6485268.28     | 0.05%             | 2028-09-01      | Fixed         | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA2522 G2 01/45 FIXED 4                    | CUSIP: 36179QYT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      923704 | PA      | $888828.26      | 0.01%             | 2045-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A         | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         186 | PA      | $81687.94       | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF1 LLC                                                        | PRP ADVISORS, LLC PRPM 2025 RCF1 A1 144A                | CUSIP: 74390RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1788856 | PA      | $1777572.45     | 0.01%             | 2055-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-66                                                 | FANNIE MAE FNR 2023 66 AI                               | CUSIP: 3136BQA25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   130519748 | PA      | $29629770.81    | 0.24%             | 2053-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 A 144A      | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2824669 | PA      | $2839548.56     | 0.02%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-4                                                  | FANNIE MAE FNR 2013 4 JC                                | CUSIP: 3136ACGD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2771910 | PA      | $2707387.00     | 0.02%             | 2028-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A                           | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A   | CUSIP: ACI1YDTG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3247691 | PA      | $3808187.18     | 0.03%             | 2031-01-15      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-4                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 4 M1            | CUSIP: 126670WV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4037627 | PA      | $4014887.91     | 0.03%             | 2036-07-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3158                                                   | FREDDIE MAC FHR 3158 NE                                 | CUSIP: 31396NX27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      186418 | PA      | $192843.45      | 0.00%             | 2036-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 2 A 144A       | CUSIP: 694961AA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1410013 | PA      | $1419419.86     | 0.01%             | 2031-08-15      | Fixed         | 6.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH0248 FN 04/37 FIXED 4                       | CUSIP: 3140GNH22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      830438 | PA      | $822959.80      | 0.01%             | 2037-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 B 144A      | CUSIP: 69544MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2662570 | PA      | $2682418.63     | 0.02%             | 2032-06-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD6416 FN 04/55 FIXED 6.5                     | CUSIP: 3140B7DW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6978590 | PA      | $7219482.41     | 0.06%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM3 TRUST                                                      | PRP ADVISORS, LLC PRPM 2024 NQM3 A1 144A                | CUSIP: 69381FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3842849 | PA      | $3853419.01     | 0.03%             | 2069-08-25      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-LGCY                                                        | BX TRUST BX 2021 LGCY A 144A                            | CUSIP: 12434DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4987091.50     | 0.04%             | 2036-10-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 2 JUMBOS                              | CUSIP: 21H0206B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    68100000 | PA      | $56314357.94    | 0.45%             | 2055-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 205                                                    | FREDDIEMAC STRIP FHS 205 PO                             | CUSIP: 3128CU3D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67999 | PA      | $64187.92       | 0.00%             | 2029-09-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 399                                                    | FREDDIEMAC STRIP FHS 399 C37                            | CUSIP: 3142G4V81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34361272 | PA      | $5494539.87     | 0.04%             | 2052-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ0649 FN 03/48 FIXED 4                       | CUSIP: 3140H1WK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7809790 | PA      | $7528213.25     | 0.06%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAF0A6 PIMCO SWAPTION 4.036 PUT USD 2025120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -152500000 | NC      | $-302849.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                                    | PIKES PEAK CLO PIPK 2018 2A ARR 144A                    | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7900000 | PA      | $7909367.19     | 0.06%             | 2034-10-11      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2004-2                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 2 CB1          | CUSIP: 007036CG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6200700 | PA      | $5937521.38     | 0.05%             | 2035-02-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-1                                                  | FANNIE MAE FNR 2013 1 IL                                | CUSIP: 3136ABYR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      224636 | PA      | $3910.38        | 0.00%             | 2028-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-2A                                                  | FIRST HELP FINANCIAL LLC FHF 2024 2A A2 144A            | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2991922 | PA      | $3020808.29     | 0.02%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-1A                                                  | FIRST HELP FINANCIAL LLC FHF 2024 1A A2 144A            | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3962608 | PA      | $3998179.90     | 0.03%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-2                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 2 3A3           | CUSIP: 1266713X2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5573386 | PA      | $5536793.70     | 0.04%             | 2034-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD0838 FN 01/55 FIXED 6                       | CUSIP: 3140B04Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      614133 | PA      | $641981.67      | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC2755 FR 06/51 FIXED 3               | CUSIP: 3133AMBY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1540691 | PA      | $1373616.06     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3621                                                   | FREDDIE MAC FHR 3621 WI                                 | CUSIP: 31398W2S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      120937 | PA      | $6771.29        | 0.00%             | 2037-05-15      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -101 | NC      | $-310249.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CFMT 2025-HB16 LLC                                                        | CASCADE FUNDING MORTGAGE TRUST CFMT 2025 HB16 A 144A    | CUSIP: 12531BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9766902 | PA      | $9569300.14     | 0.08%             | 2035-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A9       | CUSIP: 02149VAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5740514 | PA      | $2504160.96     | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-152                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 152 AI          | CUSIP: 38379FAR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3001304 | PA      | $132687.07      | 0.00%             | 2040-05-20      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8343 FR 07/53 FIXED 6               | CUSIP: 3132DWHU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6041625 | PA      | $6192138.31     | 0.05%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-WMC3                                    | MORGAN STANLEY CAPITAL INC MSAC 2004 WMC3 M2            | CUSIP: 61746RJL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6840830 | PA      | $6299438.95     | 0.05%             | 2035-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 414                                                    | FREDDIEMAC STRIP FHS 414 C34                            | CUSIP: 3142G9VS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10554776 | PA      | $1428921.34     | 0.01%             | 2052-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A       | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3197374 | PA      | $3216778.68     | 0.03%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                                              | EURO GALAXY CLO DAC EGLXY 2013 3A ARRR 144A             | CUSIP: ACI1W6FF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4280770 | PA      | $5027005.45     | 0.04%             | 2034-04-24      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2003-A                                           | EMC MORTGAGE LOAN TRUST EMCM 2003 A A1 144A             | CUSIP: 268668BS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      487421 | PA      | $492624.45      | 0.00%             | 2040-08-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0424A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    37800000 | PA      | $37756046.16    | 0.30%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2005-RS7                                                      | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS7 M5         | CUSIP: 76112BXA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2271071.50     | 0.02%             | 2035-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2019-D                          | NAVIENT STUDENT LOAN TRUST NAVSL 2019 D A2B 144A        | CUSIP: 63941CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      973810 | PA      | $971039.51      | 0.01%             | 2059-12-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 244                                                    | FREDDIEMAC STRIP FHS 244 PO                             | CUSIP: 3128HWJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      123826 | PA      | $110163.93      | 0.00%             | 2036-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-136                                                | FANNIE MAE FNR 2012 136 DS                              | CUSIP: 3136A97E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      734083 | PA      | $556974.66      | 0.00%             | 2042-12-25      | Floating      | 0.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-60                                                 | FANNIE MAE FNR 2024 60 SA                               | CUSIP: 3136BSQ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    88601876 | PA      | $6507852.06     | 0.05%             | 2054-09-25      | Floating      | 0.89%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2018-RPL1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2018 RPL1 A1A 144A  | CUSIP: 36256BAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1019177 | PA      | $1000824.84     | 0.01%             | 2057-10-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  1179000000 | PA      | $1035767616.93  | 8.28%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMSR-2021-SFR1                                                            | AMSR TRUST AMSR 2021 SFR1 A 144A                        | CUSIP: 00179DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3760397.20     | 0.03%             | 2038-06-17      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2009-41                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 41 GS           | CUSIP: 38374UU41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      596775 | PA      | $36458.82       | 0.00%             | 2039-06-16      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                                | CAPITAL FOUR CLO CFOUR 10A A 144A                       | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2939858.08     | 0.02%             | 2038-10-25      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2006-AC2                     | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC2 21A4      | CUSIP: 07387UGS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3470452 | PA      | $1336227.95     | 0.01%             | 2036-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2007-QS8                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS8 A1         | CUSIP: 74922UAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2151620 | PA      | $1571533.72     | 0.01%             | 2037-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| IMS ECUADORIAN MORTGAGE 2021-1 TRUST                                      | IMS ECUADORIAN MORTAGAGE TRUST IMSVA 2021 1 GA 144A     | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1094682 | PA      | $1071633.77     | 0.01%             | 2043-08-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                           | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1              | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      468672 | PA      | $357594.87      | 0.00%             | 2035-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA4756 FN 01/54 FIXED 6.5                     | CUSIP: 3140A5JA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1101826 | PA      | $1156657.91     | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    99000000 | PA      | $101059836.57   | 0.81%             | 2054-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-79                                                 | FANNIE MAE FNR 2024 79 FA                               | CUSIP: 3136BTLY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35542376 | PA      | $35540786.78    | 0.28%             | 2054-11-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL1                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL1 A1 144A   | CUSIP: 693989AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3593249 | PA      | $3480800.43     | 0.03%             | 2063-10-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                   | FREDDIE MAC FHR 4923 SE                                 | CUSIP: 3137FPZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12854328 | PA      | $1746752.78     | 0.01%             | 2048-04-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD6210 FR 08/54 FIXED 6.5             | CUSIP: 3132DT3T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6701840 | PA      | $7005560.36     | 0.06%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ9921 FN 03/48 FIXED 4                       | CUSIP: 3140HCAX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      516424 | PA      | $495186.05      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3798                                                   | FREDDIE MAC FHR 3798 PS                                 | CUSIP: 3137A6AN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      216217 | PA      | $21696.87       | 0.00%             | 2041-01-15      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 439                                             | FANNIEMAE STRIP FNS 439 C25                             | CUSIP: 31424UK39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    50767444 | PA      | $10855334.09    | 0.09%             | 2053-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-24                                                 | FANNIE MAE FNR 2018 24 SD                               | CUSIP: 3136B1LT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1920764 | PA      | $259505.17      | 0.00%             | 2048-04-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTG INV TRUST 2005-1                                        | AMERICAN HOME MORTGAGE INVESTM AHM 2005 1 6A            | CUSIP: 02660TDH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         724 | PA      | $721.44         | 0.00%             | 2045-06-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H11                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H11 FC          | CUSIP: 38382Y5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17976505 | PA      | $18256974.74    | 0.15%             | 2073-05-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-A                                             | OPORTUN FUNDING LLC OPTN 2025 A C 144A                  | CUSIP: 68377TAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $500796.55      | 0.00%             | 2033-02-08      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ4744 FN 01/48 FIXED 4                       | CUSIP: 3140H6HW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      216843 | PA      | $208483.40      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-18389.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4698                                                   | FREDDIE MAC FHR 4698 ES                                 | CUSIP: 3137F1XH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14797135 | PA      | $531729.12      | 0.00%             | 2047-07-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9723 FN 10/28 FIXED 5.23                    | CUSIP: 3140LLYV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8806000 | PA      | $9092887.86     | 0.07%             | 2028-10-01      | Fixed         | 5.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 303                                                    | FREDDIEMAC STRIP FHS 303 C19                            | CUSIP: 31325UEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3513117 | PA      | $576164.32      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-54                                                 | FANNIE MAE FNR 2013 54 NI                               | CUSIP: 3136AEVQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      652111 | PA      | $66661.94       | 0.00%             | 2043-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4979                                                   | FREDDIE MAC FHR 4979 US                                 | CUSIP: 3137FTY27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3308457 | PA      | $484111.62      | 0.00%             | 2050-06-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2021-INV1                                                       | CIM TRUST CIM 2021 INV1 AX2 144A                        | CUSIP: 12566PBL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    79294087 | PA      | $2399815.72     | 0.02%             | 2051-07-01      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-5                                             | GSAA HOME EQUITY TRUST GSAA 2005 5 B2                   | CUSIP: 36242DS38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      686922 | PA      | $692628.70      | 0.01%             | 2035-02-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004483 G2 07/39 FIXED 4                    | CUSIP: 36202E6U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8764 | PA      | $8212.18        | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.17000 04/15/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2577950.71     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8097 FN 04/33 FIXED 4.7                     | CUSIP: 3140LJ7K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7368000 | PA      | $7430099.49     | 0.06%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9RBA0 PIMCO SWAPTION 3.45 CALL USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -96300000 | NC      | $-210290.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.55016 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3558.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0590 FN 06/55 FIXED 6                       | CUSIP: 3140Y6UQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7203232 | PA      | $7378750.02     | 0.06%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5070                                                   | FREDDIE MAC FHR 5070 IL                                 | CUSIP: 3137F9XJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13708744 | PA      | $2510620.69     | 0.02%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-91                                                 | FANNIE MAE FNR 2016 91 SA                               | CUSIP: 3136AURC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2265426 | PA      | $278243.52      | 0.00%             | 2046-12-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H30 FD          | CUSIP: 38376RLJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52901 | PA      | $53001.40       | 0.00%             | 2065-10-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1626 FR 12/54 FIXED 5.5             | CUSIP: 31425VYY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1186824 | PA      | $1202890.88     | 0.01%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4043                                                   | FREDDIE MAC FHR 4043 QI                                 | CUSIP: 3137APTE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       99786 | PA      | $1401.19        | 0.00%             | 2027-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB0847 FN 06/51 FIXED 3                       | CUSIP: 3140QK5H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27208880 | PA      | $24409407.36    | 0.20%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5070                                                   | FREDDIE MAC FHR 5070 PI                                 | CUSIP: 3137F9Y54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32567922 | PA      | $5970445.98     | 0.05%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R11                                   | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R11 M5         | CUSIP: 03072SV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4422979.50     | 0.04%             | 2036-01-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-20                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 20 NS           | CUSIP: 38381RAX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19605947 | PA      | $558830.28      | 0.00%             | 2049-02-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-66                                                 | FANNIE MAE FNR 2023 66 IO                               | CUSIP: 3136BQWV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   305049998 | PA      | $15763123.08    | 0.13%             | 2037-08-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5485                                                   | FREDDIE MAC FHR 5485 BF                                 | CUSIP: 3137HHLA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4450886 | PA      | $4475272.60     | 0.04%             | 2054-12-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC9749 FN 01/55 FIXED 5.5                     | CUSIP: 3140AXZP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2267758 | PA      | $2317096.52     | 0.02%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-63                                                 | FANNIE MAE FNR 2020 63 NI                               | CUSIP: 3136BBA36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10839527 | PA      | $1834988.85     | 0.01%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 226                                                    | FREDDIEMAC STRIP FHS 226 PO                             | CUSIP: 3128HVBU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      267992 | PA      | $231016.19      | 0.00%             | 2034-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-8                                                  | FANNIE MAE FNR 2013 8 NI                                | CUSIP: 3136AB6C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2075844 | PA      | $255109.79      | 0.00%             | 2042-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA9862 FR 09/53 FIXED 6.5             | CUSIP: 3133KR5X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      394802 | PA      | $413538.62      | 0.00%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY9287 FN 10/53 FIXED 6.5                     | CUSIP: 3140NSJ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      779841 | PA      | $819720.56      | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 183                                                    | FREDDIEMAC STRIP FHS 183 PO                             | CUSIP: 31351BAP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5804 | PA      | $5646.15        | 0.00%             | 2027-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-LTV2                                      | JP MORGAN MORTGAGE TRUST JPMMT 2022 LTV2 A3 144A        | CUSIP: 46655LAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10178520 | PA      | $9134759.51     | 0.07%             | 2052-09-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-6A                                     | TABERNA PREFERED FUNDING LTD TBRNA 2006 6A A1BF 144A    | CUSIP: 87331AAB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    26729252 | PA      | $24056327.21    | 0.19%             | 2036-12-05      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO III LTD                                                        | CARVAL CLO LTD CARVL 2019 2A AR2 144A                   | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17798193 | PA      | $17815160.36    | 0.14%             | 2032-07-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QA2045 FR 08/49 FIXED 3.5             | CUSIP: 31334YHW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      187747 | PA      | $173525.01      | 0.00%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5196                                                   | FREDDIE MAC FHR 5196 DI                                 | CUSIP: 3137H5WD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    62330443 | PA      | $10321067.49    | 0.08%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4779 FN 10/42 FIXED 4                       | CUSIP: 31418EJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57373 | PA      | $56114.39       | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS9993 FN 03/54 FIXED VAR                     | CUSIP: 3140XSC76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2615672 | PA      | $2739675.53     | 0.02%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-62                                                 | FANNIE MAE FNR 2016 62 AF                               | CUSIP: 3136ATVF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      592993 | PA      | $588860.95      | 0.00%             | 2046-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AN8612 FN 03/28 FIXED 3.29                    | CUSIP: 3138LMSA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23874000 | PA      | $23519194.64    | 0.19%             | 2028-03-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2                         | FREDDIE MAC   SCRT SCRT 2020 2 M 144A                   | CUSIP: 35563PRE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      970822 | PA      | $938535.34      | 0.01%             | 2059-11-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| RECETTE CLO LTD 2015-1A                                                   | RECETTE CLO LLC RCTTE 2015 1A BRR 144A                  | CUSIP: 75620TAX6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2004370.94     | 0.02%             | 2034-04-20      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-99                                                 | FANNIE MAE FNR 2012 99 SD                               | CUSIP: 3136A8TN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2973645 | PA      | $503389.10      | 0.00%             | 2042-09-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-53                                                        | FANNIE MAE FNR 2008 53 LF                               | CUSIP: 31397LC31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74151 | PA      | $74325.17       | 0.00%             | 2038-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-3                                                  | FANNIE MAE FNR 2018 3 CP                                | CUSIP: 3136B0UM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2081080 | PA      | $2025319.28     | 0.02%             | 2046-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4413 FN 12/47 FIXED VAR                     | CUSIP: 3140J83X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1641171 | PA      | $1621695.92     | 0.01%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST LOAN SECURITIZATION TRUST 2007-1                                | EQUIFIRST LOAN SECURITIZATION EQLS 2007 1 A2B           | CUSIP: 29445UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18825066 | PA      | $17549737.41    | 0.14%             | 2037-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QH8387 FR 01/54 FIXED 6.5             | CUSIP: 3133CMJ88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2059675 | PA      | $2166652.85     | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP1                                        | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 2A1 144A       | CUSIP: 3623413J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1889030 | PA      | $1703432.62     | 0.01%             | 2036-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31500000 | PA      | $32040849.33    | 0.26%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2018-DA                                        | NAVIENT STUDENT LOAN TRUST NAVSL 2018 DA A2A 144A       | CUSIP: 63940UAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1648087 | PA      | $1637608.16     | 0.01%             | 2059-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                   | FREDDIE MAC FHR 5069 DI                                 | CUSIP: 3137F9BQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10419218 | PA      | $1443898.30     | 0.01%             | 2041-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2019-4A                                                    | PIKES PEAK CLO PIPK 2019 4A ARR 144A                    | CUSIP: 72132WAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8300000 | PA      | $8313062.87     | 0.07%             | 2034-07-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                                  | FANNIE MAE FNR 2022 3 SD                                | CUSIP: 3136BLEX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   182378184 | PA      | $883348.73      | 0.01%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BC3605 FN 04/46 FIXED 4                       | CUSIP: 3140EYAF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43416 | PA      | $41783.40       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                   | FREDDIE MAC FHR 4990 KS                                 | CUSIP: 3137FUS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10369324 | PA      | $1274056.07     | 0.01%             | 2050-06-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-22                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 22 ZC           | CUSIP: 38383MRW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6926728 | PA      | $4604814.59     | 0.04%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A58455 FG 03/37 FIXED 5.5             | CUSIP: 3128KMMC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65185 | PA      | $67578.29       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A E 144A                      | CUSIP: ACI2SNZ77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1737000 | PA      | $2340323.61     | 0.02%             | 2066-05-16      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-719322.51     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5510                                                   | FREDDIE MAC FHR 5510 FA                                 | CUSIP: 3137HJMM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17784147 | PA      | $17872662.46    | 0.14%             | 2055-02-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-9                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 9 A 144A       | CUSIP: 69546QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2374991 | PA      | $2382272.92     | 0.02%             | 2032-03-15      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-7                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 7 A 144A       | CUSIP: 69545AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1613635 | PA      | $1627631.93     | 0.01%             | 2031-12-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZS9810 FR 03/46 FIXED 4.5             | CUSIP: 3132AA3T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      228295 | PA      | $226715.92      | 0.00%             | 2046-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-2                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 2 B 144A       | CUSIP: 69545GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    18898015 | PA      | $19000636.77    | 0.15%             | 2032-10-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA3                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA3 1A1       | CUSIP: 02150TAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      228765 | PA      | $212354.94      | 0.00%             | 2047-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GSMSC PASS-THROUGH TRUST 2009-6R                                          | GS MORTGAGE SECURITIES CORP. GSMSC 2009 6R 1A2 144A     | CUSIP: 36190NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3205224 | PA      | $2908633.80     | 0.02%             | 2037-06-26      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H0626B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   155000000 | PA      | $159200397.70   | 1.27%             | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BO1350 FN 08/49 FIXED 4                       | CUSIP: 3140JVQC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      188246 | PA      | $180534.38      | 0.00%             | 2049-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-33                                                 | FANNIE MAE FNR 2019 33 CF                               | CUSIP: 3136B46U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3371128 | PA      | $3290883.45     | 0.03%             | 2049-07-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H0306A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17780000 | PA      | $15875560.55    | 0.13%             | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-83                                                 | FANNIE MAE FNR 2015 83 IO                               | CUSIP: 3136AQKF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4998236 | PA      | $723805.06      | 0.01%             | 2043-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-7                                              | LEHMAN MORTGAGE TRUST LMT 2006 7 2A1                    | CUSIP: 52520QAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    25611408 | PA      | $5680541.12     | 0.05%             | 2036-11-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 375                                                    | FREDDIEMAC STRIP FHS 375 C1                             | CUSIP: 3133Q5AA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31881814 | PA      | $5066071.83     | 0.04%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SC0706 FR 05/45 FIXED 6.5             | CUSIP: 3132D9YB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9619805 | PA      | $9966748.04     | 0.08%             | 2045-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3800                                                   | FREDDIE MAC FHR 3800 B                                  | CUSIP: 3137A7G46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14991 | PA      | $14921.62       | 0.00%             | 2031-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8AVA6 PIMCO FPPSWAPTION 4.098 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35100000 | NC      | $1644076.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5142                                                   | FREDDIE MAC FHR 5142 PI                                 | CUSIP: 3137H2EA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29643798 | PA      | $5468954.71     | 0.04%             | 2051-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2504                                                          | FREDDIE MAC FHR 2504 SN                                 | CUSIP: 31392UL44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         596 | PA      | $596.56         | 0.00%             | 2032-09-17      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO 2022-16A LTD                                                | ELEVATION CLO LTD AWPT 2022 16A A1AR 144A               | CUSIP: 28623YAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18700000 | PA      | $18731399.17    | 0.15%             | 2034-07-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004309 G2 12/38 FIXED 5.5                  | CUSIP: 36202EYE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26070 | PA      | $26086.55       | 0.00%             | 2038-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 729139 G2 12/41 FIXED 4.5                  | CUSIP: 3620AGBG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29764 | PA      | $29239.84       | 0.00%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-24                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 24 FQ           | CUSIP: 38383WDB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32871738 | PA      | $32750063.74    | 0.26%             | 2053-02-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H06                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H06 LF          | CUSIP: 38380QP71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11206547 | PA      | $11456836.76    | 0.09%             | 2071-03-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| EFMT 2025-CES2                                                            | ELLINGTON FINANCIAL MORTGAGE T EFMT 2025 CES2 A1A 144A  | CUSIP: 28225GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4808617 | PA      | $4862087.84     | 0.04%             | 2060-02-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 B A1A 144A      | CUSIP: 83208BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    19683222 | PA      | $19926075.28    | 0.16%             | 2053-03-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-37                                                 | FANNIE MAE FNR 2018 37 IP                               | CUSIP: 3136B17H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      752122 | PA      | $138814.37      | 0.00%             | 2048-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5458                                                   | FREDDIE MAC FHR 5458 LI                                 | CUSIP: 3137HFXF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    55585460 | PA      | $11942302.63    | 0.10%             | 2054-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL6                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL6 A1 144A   | CUSIP: 69381QAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6627613 | PA      | $6647102.52     | 0.05%             | 2054-10-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A C 144A       | CUSIP: 83407UAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2944000 | PA      | $3021908.51     | 0.02%             | 2034-03-27      | Fixed         | 5.77%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004774 G2 08/40 FIXED 6                    | CUSIP: 36202FJT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2201 | PA      | $2310.59        | 0.00%             | 2040-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3423                                                   | FREDDIE MAC FHR 3423 PO                                 | CUSIP: 31397RVR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      316741 | PA      | $280343.60      | 0.00%             | 2038-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2025-HMST                      | BANC OF AMERICA MERRILL LYNCH BAMLL 2025 HMST A 144A    | CUSIP: 05555XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28564936 | PA      | $27696552.36    | 0.22%             | 2050-04-25      | Variable      | 3.11%                 | No            |                  3 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT2 A4        | CUSIP: 83611MML9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7133701 | PA      | $7003646.19     | 0.06%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-A                                            | FREMONT HOME LOAN TRUST FHLT 2006 A 2A3                 | CUSIP: 35729RAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14570565 | PA      | $9472753.93     | 0.08%             | 2036-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4062                                                   | FREDDIE MAC FHR 4062 KZ                                 | CUSIP: 3137ARG83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          38 | PA      | $36.73          | 0.00%             | 2041-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7RIA5 PIMCO SWAPTION 3.29 CALL USD 2025121          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35900000 | NC      | $152858.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H0326A3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -9000000 | PA      | $-8207356.95    | -0.07%            | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H07                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H07 FA          | CUSIP: 38382YY98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33103387 | PA      | $33237236.84    | 0.27%             | 2073-03-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                    | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M6          | CUSIP: 57643LJK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3080000 | PA      | $3073858.79     | 0.02%             | 2035-05-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 3A2 144A     | CUSIP: 12642YBP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2507678 | PA      | $1260045.70     | 0.01%             | 2047-01-26      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 430                                             | FANNIEMAE STRIP FNS 430 C25                             | CUSIP: 31424QKY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4011712 | PA      | $582223.51      | 0.00%             | 2052-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4142                                                   | FREDDIE MAC FHR 4142 QI                                 | CUSIP: 3137AX6D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27309 | PA      | $973.05         | 0.00%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4660                                                          | FREDDIE MAC FHR 4660 CS                                 | CUSIP: 3137BVJ80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4100767 | PA      | $3565473.97     | 0.03%             | 2033-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3393                                                   | FREDDIE MAC FHR 3393 JO                                 | CUSIP: 31397PGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4850 | PA      | $4412.68        | 0.00%             | 2032-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-133                                                | FANNIE MAE FNR 2010 133 GP                              | CUSIP: 31398N6F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      100000 | PA      | $97384.60       | 0.00%             | 2040-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| HILDENE TRUPS 2018-1A                                                     | HILDENE CLO HITR 2018 1A A1 144A                        | CUSIP: 43133AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    13552565 | PA      | $13552565.46    | 0.11%             | 2038-10-10      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-32                                                 | FANNIE MAE FNR 2016 32 GB                               | CUSIP: 3136ASTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55018 | PA      | $33963.52       | 0.00%             | 2043-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS7885 FN 05/49 FIXED VAR                     | CUSIP: 3140XPXP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2379994 | PA      | $2316016.18     | 0.02%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD8029 FN 05/55 FIXED 6                       | CUSIP: 3140B84P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      856032 | PA      | $891695.87      | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-87                                                 | FANNIE MAE FNR 2017 87 SB                               | CUSIP: 3136AYV34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2814038 | PA      | $477863.58      | 0.00%             | 2047-11-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM5 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM5 A1A 144A         | CUSIP: 673919AL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5191076 | PA      | $5232817.01     | 0.04%             | 2063-06-25      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 7A1        | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2940 | PA      | $2957.53        | 0.00%             | 2037-02-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 783590 G2 06/41 FIXED 4.5                  | CUSIP: 36241L7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1110152 | PA      | $1117334.18     | 0.01%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8W8A4 PIMCO SWAPTION 5.0 PUT USD 20260406           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   162400000 | NC      | $45666.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4130                                                   | FREDDIE MAC FHR 4130 AI                                 | CUSIP: 3137AVY43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1159134 | PA      | $21997.71       | 0.00%             | 2027-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ABILENE DC 1 LLC/ABILENE DC 2 LLC                                         | PROJECT FLASH DELAYED DRAW TERM LOAN                    | CUSIP: BA000GR85<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     6869999 | PA      | $6809813.23     | 0.05%             | 2030-01-09      | Floating      | 5.43%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 4123                                                   | FREDDIE MAC FHR 4123 IP                                 | CUSIP: 3137AUXP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1527426 | PA      | $240195.50      | 0.00%             | 2042-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034         | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2           | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33641228 | PA      | $32011698.98    | 0.26%             | 2054-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5045                                                   | FREDDIE MAC FHR 5045 DI                                 | CUSIP: 3137F6RW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9607875 | PA      | $1333724.80     | 0.01%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA82A0 PIMCO FPPSWAPTION 4.693 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    53400000 | NC      | $2740461.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2018-12A                                       | ATLAS SENIOR LOAN FUND LTD ATCLO 2018 12A A1 144A       | CUSIP: 04942UAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3281696 | PA      | $3284595.95     | 0.03%             | 2031-10-24      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 JF          | CUSIP: 38383KFR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10205001 | PA      | $10308563.16    | 0.08%             | 2073-09-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H14                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H14 FA          | CUSIP: 38382Y7K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    48761752 | PA      | $49521030.72    | 0.40%             | 2073-06-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A C 144A                      | CUSIP: ACI2SNZ69<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     5212000 | PA      | $7013732.08     | 0.06%             | 2066-05-16      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-46                                                 | FANNIE MAE FNR 2012 46 LS                               | CUSIP: 3136A5J64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1777316 | PA      | $1825075.20     | 0.01%             | 2041-01-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MB0150 FN 06/42 FIXED 4                       | CUSIP: 3138MTEY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5147 | PA      | $5006.94        | 0.00%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA0892 FN 12/37 FIXED 4                       | CUSIP: 3140Q77E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      824469 | PA      | $814319.80      | 0.01%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5080                                                   | FREDDIE MAC FHR 5080 IP                                 | CUSIP: 3137FXV54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3442462 | PA      | $620133.72      | 0.00%             | 2050-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-42                                                 | FANNIE MAE FNR 2021 42 EI                               | CUSIP: 3136BGAW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15161343 | PA      | $2048300.51     | 0.02%             | 2051-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2003-R4                                            | COUNTRYWIDE HOME LOANS CWHL 2003 R4 2A 144A             | CUSIP: 12669FFS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2314435 | PA      | $2094195.44     | 0.02%             | 2034-01-25      | Variable      | 4.76%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-19                                            | GSAA HOME EQUITY TRUST GSAA 2006 19 A3A                 | CUSIP: 362244AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5956915 | PA      | $2024861.00     | 0.02%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.85750 03/08/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-558240.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3223                                                   | FREDDIE MAC FHR 3223 SI                                 | CUSIP: 31397BZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      617555 | PA      | $32943.11       | 0.00%             | 2032-04-15      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9S5A5 PIMCO SWAPTION 4.27375 PUT USD 20251          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -93300000 | NC      | $-9.33          | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H08 GF          | CUSIP: 38382Y3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14754555 | PA      | $14841264.32    | 0.12%             | 2073-03-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC2                                      | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC2 A1 144A        | CUSIP: 46657BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1148943 | PA      | $1155222.75     | 0.01%             | 2063-11-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-79                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 79 PO           | CUSIP: 38376LPM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      502452 | PA      | $391937.39      | 0.00%             | 2040-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-90                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 90 KI           | CUSIP: 38378TA91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61754 | PA      | $1612.61        | 0.00%             | 2041-12-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH0237 FN 04/37 FIXED 4                       | CUSIP: 3140GNHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106481 | PA      | $105625.77      | 0.00%             | 2037-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q53213 FG 12/47 FIXED 4               | CUSIP: 3132XVSB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2664820 | PA      | $2576972.87     | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                   | SCLP 2025 C A 144A                                      | CUSIP: 990AAUWA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    37055000 | PA      | $37045023.68    | 0.30%             | 2034-09-06      | Fixed         | 4.32%                 | No            |                  3 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A         | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         186 | PA      | $1940786.04     | 0.02%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2003-HE6                                      | ASSET BACKED SECURITIES CORP H ABSHE 2003 HE6 A3B       | CUSIP: 04541GGM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2388583 | PA      | $2474774.75     | 0.02%             | 2033-11-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RC54 OTC EPUT FN 6.0 OCT25 98.9609375 PUT          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   313000000 | NC      | $3.13           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO VII DAC 7A                                         | BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A             | CUSIP: ACI1W2WD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3653121 | PA      | $4292116.57     | 0.03%             | 2031-10-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BT0579 FN 05/51 FIXED 3                       | CUSIP: 3140LNUD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      541842 | PA      | $482484.13      | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-53                                                 | FANNIE MAE FNR 2017 53 IE                               | CUSIP: 3136AW4E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      529814 | PA      | $96610.79       | 0.00%             | 2047-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A C 144A       | CUSIP: 21050QAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      777000 | PA      | $790234.49      | 0.01%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4167                                                   | FREDDIE MAC FHR 4167 PT                                 | CUSIP: 3137AYKL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2393350 | PA      | $2336678.73     | 0.02%             | 2028-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BR3953 FN 03/51 FIXED 3                       | CUSIP: 3140L2MB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      127867 | PA      | $115653.45      | 0.00%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CASCADE FUNDING MORTGAGE TRUST 2024-RM5                                   | CASCADE FUNDING MORTGAGE TRUST CFMT 2024 RM5 A 144A     | CUSIP: 147275AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13667679 | PA      | $13436024.10    | 0.11%             | 2054-10-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2023-DSC1                                      | JP MORGAN MORTGAGE TRUST JPMMT 2023 DSC1 A1 144A        | CUSIP: 46656NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3854722 | PA      | $3789241.87     | 0.03%             | 2063-07-25      | Variable      | 4.62%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                               | ICG US CLO LTD ICG 2021 3A AR 144A                      | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17300000 | PA      | $17320353.45    | 0.14%             | 2034-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 787212 G2 10/47 FIXED 3.5                  | CUSIP: 3622AC3V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17614756 | PA      | $16139972.65    | 0.13%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 C7                             | CUSIP: 31325XWQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1724796 | PA      | $259383.77      | 0.00%             | 2049-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2005-2                                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2005 2 2A1A          | CUSIP: 02660VBH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      854744 | PA      | $542044.73      | 0.00%             | 2036-01-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2025-1                         | FREDDIE MAC   SCRT SCRT 2025 1 M 144A                   | CUSIP: 35563VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      385000 | PA      | $326423.02      | 0.00%             | 2064-11-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8D6A8 PIMCO FPPSWAPTION 4.26 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    57700000 | NC      | $3532024.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR5                         | SECURITIZED ASSET BACKED RECEI SABR 2007 BR5 A1 144A    | CUSIP: 81379RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6336732 | PA      | $5575279.25     | 0.04%             | 2037-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-2                                                    | CHASEFLEX TRUST CFLX 2007 2 M1                          | CUSIP: 16165WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8700000 | PA      | $7900056.75     | 0.06%             | 2037-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD9692 FN 05/55 FIXED 6                       | CUSIP: 3140BAXW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3346165 | PA      | $3477414.82     | 0.03%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 26CB A6       | CUSIP: 12667GTS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3957082 | PA      | $2849202.08     | 0.02%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2019-SL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2019 SL1 M2 144A    | CUSIP: 36257EAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18306000 | PA      | $17946365.82    | 0.14%             | 2059-01-25      | Variable      | 3.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004489 G2 07/39 FIXED 5                    | CUSIP: 36202E7A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2291 | PA      | $2296.42        | 0.00%             | 2039-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3684                                                   | FREDDIE MAC FHR 3684 JI                                 | CUSIP: 3137A06E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      471787 | PA      | $27598.38       | 0.00%             | 2036-11-15      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H16                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H16 FA          | CUSIP: 38375B4Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       72780 | PA      | $72861.71       | 0.00%             | 2063-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7578 FR 04/55 FIXED 6               | CUSIP: 3132DVM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   111308038 | PA      | $115703276.18   | 0.93%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 328                                                    | FREDDIEMAC STRIP FHS 328 S4                             | CUSIP: 31352DC24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7644128 | PA      | $403477.51      | 0.00%             | 2038-02-15      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                               | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A C            | CUSIP: 30165BAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10000000 | PA      | $10027904.00    | 0.08%             | 2030-01-15      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-436                                                       | FANNIEMAE STRIP FNS 436 C4                              | CUSIP: 31424UFR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20943709 | PA      | $1409470.35     | 0.01%             | 2037-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4              | CREDIT BASED ASSET SERVICING A CBASS 2006 CB4 AV3       | CUSIP: 12498QAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3867807 | PA      | $2653097.45     | 0.02%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B G 144A      | CUSIP: 02007G4H3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3422033 | PA      | $3493994.85     | 0.03%             | 2032-09-15      | Fixed         | 11.39%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1958                                                          | FREDDIE MAC FHR 1958 G                                  | CUSIP: 3133TA3Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4771 | PA      | $4690.45        | 0.00%             | 2026-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8FNA4 PIMCO FPPSWAPTION 4.245 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    57700000 | NC      | $3554493.10     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING I LTD 2020-1A                                       | ROMARK CREDIT FUNDING LTD RCF 2020 1A AV 144A           | CUSIP: 77588EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11000000 | PA      | $10754541.27    | 0.09%             | 2038-04-28      | Fixed         | 3.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2565 FN 08/55 FIXED VAR                     | CUSIP: 3140W2Z79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6340828 | PA      | $6685315.38     | 0.05%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C B 144A        | CUSIP: 83208DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2300000 | PA      | $2309743.49     | 0.02%             | 2055-03-15      | Fixed         | 5.10%                 | 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        |     5233339 | PA      | $5067617.69     | 0.04%             | 2035-11-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H18                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H18 FA          | CUSIP: 38376RXY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1575900 | PA      | $1579197.70     | 0.01%             | 2066-08-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 7 2A4           | CUSIP: 232422AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1541282 | PA      | $1525749.42     | 0.01%             | 2046-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| UPX HIL 2025-1 ISSUER TRUST                                               | UPX HIL 2025 1 ISSUER TRUST UPXHI 2025 1 A 144A         | CUSIP: 916925AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2307950 | PA      | $2319635.11     | 0.02%             | 2047-01-25      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4121                                                   | FREDDIE MAC FHR 4121 UI                                 | CUSIP: 3137AV7B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5373095 | PA      | $604515.67      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4140                                                   | FREDDIE MAC FHR 4140 GI                                 | CUSIP: 3137AWRZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      705439 | PA      | $14321.89       | 0.00%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-SB1                                | UPSTART PASS THROUGH TRUST UPSPT 2022 SB1 A 144A        | CUSIP: 91682PAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1213325 | PA      | $1231295.15     | 0.01%             | 2028-10-20      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC                      | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2023 3A A 144A       | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4436752 | PA      | $4443808.60     | 0.04%             | 2032-01-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-CES3                                 | JP MORGAN MORTGAGE TRUST JPMMT 2025 CES3 PT 144A        | CUSIP: 46659XAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   116277272 | PA      | $126478299.91   | 1.01%             | 2055-10-25      | Fixed         | 9.04%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR16                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR16 2A2       | CUSIP: 92922F7D4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130741 | PA      | $119727.90      | 0.00%             | 2035-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-6                                         | VERUS SECURITIZATION TRUST VERUS 2024 6 A1 144A         | CUSIP: 92540JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8969453 | PA      | $9063595.31     | 0.07%             | 2069-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-20                                                 | FANNIE MAE FNR 2019 20 QI                               | CUSIP: 3136B4NL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3284938 | PA      | $538904.96      | 0.00%             | 2049-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                                   | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV3 AX3 144A    | CUSIP: 90355RBD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5982845 | PA      | $796782.76      | 0.01%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H06                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H06 FA          | CUSIP: 38375BKL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      406780 | PA      | $406737.69      | 0.00%             | 2061-02-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GCAT 2021-NQM3 TRUST                                                      | GCAT GCAT 2021 NQM3 M1 144A                             | CUSIP: 36167HAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9952000 | PA      | $7489997.61     | 0.06%             | 2066-05-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BC4782 G2 08/47 FIXED 3.5                  | CUSIP: 3617B8J33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32152 | PA      | $29706.08       | 0.00%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B       | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2733535 | PA      | $1027985.55     | 0.01%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ8072 FN 02/48 FIXED 4                       | CUSIP: 3140H96J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      191386 | PA      | $183644.36      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS8509 FN 12/46 FIXED 3                       | CUSIP: 3138WJN38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5234695 | PA      | $4769544.54     | 0.04%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3306 FN 03/48 FIXED 4                       | CUSIP: 31418CU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       83910 | PA      | $80834.15       | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL7                             | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL7 SA 144A   | CUSIP: 36273CAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      135404 | PA      | $133057.27      | 0.00%             | 2064-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2021-1 LTD                                                     | CQS US CLO LTD CQS 2021 1A AR 144A                      | CUSIP: 12659UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9000000 | PA      | $9034812.99     | 0.07%             | 2035-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-162                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 162 SC          | CUSIP: 38380HXB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5268131 | PA      | $74830.64       | 0.00%             | 2047-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0241 FN 08/54 FIXED 6                       | CUSIP: 3140AMHT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3009116 | PA      | $3120351.87     | 0.02%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AY9388 G2 01/47 FIXED 3.5                  | CUSIP: 36197AND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      695994 | PA      | $643883.11      | 0.01%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ45         | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ45 A2             | CUSIP: 3137HA4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27615000 | PA      | $28020186.61    | 0.22%             | 2031-01-25      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF1 LLC                                                        | PRP ADVISORS, LLC PRPM 2024 RCF1 A1 144A                | CUSIP: 693581AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      760135 | PA      | $749689.85      | 0.01%             | 2054-01-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S CHOICE HOME LOAN SECURITIES TRUST SERIES 2004-1                  | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2004 1 M1          | CUSIP: 71085PAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2144193 | PA      | $2046809.03     | 0.02%             | 2034-06-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BR8831 FN 02/51 FIXED 3                       | CUSIP: 3140L7Y55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      658054 | PA      | $587670.59      | 0.00%             | 2051-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5004                                                   | FREDDIE MAC FHR 5004 ST                                 | CUSIP: 3137FVDV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22599482 | PA      | $3346829.54     | 0.03%             | 2050-07-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9OPA2 PIMCO FPPSWAPTION 4.4 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   129000000 | NC      | $7263525.60     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2703 FR 05/55 FIXED 6               | CUSIP: 31426MAD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1584450 | PA      | $1644767.29     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-15                                                 | FANNIE MAE FNR 2013 15 PT                               | CUSIP: 3136ACQ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2161478 | PA      | $2109003.09     | 0.02%             | 2028-03-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                  | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF C 144A     | CUSIP: 61691KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3888955.20     | 0.03%             | 2034-11-15      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9S8A2 PIMCO SWAPTION 4.2 PUT USD 20251007           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -96100000 | NC      | $-9.61          | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.57226 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-392.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA4126 G2 12/46 FIXED 3                    | CUSIP: 36179SSP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5357289 | PA      | $4850896.18     | 0.04%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC1351 FN 08/54 FIXED 6.5                     | CUSIP: 3140ANQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      615965 | PA      | $639388.41      | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                           | AVON FINANCE AVON 4A A 144A                             | CUSIP: ACI2JTXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    14014101 | PA      | $18889963.96    | 0.15%             | 2049-12-28      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4135                                                   | FREDDIE MAC FHR 4135 CI                                 | CUSIP: 3137AWBC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1025517 | PA      | $20829.59       | 0.00%             | 2027-11-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIP TRUST 195                                               | FREDDIEMAC STRIP FHS 195 PO                             | CUSIP: 31351BTN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         474 | PA      | $460.07         | 0.00%             | 2028-04-01      | None          | 0.00%                 | 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        |      830540 | PA      | $577476.73      | 0.00%             | 2037-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-2                                              | LEHMAN MORTGAGE TRUST LMT 2007 2 1A2                    | CUSIP: 52521DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3632029 | PA      | $2383541.40     | 0.02%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A7          | CUSIP: 93935HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4948532 | PA      | $1306365.84     | 0.01%             | 2036-09-25      | Variable      | 6.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM7503 FN 07/50 FIXED VAR                     | CUSIP: 3140XBKR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6625040 | PA      | $6123158.90     | 0.05%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-2CON                                        | BANKERS HEALTHCARE GROUP SECUR BHG 2025 2CON A 144A     | CUSIP: 05494LAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    12213465 | PA      | $12319102.56    | 0.10%             | 2036-09-17      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 783320 GN 03/41 FIXED 4.5                     | CUSIP: 36241LVM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5786972 | PA      | $5661610.02     | 0.05%             | 2041-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R4                                                         | CIM TRUST CIM 2023 R4 A1 144A                           | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2195027 | PA      | $2195045.91     | 0.02%             | 2062-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $15430.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q54461 FG 02/48 FIXED 4               | CUSIP: 3132XW5X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2783643 | PA      | $2691007.23     | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1A 144A      | CUSIP: 83207QAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    25205849 | PA      | $25895012.63    | 0.21%             | 2053-07-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE3652 FN 05/47 FLOATING VAR                  | CUSIP: 3140FPBW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      506432 | PA      | $507407.05      | 0.00%             | 2047-05-01      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                            | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                 | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      271742 | PA      | $257878.75      | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    57000000 | NC      | $3183398.70     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9EEA6 PIMCO FPPSWAPTION 4.52 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35700000 | NC      | $1962953.79     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8821 FN 06/28 FIXED 4.32                    | CUSIP: 3140LKYT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2325227 | PA      | $2345289.75     | 0.02%             | 2028-06-01      | Fixed         | 4.32%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA1                                  | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA1 A8        | CUSIP: 94984TAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      258884 | PA      | $209736.37      | 0.00%             | 2037-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0307 FR 01/55 FIXED 5.5             | CUSIP: 31427MKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25423113 | PA      | $26064515.80    | 0.21%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING LTD. 2020-11A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 11A A 144A     | CUSIP: 03330KAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    24983502 | PA      | $24353188.79    | 0.19%             | 2038-04-25      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4141                                                   | FREDDIE MAC FHR 4141 SJ                                 | CUSIP: 3137AX2S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       90712 | PA      | $49361.38       | 0.00%             | 2042-12-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZN4377 FR 04/49 FIXED 4.5             | CUSIP: 3131YA2J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      300928 | PA      | $297507.08      | 0.00%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-7 LLC                                                           | PRP ADVISORS, LLC PRPM 2024 7 A1 144A                   | CUSIP: 74448LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4262214 | PA      | $4266783.34     | 0.03%             | 2029-11-25      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0873 FR 04/55 FIXED 6               | CUSIP: 31427M6K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7321851 | PA      | $7613237.70     | 0.06%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3954                                                   | FREDDIE MAC FHR 3954 PD                                 | CUSIP: 3137AJ3V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      587692 | PA      | $558185.49      | 0.00%             | 2041-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER MORTGAGE ASSET RECEIVABLE TRUST 2025-NQM1                       | SANTANDER MORTGAGE ASSET RECEI SAN 2025 NQM1 A1 144A    | CUSIP: 80262BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2704420 | PA      | $2723259.33     | 0.02%             | 2065-01-25      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9RCA9 PIMCO SWAPTION 4.75 PUT USD 20251009          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  1483000000 | NC      | $148.30         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3598                                                   | FREDDIE MAC FHR 3598 JI                                 | CUSIP: 31398KZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      182664 | PA      | $8535.53        | 0.00%             | 2037-10-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1592 FR 12/54 FIXED 6.5             | CUSIP: 31425VXW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      221056 | PA      | $230590.50      | 0.00%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QH5835 FR 11/53 FIXED 5.5             | CUSIP: 3133CJPU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2473160 | PA      | $2509345.37     | 0.02%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PENFED AUTO RECEIVABLES OWNER TRUST 2024-A                                | PENFED AUTO RECEIVABLES OWNER PNFED 2024 A A3 144A      | CUSIP: 70687FAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7200000 | PA      | $7248239.28     | 0.06%             | 2029-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9U7A8 PIMCO SWAPTION 4.221 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -156200000 | NC      | $-15.62         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H05 FC          | CUSIP: 38376RU61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      537790 | PA      | $538888.42      | 0.00%             | 2067-02-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| NASSAU LTD 2018-IA                                                        | NASSAU 2018 I LTD. NCC 2018 IA A 144A                   | CUSIP: 63170MAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2187926 | PA      | $2189365.73     | 0.02%             | 2031-07-15      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 2A1      | CUSIP: 12668BUH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      894132 | PA      | $851561.15      | 0.01%             | 2036-05-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0201 FN 07/54 FIXED 7                       | CUSIP: 3140AMGK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      918037 | PA      | $967078.58      | 0.01%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-84                                                 | FANNIE MAE FNR 2014 84 AI                               | CUSIP: 3136AL2X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2942281 | PA      | $18863.26       | 0.00%             | 2043-02-25      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-64                                                 | FANNIE MAE FNR 2015 64 KS                               | CUSIP: 3136AP3C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      393014 | PA      | $16203.65       | 0.00%             | 2045-09-25      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| EFMT 2024-CES1                                                            | ELLINGTON FINANCIAL MORTGAGE T EFMT 2024 CES1 A1 144A   | CUSIP: 281907AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1392392 | PA      | $1404454.35     | 0.01%             | 2060-01-26      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A D 144A       | CUSIP: 21050QAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1017000 | PA      | $1032573.63     | 0.01%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF6          | CUSIP: 759950GY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2134217 | PA      | $969540.86      | 0.01%             | 2036-05-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE TOWERS LLC                                                   | CROWN CASTLE TOWERS LLC ASSET BACKED 144A 07/48 4.241   | CUSIP: 22822RBH2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      500000 | PA      | $494513.70      | 0.00%             | 2048-07-15      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2B        | CUSIP: 59022QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2439787 | PA      | $1200873.93     | 0.01%             | 2037-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5508                                                   | FREDDIE MAC FHR 5508 FC                                 | CUSIP: 3137HJGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38021335 | PA      | $38102860.31    | 0.30%             | 2055-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE9717 FN 05/37 FIXED 4                       | CUSIP: 3140FVYP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      787287 | PA      | $780164.56      | 0.01%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-135                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 135 BO          | CUSIP: 38381AJF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      719053 | PA      | $659454.92      | 0.01%             | 2043-06-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                      | BX TRUST BX 2021 MC C 144A                              | CUSIP: 05608GAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2900000 | PA      | $2815472.83     | 0.02%             | 2034-04-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4068                                                   | FREDDIE MAC FHR 4068 TS                                 | CUSIP: 3137ARPM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3805526 | PA      | $430959.10      | 0.00%             | 2042-06-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 D 144A       | CUSIP: 39571XAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      650000 | PA      | $664440.27      | 0.01%             | 2059-10-27      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7445 FN 11/53 FIXED 6.5                     | CUSIP: 3140QTHX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2481132 | PA      | $2598875.45     | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2015-SC02                         | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2015 SC02 1A        | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |      797290 | PA      | $700222.62      | 0.01%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BD7081 FN 03/47 FIXED 4                       | CUSIP: 3140FE2P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12638 | PA      | $12100.55       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U5SQA6 PIMCO SWAPTION 6.0 PUT USD 20251022           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   202000000 | NC      | $20.20          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-52                                                 | FANNIE MAE FNR 2014 52 QF                               | CUSIP: 3136AKF81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3208399 | PA      | $3145304.77     | 0.03%             | 2044-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-62                                                 | FANNIE MAE FNR 2020 62 AI                               | CUSIP: 3136BBXG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6247685 | PA      | $1060573.19     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GPMT LLC 2021-FL3                                                         | GPMT LTD. GPMT 2021 FL3 C 144A                          | CUSIP: 36264BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    10000000 | PA      | $9233215.00     | 0.07%             | 2035-07-16      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 005085 G2 06/41 FIXED 6                    | CUSIP: 36202FUJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44267 | PA      | $45630.94       | 0.00%             | 2041-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B B 144A        | CUSIP: 83206NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    21459648 | PA      | $21124297.84    | 0.17%             | 2055-02-16      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H05 FE          | CUSIP: 38380LAY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      644002 | PA      | $647039.40      | 0.01%             | 2068-02-20      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2005-1                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2005 1 AF5          | CUSIP: 759950FF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5464451 | PA      | $5489120.23     | 0.04%             | 2035-05-25      | Variable      | 5.95%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-362                                                      | FREDDIEMAC STRIP FHS 362 C4                             | CUSIP: 31325W4P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      715088 | PA      | $119881.83      | 0.00%             | 2047-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A D 144A                      | CUSIP: ACI2SNZ51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2693000 | PA      | $3626391.15     | 0.03%             | 2066-05-16      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARE 144A    | CUSIP: 033296AS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      918752 | PA      | $909375.07      | 0.01%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-INV1 TRUST                                                      | GCAT GCAT 2024 INV1 2A2 144A                            | CUSIP: 36831BBC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6155631 | PA      | $6289018.79     | 0.05%             | 2054-01-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5179                                                   | FREDDIE MAC FHR 5179 IO                                 | CUSIP: 3137H4YX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31495597 | PA      | $4509190.03     | 0.04%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                       | ELEVATION CLO LTD AWPT 2018 3A BR2 144A                 | CUSIP: 28623VAS8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3500000 | PA      | $3506879.32     | 0.03%             | 2035-01-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-68                                                 | FANNIE MAE FNR 2020 68 KI                               | CUSIP: 3136BB4P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8159703 | PA      | $1005921.67     | 0.01%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-33                                                 | FANNIE MAE FNR 2024 33 UF                               | CUSIP: 3136BSDZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    71232172 | PA      | $71621035.43    | 0.57%             | 2054-01-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0243 FN 08/54 FIXED 6.5                     | CUSIP: 3140AMHV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      753217 | PA      | $783758.53      | 0.01%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3151                                                          | FREDDIE MAC FHR 3151 PO                                 | CUSIP: 31396NU46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66335 | PA      | $56679.60       | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                               | WATR ISSUER TRUST WATR 2025 1 D 144A                    | CUSIP: 942611AD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5800000 | PA      | $5817457.77     | 0.05%             | 2050-06-17      | Fixed         | 6.77%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2020-89                                                 | FANNIE MAE FNR 2020 89 IG                               | CUSIP: 3136BC5C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8862491 | PA      | $1519848.03     | 0.01%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4729 FN 09/42 FIXED 4                       | CUSIP: 31418EHF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       85250 | PA      | $83378.91       | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AX6792 G2 01/47 FIXED 3.5                  | CUSIP: 36196JRM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      597284 | PA      | $552574.70      | 0.00%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 4A1        | CUSIP: 93364FAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27126 | PA      | $24711.13       | 0.00%             | 2037-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2639 FR 07/55 FIXED 6.5             | CUSIP: 31427P4Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4926605 | PA      | $5207166.93     | 0.04%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0212 FN 08/54 FIXED 5                       | CUSIP: 3140AMGW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      555569 | PA      | $556340.08      | 0.00%             | 2054-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ0945 FR 07/54 FIXED 6               | CUSIP: 3133CRBN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3685352 | PA      | $3811296.01     | 0.03%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.01250 04/09/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3801387.53     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-157                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 157 SB          | CUSIP: 38379FCF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      346371 | PA      | $365988.43      | 0.00%             | 2045-10-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM2090 FN 05/49 FIXED VAR                     | CUSIP: 3140X5KC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      701887 | PA      | $734774.42      | 0.01%             | 2049-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-82                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 82 TS           | CUSIP: 38379NMD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      967317 | PA      | $522302.22      | 0.00%             | 2044-01-20      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2962                                                          | FREDDIE MAC FHR 2962 BS                                 | CUSIP: 31395TQ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31077 | PA      | $255.64         | 0.00%             | 2035-03-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5156                                                   | FREDDIE MAC FHR 5156 GI                                 | CUSIP: 3137H2VR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11335703 | PA      | $1454312.92     | 0.01%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                            | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A2 144A     | CUSIP: 39571VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6086311 | PA      | $6111058.52     | 0.05%             | 2060-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 A 144A      | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3744602 | PA      | $3766143.46     | 0.03%             | 2032-06-15      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                                  | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A B 144A      | CUSIP: 37989EAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $512307.20      | 0.00%             | 2030-08-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-87                                                 | FANNIE MAE FNR 2015 87 IA                               | CUSIP: 3136AQWT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      336656 | PA      | $34424.93       | 0.00%             | 2045-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                   | SCLP 2025 C D 144A SCLP 2025 C D 144A                   | CUSIP: 990AAWMB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2170000 | PA      | $2158875.93     | 0.02%             | 2034-09-06      | Fixed         | 5.23%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-158                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 158 OP          | CUSIP: 38377RCR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1042785 | PA      | $899869.11      | 0.01%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP 419                                                       | FANNIEMAE STRIP FNS 419 C3                              | CUSIP: 31395Q5Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1160961 | PA      | $157228.92      | 0.00%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-56                                                 | FANNIE MAE FNR 2021 56 IB                               | CUSIP: 3136BGV99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7884725 | PA      | $564517.92      | 0.00%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-D                                         | CPS AUTO TRUST CPS 2024 D A 144A                        | CUSIP: 22411JAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3086911 | PA      | $3091761.63     | 0.02%             | 2028-06-15      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5471                                                   | FREDDIE MAC FHR 5471 FH                                 | CUSIP: 3137HH7G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    45685005 | PA      | $45912571.08    | 0.37%             | 2054-11-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP FNS 426                                         | FANNIEMAE STRIP FNS 426 C37                             | CUSIP: 31422MZZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17158099 | PA      | $2221120.25     | 0.02%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 B 144A      | CUSIP: 55284AAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10000000 | PA      | $9956583.50     | 0.08%             | 2036-10-16      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QA3208 FR 10/49 FIXED 3.5             | CUSIP: 31339SR56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      276630 | PA      | $256251.90      | 0.00%             | 2049-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4               | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3789204 | PA      | $3648343.79     | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.79000 05/07/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4152771.67     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| VCAT LLC 2025-NPL2                                                        | VCAT ASSET SECURITIZATION, LLC VCAT 2025 NPL2 A1 144A   | CUSIP: 92243PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5239736 | PA      | $5252529.72     | 0.04%             | 2055-01-25      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 126 GS          | CUSIP: 38379QFL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      323052 | PA      | $217174.11      | 0.00%             | 2045-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA4899 G2 12/47 FIXED 3                    | CUSIP: 36179TNQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6269657 | PA      | $5670204.08     | 0.05%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H0326A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    48320000 | PA      | $44064387.54    | 0.35%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD4642 FR 01/54 FIXED 6.5             | CUSIP: 3132DSEP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3653503 | PA      | $3827379.66     | 0.03%             | 2054-01-01      | Fixed         | 6.50%                 | 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        |        5053 | PA      | $5051.58        | 0.00%             | 2035-07-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-59                                                 | FANNIE MAE FNR 2021 59 KI                               | CUSIP: 3136BGB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20688867 | PA      | $4417627.55     | 0.04%             | 2051-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-63                                                 | FANNIE MAE FNR 2013 63 GB                               | CUSIP: 3136AENU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3696160 | PA      | $3589171.32     | 0.03%             | 2028-06-25      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A B 144A       | CUSIP: 83407UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3796000 | PA      | $3850272.66     | 0.03%             | 2034-03-27      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                                      | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A A 144A     | CUSIP: 07325QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3037367 | PA      | $3064256.99     | 0.02%             | 2037-03-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-208                                                      | FREDDIEMAC STRIP FHS 208 PO                             | CUSIP: 3128CVBL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       48717 | PA      | $45453.08       | 0.00%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 12A1          | CUSIP: 026935AC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4265476 | PA      | $4131272.88     | 0.03%             | 2037-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAH8A4 PIMCO SWAPTION 2.6 CALL USD 20260617          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   266900000 | NC      | $700238.84      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ATLX 2024-RPL2 TRUST                                                      | ATLX TRUST ATLX 2024 RPL2 A1 144A                       | CUSIP: 049919AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4055162 | PA      | $3914476.02     | 0.03%             | 2063-04-25      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-464975.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7GIA9 PIMCO SWAPTION 5.0 PUT USD 20251024           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   426200000 | NC      | $42.62          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H33                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H33 FA          | CUSIP: 38376RNF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      178444 | PA      | $178601.73      | 0.00%             | 2065-12-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2023-3A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2023 3A D 144A          | CUSIP: 36267PAJ5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3690000 | PA      | $3776298.03     | 0.03%             | 2029-05-15      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL3 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL3 A1 144A     | CUSIP: 12661GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1204633 | PA      | $1073483.95     | 0.01%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5458                                                   | FREDDIE MAC FHR 5458 FE                                 | CUSIP: 3137HFWZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13446392 | PA      | $13424503.89    | 0.11%             | 2054-10-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO WELLS FARGO REVERSE REPO                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -471763814 | PA      | $-472272139.52  | -3.78%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                                      | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A     | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7282181 | PA      | $7212656.01     | 0.06%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5052                                                   | FREDDIE MAC FHR 5052 EI                                 | CUSIP: 3137F7HC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29426948 | PA      | $5008195.82     | 0.04%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FN          | CUSIP: 38376R5Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56441 | PA      | $56470.91       | 0.00%             | 2067-07-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                                | LCM LTD PARTNERSHIP LCM 31A AR 144A                     | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6750000 | PA      | $6758842.23     | 0.05%             | 2034-07-20      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL2                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL2 A1A 144A | CUSIP: 161930AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9224678 | PA      | $8278247.15     | 0.07%             | 2064-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-77                                                 | FANNIE MAE FNR 2024 77 FG                               | CUSIP: 3136BTQX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   106881211 | PA      | $106881531.67   | 0.85%             | 2054-11-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B F 144A      | CUSIP: 02007G4G5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      789700 | PA      | $802724.05      | 0.01%             | 2032-09-15      | Fixed         | 8.04%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-2RA                         | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 2RA A1 144A    | CUSIP: 14314LAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      570273 | PA      | $570659.47      | 0.00%             | 2031-05-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A3           | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1700000 | PA      | $1720987.86     | 0.01%             | 2028-11-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A2          | CUSIP: 059475AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      228914 | PA      | $166247.73      | 0.00%             | 2037-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $167421.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 804377 FN 12/34 FLOATING VAR                  | CUSIP: 31406AUA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       91913 | PA      | $93492.15       | 0.00%             | 2034-12-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV2                                                             | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV2 A9 144A     | CUSIP: 90354TAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7212255 | PA      | $6712164.78     | 0.05%             | 2051-09-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RN60 OTC EPUT FN 5.5 DEC25 98.9453125 PUT          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   148000000 | NC      | $138498.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-6                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 6 A 144A       | CUSIP: 69548KAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1251119 | PA      | $1260164.85     | 0.01%             | 2031-11-15      | Fixed         | 6.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-61                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 61 LI           | CUSIP: 38379WD66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1910442 | PA      | $365830.88      | 0.00%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                           | SBA TOWER TRUST ASSET BACKED 144A 04/27 1.84            | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    17600000 | PA      | $16818382.24    | 0.13%             | 2027-04-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-137                                                | FANNIE MAE FNR 2012 137 NZ                              | CUSIP: 3136AAH40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       94341 | PA      | $56412.50       | 0.00%             | 2042-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2005-2A                                     | TABERNA PREFERED FUNDING LTD TBRNA 2005 2A A1B 144A     | CUSIP: 87330UAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1202069 | PA      | $1123934.20     | 0.01%             | 2035-11-05      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-3                                       | UPSTART SECURITIZATION TRUST UPST 2025 3 A2 144A        | CUSIP: 91684FAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6600000 | PA      | $6607221.72     | 0.05%             | 2035-09-20      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX9880 FR 04/55 FIXED 6.5             | CUSIP: 31426G6S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3606184 | PA      | $3730623.61     | 0.03%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA E 144A      | CUSIP: 21050UAF5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      410000 | PA      | $417688.89      | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BC6000 FN 05/46 FIXED 4                       | CUSIP: 3140F1U26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47459 | PA      | $45606.76       | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 C A1B 144A      | CUSIP: 78449CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1812158 | PA      | $1840532.31     | 0.01%             | 2050-05-16      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ49         | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ49 A1             | CUSIP: 3137HBPF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12865277 | PA      | $13217261.79    | 0.11%             | 2030-09-25      | Variable      | 5.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AA1052 G2 06/42 FIXED 3.5                  | CUSIP: 36177XEZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38759 | PA      | $35547.31       | 0.00%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-138                                                | FANNIE MAE FNR 2012 138 AI                              | CUSIP: 3136AAEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      455435 | PA      | $7357.46        | 0.00%             | 2027-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 A2 144A    | CUSIP: 14687WAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1357280 | PA      | $1358276.19     | 0.01%             | 2027-12-10      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                   | FREDDIE MAC FHR 5426 BF                                 | CUSIP: 3137HCXW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1105200 | PA      | $1107498.25     | 0.01%             | 2049-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS4556 FN 03/40 FIXED 3.5                     | CUSIP: 3138WEB24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      230305 | PA      | $220001.58      | 0.00%             | 2040-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ASCENT EDUCATION FUNDING TRUST 2024-A                                     | ASCENT EDUCATION FUNDING TRUST ASCNT 2024 A A 144A      | CUSIP: 04362VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2505779 | PA      | $2570975.07     | 0.02%             | 2050-10-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA0361 FN 09/37 FIXED 4                       | CUSIP: 3140Q7MK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1072976 | PA      | $1059026.35     | 0.01%             | 2037-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST 2024-2                                 | TRICOLOR AUTO SECURITIZATION T TAST 2024 2A A 144A      | CUSIP: 89616PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      357657 | PA      | $343766.19      | 0.00%             | 2027-12-15      | Fixed         | 6.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3200                                                          | FREDDIE MAC FHR 3200 PO                                 | CUSIP: 31397AJ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31815 | PA      | $27372.71       | 0.00%             | 2036-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.17000 05/01/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $477101.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                               | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A B            | CUSIP: 30165BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10000000 | PA      | $10016344.00    | 0.08%             | 2029-04-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7230 FR 11/54 FIXED 4.5             | CUSIP: 3132DVA70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1244138 | PA      | $1215051.52     | 0.01%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2808 FR 05/55 FIXED 6               | CUSIP: 31426MDN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1596029 | PA      | $1656416.83     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-66                                                 | FANNIE MAE FNR 2020 66 CI                               | CUSIP: 3136BBL42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22356796 | PA      | $4874376.14     | 0.04%             | 2050-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3465 FN 09/38 FIXED 4                       | CUSIP: 31418CZ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4190120 | PA      | $4125449.29     | 0.03%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-35                                                 | FANNIE MAE FNR 2018 35 SA                               | CUSIP: 3136B1D27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3756604 | PA      | $562198.29      | 0.00%             | 2048-05-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 42314                                                  | FREDDIE MAC FHR 4314 FC                                 | CUSIP: 3137B9F34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1355558 | PA      | $1342719.22     | 0.01%             | 2044-03-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3149                                                          | FREDDIE MAC FHR 3149 OD                                 | CUSIP: 31396RH59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59793 | PA      | $52710.10       | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                            | GSAA HOME EQUITY TRUST GSAA 2006 10 AF3                 | CUSIP: 362375AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      606870 | PA      | $135545.77      | 0.00%             | 2036-06-25      | Variable      | 5.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5004                                                   | FREDDIE MAC FHR 5004 YI                                 | CUSIP: 3137FVBP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6348123 | PA      | $701156.51      | 0.01%             | 2050-08-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-31                                            | COUNTRYWIDE HOME LOANS CWHL 2005 31 4A1                 | CUSIP: 126694US5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      823385 | PA      | $782371.65      | 0.01%             | 2036-01-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1B 144A      | CUSIP: 83206EAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2503350 | PA      | $2503554.91     | 0.02%             | 2052-06-17      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 C55                            | CUSIP: 31325XWE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1397728 | PA      | $253280.29      | 0.00%             | 2049-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AT9839 FN 06/43 FIXED 4                       | CUSIP: 3138WX4Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22598 | PA      | $21965.11       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4111                                                   | FREDDIE MAC FHR 4111 CI                                 | CUSIP: 3137AUC56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      310639 | PA      | $6670.23        | 0.00%             | 2027-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM7 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM7 A1 144A          | CUSIP: 67117XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3083686 | PA      | $3126247.17     | 0.03%             | 2063-04-25      | Fixed         | 6.84%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3607                                                   | FREDDIE MAC FHR 3607 BO                                 | CUSIP: 31398LQM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23459 | PA      | $20714.50       | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-16                                                 | FANNIE MAE FNR 2016 16 IO                               | CUSIP: 3136ARTM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1187853 | PA      | $201362.07      | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4840                                                   | FREDDIE MAC FHR 4840 AO                                 | CUSIP: 3137FJRD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1736975 | PA      | $1208884.75     | 0.01%             | 2053-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY0131 FN 05/53 FIXED 5.5                     | CUSIP: 3140NGED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5604956 | PA      | $5703054.84     | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0726 FN 01/55 FIXED VAR                     | CUSIP: 3140W0YY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15231067 | PA      | $16055265.05    | 0.13%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS8143 FN 10/46 FIXED 4                       | CUSIP: 3138WJBM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38381 | PA      | $37028.00       | 0.00%             | 2046-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-2                                                  | FANNIE MAE FNR 2020 2 S                                 | CUSIP: 3136B8JL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13774247 | PA      | $1792860.10     | 0.01%             | 2059-07-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A B 144A           | CUSIP: ACI0Y9KJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2387000 | PA      | $3234352.09     | 0.03%             | 2049-12-21      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A E 144A       | CUSIP: 21050QAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      584000 | PA      | $595653.72      | 0.00%             | 2054-11-25      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H12                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H12 FB          | CUSIP: 38383KZE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16273234 | PA      | $16281292.79    | 0.13%             | 2074-07-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 295                                                    | FREDDIEMAC STRIP FHS 295 IO                             | CUSIP: 31283DAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      952595 | PA      | $72657.04       | 0.00%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7IEA9 PIMCO SWAPTION 4.75 PUT USD 20251031          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   181400000 | NC      | $18.14          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DRIVE AUTO RECEIVABLES TRUST 2024-2                                       | DRIVE AUTO RECEIVABLES TRUST DRIVE 2024 2 C             | CUSIP: 26207AAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    20000000 | PA      | $20093184.00    | 0.16%             | 2032-05-17      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 CERT 144A  | CUSIP: 69546YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2230000 | PA      | $1220512.34     | 0.01%             | 2032-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 226                            | CUSIP: 31325XPK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      244827 | PA      | $11988.89       | 0.00%             | 2034-05-15      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY6 A4        | CUSIP: 02151JAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2579850 | PA      | $2188231.92     | 0.02%             | 2047-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM1745 FN 09/43 FLOATING VAR                  | CUSIP: 3140J55F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      517076 | PA      | $534954.30      | 0.00%             | 2043-09-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS6074 FN 10/53 FIXED VAR                     | CUSIP: 3140XMXC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1503653 | PA      | $1584244.73     | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-145                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 145 IQ          | CUSIP: 38380BHF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      243848 | PA      | $7656.41        | 0.00%             | 2045-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  MAR26 XCME 20260616                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -11696 | NC      | $7080853.12     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9377 FN 09/28 FIXED 4.64                    | CUSIP: 3140LLM32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4884179 | PA      | $4965532.43     | 0.04%             | 2028-09-01      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 148                            | CUSIP: 31325XLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      503691 | PA      | $77517.78       | 0.00%             | 2046-09-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1636 FR 12/54 FIXED 5.5             | CUSIP: 31425VZA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4047889 | PA      | $4139313.53     | 0.03%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-6XS                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 6XS 2A6S        | CUSIP: 61751JAM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1976539 | PA      | $675997.50      | 0.01%             | 2047-02-25      | Variable      | 6.20%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-RPL2                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 RPL2 A1 144A   | CUSIP: 69392CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3488017 | PA      | $3350488.23     | 0.03%             | 2064-06-25      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| CAIRN CLO X BV 18-10A                                                     | CAIRN CLO BV CRNCL 2018 10A AR 144A                     | CUSIP: ACI1YFN80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2912630 | PA      | $3421845.62     | 0.03%             | 2031-10-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                          | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1             | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      472009 | PA      | $447315.30      | 0.00%             | 2036-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A5         | CUSIP: 32028GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      247477 | PA      | $255558.55      | 0.00%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| OXFORD FINANCE FUNDING 2022-1A LLC                                        | OXFORD FINANCE FUNDING TRUST OXFIN 2022 1A A2 144A      | CUSIP: 69145BAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8214965 | PA      | $8164448.17     | 0.07%             | 2030-02-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                                   | MADISON PARK FUNDING LTD MDPK 2017 23A AR 144A          | CUSIP: 55820TAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2827902 | PA      | $2829499.02     | 0.02%             | 2031-07-27      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-46                                                 | FANNIE MAE FNR 2021 46 IC                               | CUSIP: 3136BH3S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3965313 | PA      | $663587.60      | 0.01%             | 2051-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9761 FN 10/28 FIXED 5.91                    | CUSIP: 3140LLZ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      908788 | PA      | $951652.15      | 0.01%             | 2028-10-01      | Fixed         | 5.91%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 005115 G2 07/41 FIXED 4.5                  | CUSIP: 36202FVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2956466 | PA      | $2975594.45     | 0.02%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST-2006-2                                       | SAXON ASSET SECURITIES TRUST SAST 2006 2 M1             | CUSIP: 80556XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2174609 | PA      | $2079328.46     | 0.02%             | 2036-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB5544 FN 07/42 FIXED 4.5                     | CUSIP: 31417CES0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1227803 | PA      | $1225375.19     | 0.01%             | 2042-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC0229 FN 08/54 FIXED 5.5                     | CUSIP: 3140AMHF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6961265 | PA      | $7125071.01     | 0.06%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC  2024-NPL8                           | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL8 A1 144A   | CUSIP: 69392DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5890079 | PA      | $5900822.43     | 0.05%             | 2054-11-25      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD8042 FN 05/55 FIXED 6                       | CUSIP: 3140B85C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1082689 | PA      | $1123653.66     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8242 FN 06/54 FIXED VAR                     | CUSIP: 3140XQEQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27048750 | PA      | $28166776.60    | 0.23%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5       | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      259302 | PA      | $258741.87      | 0.00%             | 2036-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1921000 | PA      | $1912052.01     | 0.02%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES4                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES4 A1A 144A     | CUSIP: 74939FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12724115 | PA      | $12903774.32    | 0.10%             | 2044-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5021 FN 05/43 FIXED 4.5                     | CUSIP: 31418ESK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      174413 | PA      | $174230.41      | 0.00%             | 2043-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 A B 144A        | CUSIP: 78448YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3289327 | PA      | $3219657.52     | 0.03%             | 2053-01-15      | Fixed         | 2.31%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2006-65                                                        | FANNIE MAE FNR 2006 65 QO                               | CUSIP: 31396KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1913 | PA      | $1654.51        | 0.00%             | 2036-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-39.09         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    43200000 | NC      | $2217002.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN RESECURITIZATION TRUST SERIES 2009-9 2009-9                     | JP MORGAN REREMIC JPMRR 2009 9 A2 144A                  | CUSIP: 46633XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2934101 | PA      | $2267204.78     | 0.02%             | 2036-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2716874.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BQ1266 GN 11/49 FIXED 3.5                     | CUSIP: 3617LKMP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      438195 | PA      | $401574.53      | 0.00%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4194                                                   | FREDDIE MAC FHR 4194 GS                                 | CUSIP: 3137B1JU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      361285 | PA      | $250719.68      | 0.00%             | 2043-04-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX2567 FR 01/55 FIXED 6               | CUSIP: 31425WZ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1159551 | PA      | $1192458.78     | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3725                                                          | FREDDIE MAC FHR 3725 CD                                 | CUSIP: 3137A1TW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4654564 | PA      | $4517454.99     | 0.04%             | 2040-05-15      | Fixed         | 2.25%                 | 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        |    10000000 | PA      | $8839634.00     | 0.07%             | 2042-04-05      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8643 G2 02/53 FIXED 3                    | CUSIP: 36179XS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17836668 | PA      | $16028844.38    | 0.13%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-49                                                 | FANNIE MAE FNR 2010 49 SC                               | CUSIP: 31398P5R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57339 | PA      | $57051.05       | 0.00%             | 2040-03-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| KKR CLO LTD 21                                                            | KKR FINANCIAL CLO LTD KKR 21 B 144A                     | CUSIP: 48252KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    11700000 | PA      | $11718017.06    | 0.09%             | 2031-04-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A2         | CUSIP: 61754HAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1397303 | PA      | $369466.45      | 0.00%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-43                                                 | FANNIE MAE FNR 2023 43 IO                               | CUSIP: 3136BQJR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    82010363 | PA      | $5595993.50     | 0.04%             | 2037-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H29 FB          | CUSIP: 38376RMD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      772710 | PA      | $774276.50      | 0.01%             | 2065-11-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 C34                            | CUSIP: 31325XVP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5320958 | PA      | $942118.56      | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                    | FREDDIEMAC STRIP FHS 389 C45                            | CUSIP: 31325YRZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   101580227 | PA      | $17443312.82    | 0.14%             | 2052-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BX5670 FN 01/53 FIXED 6                       | CUSIP: 3140NAJQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1845671 | PA      | $1895650.18     | 0.02%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5152                                                   | FREDDIE MAC FHR 5152 IC                                 | CUSIP: 3137H3BN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15271216 | PA      | $2701563.62     | 0.02%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                            | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A4 144A     | CUSIP: 39571NAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4196954 | PA      | $4256023.59     | 0.03%             | 2060-03-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A4         | CUSIP: 14076LAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3700000 | PA      | $3758599.86     | 0.03%             | 2030-12-10      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2025-A                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2025 A A2 144A     | CUSIP: 02007G5D1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13940485 | PA      | $13977711.48    | 0.11%             | 2033-06-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 03/06/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1278509.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4                         | FREDDIE MAC   SCRT SCRT 2019 4 M 144A                   | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    28500000 | PA      | $27150331.20    | 0.22%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG7048 FR 07/53 FIXED 5               | CUSIP: 3133C7ZM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1292100 | PA      | $1293149.77     | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| THUNDERBOLT II AIRCRAFT LEASE LTD 2018-A                                  | THUNDERBOLT AIRCRAFT LEASE LIM TBOLT 2018 A A 144A      | CUSIP: 886065AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |     6202395 | PA      | $6198977.69     | 0.05%             | 2038-09-15      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $111561.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BC6315 FN 04/46 FIXED 4                       | CUSIP: 3140F2AR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26837 | PA      | $25716.53       | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2023-7                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2023 7 C 144A       | CUSIP: 69548RAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    11760409 | PA      | $11840635.74    | 0.09%             | 2031-07-15      | Fixed         | 8.80%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM8 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM8 A1 144A          | CUSIP: 67118CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5393429 | PA      | $5476128.11     | 0.04%             | 2063-09-25      | Fixed         | 7.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ1178 FN 06/31 FIXED 5.81                    | CUSIP: 3140NVJY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    65600000 | PA      | $68295807.07    | 0.55%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-25                                                 | FANNIE MAE FNR 2019 25 ST                               | CUSIP: 3136B4YU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1390534 | PA      | $166581.15      | 0.00%             | 2049-01-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 438                                             | FANNIEMAE STRIP FNS 438 C28                             | CUSIP: 31424UWK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    65174943 | PA      | $13986965.01    | 0.11%             | 2053-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-95                                                 | FANNIE MAE FNR 2018 95 SA                               | CUSIP: 3136B3UE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1279587 | PA      | $126883.84      | 0.00%             | 2049-01-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-3                                                  | FANNIE MAE FNR 2022 3 DS                                | CUSIP: 3136BLFD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    62664206 | PA      | $124689.24      | 0.00%             | 2052-02-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2025-42                                                        | FANNIE MAE FNR 2025 42 CF                               | CUSIP: 3136BWLC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18973814 | PA      | $19211817.32    | 0.15%             | 2055-06-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1512       | FHLMC MULTIFAMILY STRUCTURED P FHMS K 1512 X1           | CUSIP: 3137FMTU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   132154704 | PA      | $6883013.45     | 0.06%             | 2034-04-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  DEC26 XCME 20270316                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       13878 | NC      | $4515641.83     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNR-2020-46                                                               | FANNIE MAE FNR 2020 46 AI                               | CUSIP: 3136BAXC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15514240 | PA      | $2435284.29     | 0.02%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A2         | CUSIP: 23245LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3866181 | PA      | $1466957.33     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | 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        |     3495223 | PA      | $3452027.04     | 0.03%             | 2037-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| ING INVESTMENT MANAGEMENT CLO LTD 2012-4A                                 | VOYA CLO LTD INGIM 2012 4A A2R3 144A                    | CUSIP: 92916GBF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4000000 | PA      | $4006274.16     | 0.03%             | 2030-10-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7518 FR 06/50 FIXED 3               | CUSIP: 3132DVK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27681920 | PA      | $24764342.66    | 0.20%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q51580 FG 10/47 FIXED 4               | CUSIP: 3132XTXJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      928072 | PA      | $897550.68      | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9EFA5 PIMCO FPPSWAPTION 4.52 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35700000 | NC      | $2152420.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-8                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 8 2A3         | CUSIP: 41161PRT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2140082 | PA      | $1544127.17     | 0.01%             | 2035-09-19      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-142                                                | FANNIE MAE FNR 2012 142 AI                              | CUSIP: 3136A96P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2382596 | PA      | $308227.11      | 0.00%             | 2042-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2004-R10                                      | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M2         | CUSIP: 03072SVS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      932544 | PA      | $906734.79      | 0.01%             | 2034-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4973                                                   | FREDDIE MAC FHR 4973 PO                                 | CUSIP: 3137FT2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3595862 | PA      | $2905823.65     | 0.02%             | 2041-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-7                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 7 KX            | CUSIP: 38378B4W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       44276 | PA      | $940.84         | 0.00%             | 2053-05-16      | Variable      | 1.81%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -365235000 | PA      | $-307766039.74  | -2.46%            | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A1         | CUSIP: 32029AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      851881 | PA      | $824111.43      | 0.01%             | 2037-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4804                                                   | FREDDIE MAC FHR 4804 QS                                 | CUSIP: 3137FGLZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      918152 | PA      | $126567.41      | 0.00%             | 2048-06-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE3                                              | ACE SECURITIES CORP. ACE 2007 HE3 A1                    | CUSIP: 00442GAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4694051 | PA      | $1017878.12     | 0.01%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO CIBC                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -84672594 | PA      | $-84764040.85   | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0724 FN 07/54 FIXED VAR                     | CUSIP: 3140W0YW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8412527 | PA      | $8867411.05     | 0.07%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AK2411 FN 02/42 FIXED 4                       | CUSIP: 3138E6VD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       92180 | PA      | $89798.33       | 0.00%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE2689 FN 05/47 FIXED 4                       | CUSIP: 3140FM7B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      200194 | PA      | $192581.05      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8543 FN 07/54 FIXED VAR                     | CUSIP: 3140XQP50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11409486 | PA      | $12016418.66    | 0.10%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AJ9213 FN 01/42 FIXED 4.5                     | CUSIP: 3138E2GX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      169487 | PA      | $169569.80      | 0.00%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2024-2                                             | OPORTUN FUNDING LLC OPTN 2024 2 A 144A                  | CUSIP: 68377KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1156373 | PA      | $1157622.20     | 0.01%             | 2032-02-09      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 781932 GN 03/35 FIXED 6.5                     | CUSIP: 36241KED6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      224684 | PA      | $233411.33      | 0.00%             | 2035-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL1272 FR 02/55 FIXED 6.5             | CUSIP: 31427NMW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8628390 | PA      | $9022766.27     | 0.07%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5470                                                   | FREDDIE MAC FHR 5470 FA                                 | CUSIP: 3137HHCK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    69138135 | PA      | $69059248.36    | 0.55%             | 2054-11-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9VXA7 PIMCO SWAPTION 4.2 PUT USD 20251007           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -204400000 | NC      | $-20.44         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST 2007-4HE                                            | TERWIN MORTGAGE TRUST TMTS 2007 4HE A2 144A             | CUSIP: 88157QAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4296220 | PA      | $2215743.48     | 0.02%             | 2038-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-39                                                 | FANNIE MAE FNR 2023 39 AI                               | CUSIP: 3136BQFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   274945235 | PA      | $35417537.83    | 0.28%             | 2052-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004717 G2 06/40 FIXED 6                    | CUSIP: 36202FG26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17100 | PA      | $17957.21       | 0.00%             | 2040-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 757004 FN 11/33 FIXED 5                       | CUSIP: 31403TAD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31324 | PA      | $31396.60       | 0.00%             | 2033-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  DEC25 XCME 20260317                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        2450 | NC      | $-2774086.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-6                                  | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 6 A11 144A    | CUSIP: 161931AP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7163757 | PA      | $7155015.67     | 0.06%             | 2055-05-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   947500000 | PA      | $918681228.48   | 7.35%             | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8211 FN 05/28 FIXED 4.55                    | CUSIP: 3140LKDR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1272000 | PA      | $1290926.67     | 0.01%             | 2028-05-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 A1 144A     | CUSIP: 12656TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15260822 | PA      | $13538352.79    | 0.11%             | 2060-01-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-NQM5                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 NQM5 A1 144A     | CUSIP: 22946DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      971840 | PA      | $812671.57      | 0.01%             | 2066-05-25      | Variable      | 0.94%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-12                                      | RBSSP RESECURITIZATION TRUST RBSSP 2009 12 20A2 144A    | CUSIP: 74928UCD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1875681 | PA      | $1783037.33     | 0.01%             | 2035-12-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH1                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH1 MV7       | CUSIP: 46630LBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3801066 | PA      | $4074340.60     | 0.03%             | 2036-11-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2611                                                          | FREDDIE MAC FHR 2611 SQ                                 | CUSIP: 31393QYH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2501 | PA      | $2556.28        | 0.00%             | 2033-05-15      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                       | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF D 144A         | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13939000 | PA      | $13888907.42    | 0.11%             | 2035-04-15      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A1         | CUSIP: 75116BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2498888 | PA      | $2114694.07     | 0.02%             | 2037-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-7132.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM3927 FN 03/38 FIXED VAR                     | CUSIP: 3140J8LH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7063050 | PA      | $7004045.32     | 0.06%             | 2038-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                            | SMRT SMRT 2022 MINI A 144A                              | CUSIP: 78457JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    30128000 | PA      | $30100637.75    | 0.24%             | 2039-01-15      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4999                                                   | FREDDIE MAC FHR 4999 DS                                 | CUSIP: 3137FV3C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8628998 | PA      | $938800.47      | 0.01%             | 2043-03-15      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                      | EXTENDED STAY AMERICA TRUST ESA 2021 ESH E 144A         | CUSIP: 30227FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5143984 | PA      | $5153393.05     | 0.04%             | 2038-07-15      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                          | FREDDIE MAC FHR 4839 UO                                 | CUSIP: 3137FJJY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1542671 | PA      | $991078.28      | 0.01%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-26                                                 | FANNIE MAE FNR 2021 26 BI                               | CUSIP: 3136BHFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10544351 | PA      | $1449655.24     | 0.01%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-28690.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-73                                                 | FANNIE MAE FNR 2014 73 MS                               | CUSIP: 3136ALMD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1910252 | PA      | $215132.71      | 0.00%             | 2044-11-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2006-2                                         | IMPAC SECURED ASSETS CORP. IMSA 2006 2 1A2C             | CUSIP: 45256VAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1159826 | PA      | $1030296.33     | 0.01%             | 2036-08-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MTGE 5199                                               | FREDDIE MAC FHR 5199 IO                                 | CUSIP: 3137H6AU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8090392 | PA      | $831941.51      | 0.01%             | 2047-08-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 A1 144A     | CUSIP: 12657GAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      492031 | PA      | $447902.81      | 0.00%             | 2060-10-25      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 331                                             | FANNIEMAE STRIP FNS 331 19                              | CUSIP: 3136FAXY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60436 | PA      | $6825.06        | 0.00%             | 2033-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-26                                                 | FANNIE MAE FNR 2017 26 LS                               | CUSIP: 3136AWDP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4629785 | PA      | $651436.25      | 0.01%             | 2047-04-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U5M3A4 PIMCO SWAPTION 2.5 CALL USD 20251003          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    83300000 | NC      | $8.33           | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018                                                    | FANNIE MAE FNR 2018 25 SA                               | CUSIP: 3136B1VD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4714801 | PA      | $661402.20      | 0.01%             | 2048-04-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-2                                         | VERUS SECURITIZATION TRUST VERUS 2023 2 A1 144A         | CUSIP: 92539DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4417258 | PA      | $4429834.84     | 0.04%             | 2068-03-25      | Fixed         | 6.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-63                                                 | FANNIE MAE FNR 2016 63 SJ                               | CUSIP: 3136ATXF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      203954 | PA      | $22817.63       | 0.00%             | 2046-09-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 446                                             | FANNIEMAE STRIP FNS 446 C16                             | CUSIP: 31425CDW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    71386683 | PA      | $15554836.25    | 0.12%             | 2055-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR2                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR2 A1         | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      794942 | PA      | $746429.10      | 0.01%             | 2037-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-88                                                 | FANNIE MAE FNR 2024 88 FD                               | CUSIP: 3136BT6B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5031144 | PA      | $5056492.61     | 0.04%             | 2054-12-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004747 G2 07/40 FIXED 5                    | CUSIP: 36202FHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3291 | PA      | $3377.77        | 0.00%             | 2040-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3607                                                   | FREDDIE MAC FHR 3607 PO                                 | CUSIP: 31398LQT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17169 | PA      | $14396.06       | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0706 FN 04/31 FIXED 4.5                     | CUSIP: 31417YYC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15476 | PA      | $15570.08       | 0.00%             | 2031-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A3       | CUSIP: 021468AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1339008 | PA      | $161935.66      | 0.00%             | 2036-06-25      | Floating      | 1.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-16                                                 | FANNIE MAE FNR 2013 16 SG                               | CUSIP: 3136ACSM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10069417 | PA      | $9308689.56     | 0.07%             | 2033-03-25      | Floating      | 0.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8044 G2 05/52 FIXED 3.5                  | CUSIP: 36179W5D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4112005 | PA      | $3784848.25     | 0.03%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| VISIO TRUST 2023-2                                                        | VISIO TRUST VISIO 2023 2 A1 144A                        | CUSIP: 92839CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3361697 | PA      | $3392358.64     | 0.03%             | 2058-10-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0424A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1000000 | PA      | $-998837.20     | -0.01%            | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| AG TRUST 2024-NLP                                                         | AG TRUST AG 2024 NLP A 144A                             | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1520530 | PA      | $1528054.69     | 0.01%             | 2041-07-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004746 G2 07/40 FIXED 4.5                  | CUSIP: 36202FHX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1725358 | PA      | $1736515.87     | 0.01%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UADHA3 PIMCO SWAPTION 3.103 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   164900000 | NC      | $5886.93        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-1                                   | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A      | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2697485 | PA      | $2653645.40     | 0.02%             | 2037-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2024-HYB1                                          | SEQUOIA MORTGAGE TRUST SEMT 2024 HYB1 A1A 144A          | CUSIP: 81749EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7372333 | PA      | $7427493.27     | 0.06%             | 2063-11-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A A3 144A         | CUSIP: 36270YAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3600000 | PA      | $3613196.16     | 0.03%             | 2028-07-17      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2019-4 LTD                                        | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2019 4A A1RR 144A    | CUSIP: 05684AAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    31000000 | PA      | $31110095.57    | 0.25%             | 2035-04-23      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5070                                                   | FREDDIE MAC FHR 5070 IE                                 | CUSIP: 3137F9XF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26319159 | PA      | $4811079.17     | 0.04%             | 2050-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA8548 FN 02/54 FIXED 6                       | CUSIP: 3140YWQA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6170840 | PA      | $6450664.12     | 0.05%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BC8090 G2 10/47 FIXED 3.5                  | CUSIP: 3617BB7B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      910409 | PA      | $842243.92      | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RBSGC MTGE PASS THRU CERT 2007-B                                          | RBSGC MORTGAGE PASS THROUGH CE RBSGC 2007 B 1A1         | CUSIP: 74927XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20231997 | PA      | $3489950.64     | 0.03%             | 2037-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-P1                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 P1 A2         | CUSIP: 14689MAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5377012 | PA      | $5382633.72     | 0.04%             | 2028-06-12      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY7                                           | COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1                 | CUSIP: 12544HAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      822008 | PA      | $780379.14      | 0.01%             | 2037-11-25      | Variable      | 4.46%                 | No            |                  2 | On Loan: No      |
| HOMESTAR MORTGAGE ACCEPTANCE CORP 2004-1                                  | HOMESTAR MORTGAGE ACCEPTANCE C HMAC 2004 1 M1           | CUSIP: 437690AB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      895377 | PA      | $913240.32      | 0.01%             | 2034-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-60                                                 | FANNIE MAE FNR 2017 60 SA                               | CUSIP: 3136AXQW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20087829 | PA      | $730176.50      | 0.01%             | 2047-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1                        | GS MORTGAGE BACKED SECURITIES GSMBS 2021 NQM1 B1 144A   | CUSIP: 36262EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5664000 | PA      | $4516223.82     | 0.04%             | 2061-07-25      | Variable      | 3.21%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                      | EXTENDED STAY AMERICA TRUST ESA 2021 ESH C 144A         | CUSIP: 30227FAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    29683316 | PA      | $29717961.96    | 0.24%             | 2038-07-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5011                                                   | FREDDIE MAC FHR 5011 BI                                 | CUSIP: 3137FVSK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7069997 | PA      | $1680957.48     | 0.01%             | 2050-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9QXA8 PIMCO FPPSWAPTION 4.55875 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   119800000 | NC      | $7379392.48     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9448 FN 11/54 FIXED 4.5                     | CUSIP: 3140QVQA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6194772 | PA      | $6103044.97     | 0.05%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-4                                     | CONSECO FINANCE SECURITIZATION CNF 2000 4 A6            | CUSIP: 20846QDV7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    19650450 | PA      | $2647623.02     | 0.02%             | 2032-05-01      | Fixed         | 8.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG          | CUSIP: 38380LJY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3218011 | PA      | $3231316.23     | 0.03%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                   | FREDDIE MAC FHR 5051 PI                                 | CUSIP: 3137F7ZF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9702000 | PA      | $1444332.93     | 0.01%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 005019 G2 04/41 FIXED 6                    | CUSIP: 36202FSG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1434 | PA      | $1506.20        | 0.00%             | 2041-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC1046 FR 04/51 FIXED 3               | CUSIP: 3133AKET3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      906475 | PA      | $803459.72      | 0.01%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES6                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES6 A1A 144A     | CUSIP: 749410AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5168120 | PA      | $5189869.05     | 0.04%             | 2044-09-25      | Variable      | 5.34%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2025-R1                                                         | CIM TRUST CIM 2025 R1 A1 144A                           | CUSIP: 12575LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2374064 | PA      | $2362827.31     | 0.02%             | 2099-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 363                                                    | FREDDIEMAC STRIP FHS 363 C17                            | CUSIP: 31325XBF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       38339 | PA      | $4965.91        | 0.00%             | 2048-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3385                                                   | FREDDIE MAC FHR 3385 PO                                 | CUSIP: 31397PAB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17953 | PA      | $16541.20       | 0.00%             | 2037-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A2 144A    | CUSIP: 14687VAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      895058 | PA      | $895859.11      | 0.01%             | 2027-08-10      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1054 FN 09/55 FIXED 6.5                     | CUSIP: 3140Y7E46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8311247 | PA      | $8726958.73     | 0.07%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H16                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H16 DF          | CUSIP: 38380LG64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1118259 | PA      | $1115713.84     | 0.01%             | 2069-10-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9690 FN 10/28 FIXED 4.9                     | CUSIP: 3140LLXU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3053000 | PA      | $3125121.69     | 0.02%             | 2028-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-2                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 2 M2          | CUSIP: 68389FHC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1637263 | PA      | $1590890.18     | 0.01%             | 2035-05-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                        | VERUS SECURITIZATION TRUST VERUS 2025 R1 A1 144A        | CUSIP: 92541AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7897578 | PA      | $7970070.48     | 0.06%             | 2065-05-25      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3753                                                   | FREDDIE MAC FHR 3753 F                                  | CUSIP: 3137A3L31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1402599 | PA      | $1392906.56     | 0.01%             | 2040-11-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA3936 G2 09/46 FIXED 3                    | CUSIP: 36179SLR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      486677 | PA      | $441784.37      | 0.00%             | 2046-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-2A                            | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 2A A3 144A     | CUSIP: 39571VAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3300000 | PA      | $3349000.38     | 0.03%             | 2060-06-25      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8566 G2 01/53 FIXED 3.5                  | CUSIP: 36179XQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1054729 | PA      | $969483.42      | 0.01%             | 2053-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AT6546 FN 06/43 FIXED 4                       | CUSIP: 3138WUHY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18984 | PA      | $18482.07       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP FNS 426                                         | FANNIEMAE STRIP FNS 426 C23                             | CUSIP: 31422MZK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11474661 | PA      | $1161897.12     | 0.01%             | 2052-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-18                                                 | FANNIE MAE FNR 2025 18 SM                               | CUSIP: 3136BVKJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    59142805 | PA      | $5023282.32     | 0.04%             | 2054-09-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004344 G2 01/39 FIXED 6                    | CUSIP: 36202EZH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2415 | PA      | $2538.98        | 0.00%             | 2039-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD1329 FN 02/40 FIXED 4.5                     | CUSIP: 31418NPP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      255738 | PA      | $255358.78      | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OCTANE RECEIVABLES TRUST 2024-3A                                          | OCTANE RECEIVABLES TRUST OCTL 2024 3A A2 144A           | CUSIP: 67571GAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4019235 | PA      | $4042491.51     | 0.03%             | 2030-05-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-10                                                 | FANNIE MAE FNR 2024 10 AI                               | CUSIP: 3136BQ6B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    49903276 | PA      | $2578706.89     | 0.02%             | 2050-12-25      | Floating      | 1.27%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RPL2 LLC                                                        | PRP ADVISORS, LLC PRPM 2025 RPL2 A1 144A                | CUSIP: 69392MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1910314 | PA      | $1861667.88     | 0.01%             | 2055-04-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AY0222 G2 01/47 FIXED 3.5                  | CUSIP: 36196PG71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      659735 | PA      | $610337.58      | 0.00%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5467 G2 09/48 FIXED 4.5                  | CUSIP: 36179UCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      442228 | PA      | $437446.05      | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI4104 FR 04/54 FIXED 6               | CUSIP: 3133WARZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3686806 | PA      | $3829456.57     | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-R11                                                   | BCAP LLC TRUST BCAP 2011 R11 32A7 144A                  | CUSIP: 05533FLT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2534746 | PA      | $2343230.35     | 0.02%             | 2036-02-26      | Variable      | 4.78%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-4                                                  | FANNIE MAE FNR 2021 4 IO                                | CUSIP: 3136BDD39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17769475 | PA      | $2658524.98     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-409                                                      | FREDDIEMAC STRIP FHS 409 C27                            | CUSIP: 3142G6NP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22180075 | PA      | $4799362.33     | 0.04%             | 2053-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5175 FR 08/42 FIXED 4               | CUSIP: 3133KYXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1315494 | PA      | $1286627.24     | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5122                                                   | FREDDIE MAC FHR 5122 BI                                 | CUSIP: 3137H1AT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31319035 | PA      | $6283055.77     | 0.05%             | 2051-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H15                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H15 FB          | CUSIP: 38384AV59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8186178 | PA      | $8237132.14     | 0.07%             | 2073-03-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                             | BWAY MORTGAGE TRUST BWAY 2021 1450 D 144A               | CUSIP: 12430YAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $6033808.55     | 0.05%             | 2036-09-15      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A2 144A    | CUSIP: 64830NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1837000 | PA      | $1701279.68     | 0.01%             | 2059-07-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2567 FN 08/55 FIXED VAR                     | CUSIP: 3140W2Z95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10904914 | PA      | $11425330.43    | 0.09%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IFC EMERGING MARKETS SECURITIZATION 2025-1 LTD                            | IFC EMERGING MARKETS SECURITIZ IFCEMS 2025 1A A 144A    | CUSIP: 45174DAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    28800000 | PA      | $28797211.87    | 0.23%             | 2035-12-31      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-13                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 13 MV1          | CUSIP: 23242EAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16600000 | PA      | $15690130.76    | 0.13%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-68                                                 | FANNIE MAE FNR 2016 68 WF                               | CUSIP: 3136ATR22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      698475 | PA      | $693333.49      | 0.01%             | 2046-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-17809.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1       | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      290836 | PA      | $240129.97      | 0.00%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5018 G2 02/48 FIXED 3                    | CUSIP: 36179TSF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5829276 | PA      | $5271032.87     | 0.04%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MTGE 5199                                               | FREDDIE MAC FHR 5199 PI                                 | CUSIP: 3137H6B61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19092233 | PA      | $2866255.88     | 0.02%             | 2052-03-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 57 WI           | CUSIP: 38380B7Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      666234 | PA      | $31667.56       | 0.00%             | 2045-12-20      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-30                                                 | FANNIE MAE FNR 2013 30 JI                               | CUSIP: 3136ADNA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      270780 | PA      | $30973.79       | 0.00%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-80                                                 | FANNIE MAE FNR 2012 80 HI                               | CUSIP: 3136A7VH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2234374 | PA      | $169357.52      | 0.00%             | 2042-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 365                                                    | FREDDIEMAC STRIP FHS 365 116                            | CUSIP: 31325XKR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      620201 | PA      | $108987.24      | 0.00%             | 2047-10-15      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RPL3 LLC                                                        | PRP ADVISORS, LLC PRPM 2024 RPL3 A1 144A                | CUSIP: 69381LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5154909 | PA      | $5044569.51     | 0.04%             | 2054-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BN6267 FN 04/49 FIXED 4                       | CUSIP: 3140JN6D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      227650 | PA      | $218464.34      | 0.00%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4024                                                   | FREDDIE MAC FHR 4024 PK                                 | CUSIP: 3137ANLB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      400000 | PA      | $341808.12      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.63761 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-13168.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U5SRA5 PIMCO SWAPTION 5.5 PUT USD 20251022           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   202000000 | NC      | $20.20          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9746 FN 10/28 FIXED 5.61                    | CUSIP: 3140LLZL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1808000 | PA      | $1857908.50     | 0.01%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-51                                                 | FANNIE MAE FNR 2023 51 BI                               | CUSIP: 3136BQPY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35960111 | PA      | $7037163.52     | 0.06%             | 2053-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G08789 FG 11/47 FIXED 4               | CUSIP: 3128MJ2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2050917 | PA      | $1980183.82     | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4153                                                   | FREDDIE MAC FHR 4153 BA                                 | CUSIP: 3137AXQZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2691764 | PA      | $2623556.85     | 0.02%             | 2028-01-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797RX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4152000 | PA      | $4118560.24     | 0.03%             | 2025-12-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ4504 FR 09/54 FIXED 5.5             | CUSIP: 3133CVAD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5624121 | PA      | $5745927.76     | 0.05%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-108                                                | FANNIE MAE FNR 2012 108 TE                              | CUSIP: 3136A8Q78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26841 | PA      | $25507.68       | 0.00%             | 2042-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SALUDA GRADE ALTERNATIVE MORTGAGE TRUST 2024-INV1                         | SALUDA GRADE ALTERNATIVE MORTG GRADE 2024 INV1 A1 144A  | CUSIP: 795924AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8375067 | PA      | $8469284.00     | 0.07%             | 2059-08-25      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 390                                                    | FREDDIEMAC STRIP FHS 390 C40                            | CUSIP: 31325YYN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    47326420 | PA      | $6483747.98     | 0.05%             | 2052-04-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A           | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9057745 | PA      | $8388412.27     | 0.07%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2022-1A                                                         | FIRST HELP FINANCIAL LLC FHF 2022 1A B 144A             | CUSIP: 30327CAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8000000 | PA      | $8000852.80     | 0.06%             | 2028-05-15      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A3        | CUSIP: 86360UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2408961 | PA      | $1934597.43     | 0.02%             | 2046-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-RP2                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 RP2 SA 144A    | CUSIP: 17332KAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      138301 | PA      | $133210.85      | 0.00%             | 2065-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7446 FN 11/53 FIXED 6.5                     | CUSIP: 3140QTHY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18919577 | PA      | $19808102.35    | 0.16%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                       | ELEVATION CLO LTD AWPT 2018 3A A1R2 144A                | CUSIP: 28623VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    19700000 | PA      | $19769478.55    | 0.16%             | 2035-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| WATR 2025-1                                                               | WATR ISSUER TRUST WATR 2025 1 A 144A                    | CUSIP: 942611AA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    24889532 | PA      | $24952077.01    | 0.20%             | 2050-06-17      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 446                                             | FANNIEMAE STRIP FNS 446 C17                             | CUSIP: 31425CDX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   100130249 | PA      | $22594099.22    | 0.18%             | 2055-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 423                                             | FANNIEMAE STRIP FNS 423 C5                              | CUSIP: 31397VXA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8127291 | PA      | $1455935.50     | 0.01%             | 2047-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2         | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1995724 | PA      | $1305337.37     | 0.01%             | 2037-07-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-25                                                 | FANNIE MAE FNR 2021 25 IJ                               | CUSIP: 3136BHEL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    50664826 | PA      | $9795775.56     | 0.08%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BC2670 FN 02/46 FIXED 4                       | CUSIP: 3140EW6G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47379 | PA      | $45587.23       | 0.00%             | 2046-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-47                                                 | FANNIE MAE FNR 2014 47 BI                               | CUSIP: 3136AKTL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      368453 | PA      | $19605.99       | 0.00%             | 2054-08-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZA5379 FR 05/48 FIXED 4               | CUSIP: 31329N6Q6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4693904 | PA      | $4513190.24     | 0.04%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 21 LTD                                              | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 21A AR 144A        | CUSIP: 03331KAJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    19500000 | PA      | $19518600.27    | 0.16%             | 2034-10-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL8032 FN 01/46 FIXED VAR                     | CUSIP: 3138EQ4S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      663481 | PA      | $638871.11      | 0.01%             | 2046-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 JF          | CUSIP: 38382YV26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1677232 | PA      | $1675248.96     | 0.01%             | 2072-04-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2009-36                                                 | FANNIE MAE FNR 2009 36 MG                               | CUSIP: 31397NQ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      598862 | PA      | $586076.77      | 0.00%             | 2039-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ2269 FR 05/54 FIXED 5.5             | CUSIP: 3142GSQX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1291139 | PA      | $1304497.83     | 0.01%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ50         | FHLMC MULTIFAMILY STRUCTURED P FHMS KJ50 A2             | CUSIP: 3137HDV31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    69497787 | PA      | $68746078.09    | 0.55%             | 2034-10-25      | Fixed         | 4.23%                 | No            |                  2 | On Loan: No      |
| COLT 2022-5 MORTGAGE LOAN TRUST                                           | COLT FUNDING LLC COLT 2022 5 A1 144A                    | CUSIP: 19688LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24474837 | PA      | $24405328.34    | 0.20%             | 2067-04-25      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A           | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      682000 | PA      | $914378.05      | 0.01%             | 2049-12-21      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA C 144A      | CUSIP: 21050UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      544000 | PA      | $552891.24      | 0.00%             | 2054-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H04                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H04 FA          | CUSIP: 38383KQT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4920038 | PA      | $4904367.92     | 0.04%             | 2074-02-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM5400 FN 04/44 FIXED VAR                     | CUSIP: 3140JAAA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4466360 | PA      | $4310476.99     | 0.03%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1711 | PA      | $1730.30        | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-110                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 110 IO          | CUSIP: 38376GTH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      613250 | PA      | $1385.58        | 0.00%             | 2050-05-16      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-SJ1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2025 SJ1 SA 144A    | CUSIP: 36273PAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      878992 | PA      | $729960.38      | 0.01%             | 2071-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4362                                                   | FREDDIE MAC FHR 4362 AS                                 | CUSIP: 3137BCG36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      509923 | PA      | $398115.22      | 0.00%             | 2043-05-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 408                                                    | FREDDIEMAC STRIP FHS 408 C64                            | CUSIP: 3142G6GP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    78108407 | PA      | $16828268.80    | 0.13%             | 2053-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8001 FN 06/54 FIXED VAR                     | CUSIP: 3140XP3K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      267709 | PA      | $271945.64      | 0.00%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2B            | CUSIP: 61750SAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6201838 | PA      | $2727445.61     | 0.02%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST4                           | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST4 A 144A     | CUSIP: 52608GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      530490 | PA      | $526213.71      | 0.00%             | 2029-07-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-RPL3                             | GS MORTGAGE BACKED SECURITIES GSMBS 2025 RPL3 A1 144A   | CUSIP: 362963AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10694247 | PA      | $10423011.07    | 0.08%             | 2065-07-25      | Fixed         | 4.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                    | FREDDIEMAC STRIP FHS 389 C35                            | CUSIP: 31325YRN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    99201720 | PA      | $13181775.74    | 0.11%             | 2052-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G07165 FG 12/41 FIXED 4.5             | CUSIP: 3128M9JJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1072221 | PA      | $1079655.05     | 0.01%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD 2025-1                                                   | SUNBIT ASSET SECURITIZATION TR SUNBT 2025 1 A 144A      | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8400000 | PA      | $8440923.12     | 0.07%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5003                                                   | FREDDIE MAC FHR 5003 BS                                 | CUSIP: 3137FVJ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7003198 | PA      | $951808.80      | 0.01%             | 2050-08-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-81                                                 | FANNIE MAE FNR 2014 81 DE                               | CUSIP: 3136ALZU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2820184 | PA      | $2776531.57     | 0.02%             | 2034-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5707 FN 05/45 FIXED 6                       | CUSIP: 31418FKV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1901837 | PA      | $1949680.25     | 0.02%             | 2045-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB5075 FN 07/54 FIXED 6                       | CUSIP: 3140AET90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      760722 | PA      | $778121.01      | 0.01%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE7985 FN 02/47 FIXED 4                       | CUSIP: 3140FT2T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      130826 | PA      | $125365.85      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 783576 G2 12/41 FIXED 4.5                  | CUSIP: 36241L6M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2663187 | PA      | $2680292.56     | 0.02%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5039                                                   | FREDDIE MAC FHR 5039 JI                                 | CUSIP: 3137F63T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5668884 | PA      | $615374.90      | 0.00%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A      | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2324602 | PA      | $2219461.75     | 0.02%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-18A LTD                                       | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 18A A 144A     | CUSIP: 03331MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    25000000 | PA      | $25082040.50    | 0.20%             | 2040-10-22      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| DC COMMERCIAL MORTGAGE TRUST 2023-DC                                      | DC COMMERCIAL MORTGAGE TRUST DC 2023 DC A 144A          | CUSIP: 24023AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4300000 | PA      | $4456851.10     | 0.04%             | 2040-09-12      | Fixed         | 6.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                   | FREDDIE MAC FHR 5426 CF                                 | CUSIP: 3137HCY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3990746 | PA      | $3977464.33     | 0.03%             | 2050-12-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 28 LTD                                              | ANCHORAGE CAPITAL CLO LTD ANCHC 2024 28A A 144A         | CUSIP: 03330RAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    34000000 | PA      | $34131381.44    | 0.27%             | 2037-04-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2014-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2014 A B 144A        | CUSIP: 784456AE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10401088 | PA      | $10337323.48    | 0.08%             | 2042-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2469 FR 09/55 FIXED 5.5             | CUSIP: 31427PW75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1200000 | PA      | $1226658.52     | 0.01%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        1823 | NC      | $287091.43      | 0.00%             |  |  |  | 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        |       16763 | PA      | $15443.11       | 0.00%             | 2044-06-25      | Floating      | 4.87%                 | 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        |     1906767 | PA      | $1874874.12     | 0.01%             | 2036-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-31                                                 | FANNIE MAE FNR 2013 31 IN                               | CUSIP: 3136ADGC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      148129 | PA      | $723.73         | 0.00%             | 2042-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4598                                                   | FREDDIE MAC FHR 4598 NI                                 | CUSIP: 3137BQVM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2712618 | PA      | $555441.07      | 0.00%             | 2046-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                       | SPACE COAST CREDIT UNION SCCU 2023 1A A4 144A           | CUSIP: 805922AG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2800000 | PA      | $2873454.08     | 0.02%             | 2029-08-15      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797RM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      670000 | PA      | $667466.71      | 0.01%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS6402 FN 11/53 FIXED VAR                     | CUSIP: 3140XNDG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9327997 | PA      | $9667374.25     | 0.08%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4069 FN 05/38 FIXED VAR                     | CUSIP: 3140J8QX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3258259 | PA      | $3150619.32     | 0.03%             | 2038-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2024-3AL                                                   | ACHV ABS TRUST ACHV 2024 3AL A 144A                     | CUSIP: 00092KAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      496168 | PA      | $500951.75      | 0.00%             | 2031-12-26      | Fixed         | 5.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4122                                                   | FREDDIE MAC FHR 4122 MZ                                 | CUSIP: 3137AV2A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3141 | PA      | $2197.70        | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 1A1 144A   | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2506960 | PA      | $1214156.91     | 0.01%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5835 FN 08/45 FIXED 6                       | CUSIP: 31418FPV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      891992 | PA      | $914595.24      | 0.01%             | 2045-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4077                                                   | FREDDIE MAC FHR 4077 MS                                 | CUSIP: 3137ASCE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4512022 | PA      | $492770.54      | 0.00%             | 2042-07-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2021-A                                 | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2021 A AFX 144A     | CUSIP: 83405YAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7273046 | PA      | $6432852.20     | 0.05%             | 2043-08-17      | Fixed         | 1.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-81                                                 | FANNIE MAE FNR 2019 81 PI                               | CUSIP: 3136B8EF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2377309 | PA      | $576583.81      | 0.00%             | 2050-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL1741 FR 12/54 FIXED 6.5             | CUSIP: 31427N5B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17860368 | PA      | $18751257.00    | 0.15%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5172                                                   | FREDDIE MAC FHR 5172 KI                                 | CUSIP: 3137H4PS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33635045 | PA      | $5583942.22     | 0.04%             | 2051-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2566 FN 07/55 FIXED VAR                     | CUSIP: 3140W2Z87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8731022 | PA      | $9199967.14     | 0.07%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-1                         | FREDDIE MAC   SCRT SCRT 2020 1 M 144A                   | CUSIP: 35563PPH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10447000 | PA      | $10067438.55    | 0.08%             | 2059-08-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8227 FN 06/33 FIXED 4.59                    | CUSIP: 3140LKD91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24223000 | PA      | $24509438.67    | 0.20%             | 2033-06-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM1877 FN 10/47 FIXED VAR                     | CUSIP: 3140J6CP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      163851 | PA      | $157593.98      | 0.00%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R04                              | FANNIE MAE   CAS CAS 2022 R04 1M2 144A                  | CUSIP: 20753YCK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3750000 | PA      | $3855015.00     | 0.03%             | 2042-03-25      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                   | REACH FINANCIAL LLC REACH 2025 1A C 144A                | CUSIP: 75525PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      800000 | PA      | $815184.64      | 0.01%             | 2032-08-16      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8FOA3 PIMCO FPPSWAPTION 4.245 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    57700000 | NC      | $2960615.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-38                                                 | FANNIE MAE FNR 2013 38 CB                               | CUSIP: 3136ADNY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2402227 | PA      | $2344248.76     | 0.02%             | 2028-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-209                                                      | FREDDIEMAC STRIP FHS 209 PO                             | CUSIP: 3128CVC51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53307 | PA      | $48153.52       | 0.00%             | 2030-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD8068 FN 05/55 FIXED 6                       | CUSIP: 3140B86E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      922541 | PA      | $957445.87      | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B C 144A        | CUSIP: 83206NAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10709341 | PA      | $10620973.29    | 0.08%             | 2055-02-16      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MORTGAGE ASSOC SERIES 2007-18                                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 18 CO           | CUSIP: 38375JD69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      342419 | PA      | $327788.80      | 0.00%             | 2035-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A D 144A       | CUSIP: 83407UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2177000 | PA      | $2253188.97     | 0.02%             | 2034-03-27      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5356 FR 07/45 FIXED 6               | CUSIP: 3133KY5R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1078182 | PA      | $1105751.50     | 0.01%             | 2045-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-71                                                        | FANNIE MAE FNR 2003 71 DS                               | CUSIP: 31393EKS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      285418 | PA      | $270140.43      | 0.00%             | 2033-08-25      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2606 FR 05/55 FIXED 6               | CUSIP: 31426L3Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      929831 | PA      | $966303.15      | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC ASSET LOAN OBLIGATION 2006-2                                         | HSI ASSET LOAN OBLIGATION HALO 2006 2 1A7               | CUSIP: 40431HAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      741899 | PA      | $141436.39      | 0.00%             | 2036-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA4860 FN 12/49 FIXED 3                       | CUSIP: 3140QCMJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13529 | PA      | $12096.34       | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFA 2024-RPL1 TRUST                                                       | MFRA TRUST MFRA 2024 RPL1 A1 144A                       | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      873463 | PA      | $840213.95      | 0.01%             | 2066-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX0534 FR 12/54 FIXED 6.5             | CUSIP: 31425USY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      307122 | PA      | $320370.31      | 0.00%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 397                                                    | FREDDIEMAC STRIP FHS 397 C52                            | CUSIP: 3142G4N23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14237482 | PA      | $3042232.88     | 0.02%             | 2053-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2007-2                                            | LUMINENT MORTGAGE TRUST LUM 2007 2 2A1                  | CUSIP: 55027WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20531 | PA      | $18809.48       | 0.00%             | 2037-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM1497 FN 07/37 FIXED VAR                     | CUSIP: 3140J5UX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1748515 | PA      | $1727689.59     | 0.01%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0776 FN 06/31 FIXED 4.5                     | CUSIP: 31417Y2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18732 | PA      | $18842.13       | 0.00%             | 2031-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS2669 FN 09/43 FIXED 3                       | CUSIP: 3138WB6F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      290275 | PA      | $279594.35      | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-80                                                 | FANNIE MAE FNR 2020 80 JF                               | CUSIP: 3136BCZK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2545632 | PA      | $2422901.22     | 0.02%             | 2050-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX0552 FR 12/54 FIXED 6               | CUSIP: 31425UTJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1015013 | PA      | $1055568.86     | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-50                                                 | FANNIE MAE FNR 2015 50 SB                               | CUSIP: 3136APNG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11792286 | PA      | $689795.68      | 0.01%             | 2045-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS9300 FN 03/37 FIXED 4                       | CUSIP: 3138WKKN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      918713 | PA      | $910586.43      | 0.01%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-117                                                | FANNIE MAE FNR 2011 117 NS                              | CUSIP: 3136A14J1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      750544 | PA      | $548446.92      | 0.00%             | 2041-11-25      | Floating      | 0.86%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-11                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 11 2A1A       | CUSIP: 41161PUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17254 | PA      | $16420.43       | 0.00%             | 2045-08-19      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5345 FR 05/45 FIXED 6               | CUSIP: 3133KY5E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2888500 | PA      | $2953996.48     | 0.02%             | 2045-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BC1138 GN 08/47 FIXED 4                       | CUSIP: 3617B4HP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      513579 | PA      | $489973.55      | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-RPL1                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2025 RPL1 A1A 144A | CUSIP: 16160VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8639622 | PA      | $7846202.81     | 0.06%             | 2065-04-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL U91696 FG 07/43 FIXED 4               | CUSIP: 3132HBXZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      759265 | PA      | $740752.39      | 0.01%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5146                                                   | FREDDIE MAC FHR 5146 KI                                 | CUSIP: 3137H2FW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12402049 | PA      | $1319600.32     | 0.01%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5000                                                   | FREDDIE MAC FHR 5000 IA                                 | CUSIP: 3137FVFL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4067768 | PA      | $646964.28      | 0.01%             | 2048-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-39                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 39 ZE           | CUSIP: 38379LDY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         170 | PA      | $117.28         | 0.00%             | 2045-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4973                                                   | FREDDIE MAC FHR 4973 IK                                 | CUSIP: 3137FT2D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17728077 | PA      | $3781274.74     | 0.03%             | 2050-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS5786 FN 09/53 FIXED VAR                     | CUSIP: 3140XMNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7383444 | PA      | $7718048.66     | 0.06%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM3241 FN 03/50 FIXED VAR                     | CUSIP: 3140X6S77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20353915 | PA      | $18198280.09    | 0.15%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNPP AM EURO CLO 2017 BV 17-1A                                            | BNPP AM EURO CLO BNPAM 2017 1A AR 144A                  | CUSIP: ACI1G3M70<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      243019 | PA      | $285481.69      | 0.00%             | 2031-10-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| UPSTART SECURITIZATION TRUST 2025-3                                       | UPSTART SECURITIZATION TRUST UPST 2025 3 B 144A         | CUSIP: 91684FAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1200000 | PA      | $1199782.80     | 0.01%             | 2035-09-20      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD5347 FR 05/45 FIXED 4               | CUSIP: 3132DS5G3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12198685 | PA      | $11780070.14    | 0.09%             | 2045-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AR2500 FN 01/33 FIXED 2.5                     | CUSIP: 3138NYX67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1292038 | PA      | $1235404.63     | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2441 FR 05/55 FIXED 6               | CUSIP: 31426LWB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1379284 | PA      | $1430277.61     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET BC 2005-FFH4                                  | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH4 M2         | CUSIP: 32027NXE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7036502 | PA      | $6888351.67     | 0.06%             | 2035-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0938 FN 03/55 FIXED VAR                     | CUSIP: 3140W1BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28258644 | PA      | $29383231.57    | 0.24%             | 2055-03-01      | Fixed         | 6.00%                 | 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        |      600000 | PA      | $538735.08      | 0.00%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA2                                                   | BCAP LLC TRUST BCAP 2007 AA2 2A12                       | CUSIP: 05530NBA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      965536 | PA      | $387936.23      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL1540 FR 02/55 FIXED 5.5             | CUSIP: 31427NWA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4408489 | PA      | $4507447.65     | 0.04%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC9706 FN 12/54 FIXED 6                       | CUSIP: 3140AXYC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1046133 | PA      | $1075715.46     | 0.01%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 783613 GN 01/42 FIXED 4.5                     | CUSIP: 3622A2AN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17553 | PA      | $17547.47       | 0.00%             | 2042-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 734361 G2 03/42 FIXED 3.5                  | CUSIP: 3620AMZ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50374 | PA      | $46170.37       | 0.00%             | 2042-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC7138 FN 11/54 FIXED 6.5                     | CUSIP: 3140AU4Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      213038 | PA      | $221115.89      | 0.00%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A R 144A       | CUSIP: 21050QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1635541 | PA      | $806055.12      | 0.01%             | 2054-11-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                    | FREDDIEMAC STRIP FHS 389 C40                            | CUSIP: 31325YRU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   129915181 | PA      | $20606690.00    | 0.16%             | 2052-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                   | FREDDIE MAC FHR 4990 MI                                 | CUSIP: 3137FUSA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3441169 | PA      | $760319.43      | 0.01%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H29                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H29 FA          | CUSIP: 38375BZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28975 | PA      | $28994.47       | 0.00%             | 2062-10-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q54427 FG 02/48 FIXED 4               | CUSIP: 3132XW4M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      306036 | PA      | $294580.35      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6682 FN 07/53 FIXED 4                       | CUSIP: 3140QSM81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1001476 | PA      | $957384.05      | 0.01%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $1334.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2007-WM2                | ACE SECURITIES CORP. ACE 2007 WM2 A2A                   | CUSIP: 00442KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3050125 | PA      | $1262260.82     | 0.01%             | 2037-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2025-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2025 C R 144A        | CUSIP: 83208D107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        3010 | PA      | $37647.05       | 0.00%             | 2055-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                       | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 2A3        | CUSIP: 40430FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2106107 | PA      | $1510652.19     | 0.01%             | 2037-01-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM1631 FN 09/49 FIXED VAR                     | CUSIP: 3140X4Y59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8962914 | PA      | $7897309.24     | 0.06%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P1                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P1 A3 144A    | CUSIP: 14688EAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1303870 | PA      | $1308559.76     | 0.01%             | 2027-12-10      | Fixed         | 5.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4255                                                   | FREDDIE MAC FHR 4255 SN                                 | CUSIP: 3137B5HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      202070 | PA      | $204844.64      | 0.00%             | 2035-05-15      | Floating      | 0.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.08000 04/23/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2697535.59     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXXVI LTD 2019-36A                                   | MADISON PARK FUNDING LTD MDPK 2019 36A A1RR 144A        | CUSIP: 55819PBE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1003827.93     | 0.01%             | 2035-04-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-88                                                        | FANNIE MAE FNR 2004 88 HJ                               | CUSIP: 31394BPY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      333668 | PA      | $14323.60       | 0.00%             | 2034-10-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A A3 144A         | CUSIP: 37989AAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2000000 | PA      | $2006636.80     | 0.02%             | 2028-04-17      | Fixed         | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA1039 FN 01/38 FIXED 4                       | CUSIP: 3140Q8EM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      436902 | PA      | $431452.36      | 0.00%             | 2038-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD2255 FR 01/53 FIXED 6               | CUSIP: 3132DPQG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20551927 | PA      | $21097926.86    | 0.17%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004163 G2 06/38 FIXED 5.5                  | CUSIP: 36202ETU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2564 | PA      | $2569.84        | 0.00%             | 2038-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                   | FREDDIE MAC FHR 4990 SN                                 | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8332015 | PA      | $1129404.63     | 0.01%             | 2050-05-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2004-FF11                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF11 M5         | CUSIP: 32027NNB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5671142 | PA      | $5589975.99     | 0.04%             | 2035-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9NOA5 PIMCO FPPSWAPTION 4.4 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    74200000 | NC      | $4289613.30     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5062                                                   | FREDDIE MAC FHR 5062 EI                                 | CUSIP: 3137F8U27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13406691 | PA      | $1583669.38     | 0.01%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                     | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A1          | CUSIP: 059475AQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      246132 | PA      | $31533.11       | 0.00%             | 2037-06-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-12XS                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 12XS A6A        | CUSIP: 61749EAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2201046 | PA      | $586126.34      | 0.00%             | 2036-10-25      | Variable      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.33000 09/30/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2078485.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1A 144A      | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    12433304 | PA      | $12813468.90    | 0.10%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7641 FN 12/53 FIXED 6                       | CUSIP: 3140QTP37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    47380476 | PA      | $49266004.66    | 0.39%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01                         | FREDDIE MAC WHOLE LOAN SECURIT FWLS 2017 SC01 2A        | CUSIP: 3137G1BL0<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |     1667409 | PA      | $1480545.55     | 0.01%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3266                                                          | FREDDIE MAC FHR 3266 GO                                 | CUSIP: 31397EHY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16480 | PA      | $15257.14       | 0.00%             | 2037-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ2572 FR 08/54 FIXED 5.5             | CUSIP: 3133CS2D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1070909 | PA      | $1088175.36     | 0.01%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ4843 FN 02/48 FIXED 4                       | CUSIP: 3140H6LZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      463921 | PA      | $445771.79      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H12                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H12 DF          | CUSIP: 38382YAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1958440 | PA      | $2004468.61     | 0.02%             | 2071-08-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 C 144A       | CUSIP: 39571XAF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1450000 | PA      | $1465648.11     | 0.01%             | 2059-10-27      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                                 | FANNIE MAE FNR 2024 38 FA                               | CUSIP: 3136BR4S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8285336 | PA      | $8304269.25     | 0.07%             | 2051-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GCAT 2025-INV4 TRUST                                                      | GCAT GCAT 2025 INV4 A5 144A                             | CUSIP: 367920AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    49930000 | PA      | $50350425.58    | 0.40%             | 2055-08-25      | Variable      | 5.50%                 | No            |                  3 | On Loan: No      |
| PARK PLACE SEC INC 2004-WCW1                                              | PARK PLACE SECURITIES INC PPSI 2004 WCW1 M3             | CUSIP: 70069FAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141545 | PA      | $138935.02      | 0.00%             | 2034-09-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H11                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H11 FD          | CUSIP: 38383KZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7753500 | PA      | $7784802.11     | 0.06%             | 2074-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 813718 FN 01/35 FLOATING VAR                  | CUSIP: 31406MAT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      165017 | PA      | $170700.38      | 0.00%             | 2035-01-01      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AN5171 FN 04/27 FIXED 3.29                    | CUSIP: 3138LHW91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    46900000 | PA      | $46431623.77    | 0.37%             | 2027-04-01      | Fixed         | 3.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3136                                                          | FREDDIE MAC FHR 3136 CO                                 | CUSIP: 31396NGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         969 | PA      | $852.84         | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 5110                                                          | FREDDIE MAC FHR 5110 KI                                 | CUSIP: 3137H02V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24606262 | PA      | $4379321.59     | 0.04%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH4379 FN 05/47 FIXED 4                       | CUSIP: 3140GS2M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      545199 | PA      | $524376.80      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM3                  | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM3 A1 144A   | CUSIP: 61776UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10680370 | PA      | $10680679.24    | 0.09%             | 2069-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-8                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 8 2A3         | CUSIP: 54251UAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22744771 | PA      | $5860711.07     | 0.05%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY9970 FN 08/53 FIXED 6                       | CUSIP: 3140NTCG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5702152 | PA      | $5965216.26     | 0.05%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                         | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A      | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3800000 | PA      | $3670275.30     | 0.03%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12                      | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE12 M4       | CUSIP: 0738795T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5095196 | PA      | $5001977.36     | 0.04%             | 2035-12-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-99                                                 | FANNIE MAE FNR 2020 99 GI                               | CUSIP: 3136BDEZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16856491 | PA      | $747605.59      | 0.01%             | 2035-11-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-31                                                 | FANNIE MAE FNR 2015 31 FG                               | CUSIP: 3136ANPP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2080516 | PA      | $2020645.43     | 0.02%             | 2045-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4974                                                          | FREDDIE MAC FHR 4974 IT                                 | CUSIP: 3137FTDK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10917633 | PA      | $1976562.20     | 0.02%             | 2050-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-32                                                 | FANNIE MAE FNR 2016 32 GE                               | CUSIP: 3136ASTX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45686 | PA      | $29914.16       | 0.00%             | 2043-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5526                                                   | FREDDIE MAC FHR 5526 AI                                 | CUSIP: 3137HKSQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25563484 | PA      | $5815214.56     | 0.05%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2025-A                          | ALLY BANK AUTO CREDIT LINKED N ABCLN 2025 A B 144A      | CUSIP: 02007G5E9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    12453500 | PA      | $12496082.01    | 0.10%             | 2033-06-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                     | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A    | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7100000 | PA      | $6979757.95     | 0.06%             | 2038-04-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                             | SEQUOIA MORTGAGE TRUST SEMT 2007 3 2BA1                 | CUSIP: 81744MAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48255 | PA      | $38585.19       | 0.00%             | 2037-07-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-96                                                 | FANNIE MAE FNR 2020 96 IB                               | CUSIP: 3136BDWU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10320523 | PA      | $1825476.50     | 0.01%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7883 G2 02/52 FIXED 3.5                  | CUSIP: 36179WXL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10800020 | PA      | $9909631.74     | 0.08%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA1314 FN 01/48 FIXED 4                       | CUSIP: 3140Q8N84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1293403 | PA      | $1245223.81     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-I2                                                         | CIM TRUST CIM 2023 I2 A1 144A                           | CUSIP: 12570HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2882314 | PA      | $2904261.35     | 0.02%             | 2067-12-25      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016 30                                                 | FANNIE MAE FNR 2016 30 SA                               | CUSIP: 3136ARZ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      204020 | PA      | $25516.91       | 0.00%             | 2046-05-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXI LTD / PREFERRED TERM SECURITIES XXI INC     | PREFERRED TERM SECS XXI SECURED 144A 03/38 VAR          | CUSIP: 74042JAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     1182943 | PA      | $1126753.39     | 0.01%             | 2038-03-22      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| PROVIDUS CLO II DAC 2A                                                    | PROVIDUS CLO PRVD 2A ARR 144A                           | CUSIP: ACI2RB411<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1750000 | PA      | $2060543.27     | 0.02%             | 2038-10-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A A2 144A         | CUSIP: 37989AAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1215364 | PA      | $1216832.51     | 0.01%             | 2027-08-16      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                  | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      266462 | PA      | $263594.46      | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ2582 FN 12/29 FIXED 4.3                     | CUSIP: 3140NW2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10022000 | PA      | $10113638.96    | 0.08%             | 2029-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ANTHRACITE LTD 2004-HY1A                                                  | ANTHRACITE LTD SER 2004 HY1 CL D 144A                   | CUSIP: 03702YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5912389 | PA      | $59.12          | 0.00%             | 2041-06-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL8092 FN 07/42 FIXED VAR                     | CUSIP: 3138EQ7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1080024 | PA      | $1053468.20     | 0.01%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5002                                                   | FREDDIE MAC FHR 5002 SJ                                 | CUSIP: 3137FUAM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4958374 | PA      | $623680.18      | 0.00%             | 2050-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-PLND                                  | MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND A 144A     | CUSIP: 61691XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2671000 | PA      | $393869.40      | 0.00%             | 2036-05-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WN2416 FR 05/30 FIXED 4.19            | CUSIP: 3132XGVJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20500000 | PA      | $20323081.93    | 0.16%             | 2030-05-01      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                             | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                 | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5233106 | PA      | $4268248.14     | 0.03%             | 2036-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-118                                                | FANNIE MAE FNR 2012 118 EI                              | CUSIP: 3136A93T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      628940 | PA      | $11459.92       | 0.00%             | 2027-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-5                                           | JP MORGAN MORTGAGE TRUST JPMMT 2024 5 A11 144A          | CUSIP: 46658RAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    43949247 | PA      | $43894692.43    | 0.35%             | 2054-11-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-38                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 38 A1         | CUSIP: 12667GY98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      461134 | PA      | $417682.66      | 0.00%             | 2035-09-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AT7698 FN 06/43 FIXED 4                       | CUSIP: 3138WVRU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16422 | PA      | $15967.39       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A           | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15540014 | PA      | $14095403.62    | 0.11%             | 2047-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4521 FN 08/38 FIXED VAR                     | CUSIP: 3140J9AX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1511105 | PA      | $1491864.24     | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2024-1A                | GMF CANADA LEASING TRUST GCOLT 2024 1A A3 144A          | CUSIP: 36252MDG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     5000000 | PA      | $3634080.62     | 0.03%             | 2029-08-20      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS7603 FN 07/46 FIXED 4                       | CUSIP: 3138WHNV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       93796 | PA      | $90229.36       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS6501 FN 11/53 FIXED VAR                     | CUSIP: 3140XNGK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      103300 | PA      | $105879.29      | 0.00%             | 2053-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AK6297 FN 03/42 FIXED 4                       | CUSIP: 3138EA7K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42761 | PA      | $41656.08       | 0.00%             | 2042-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 399                                                    | FREDDIEMAC STRIP FHS 399 C29                            | CUSIP: 3142G4VX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   103244456 | PA      | $12960942.47    | 0.10%             | 2052-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF5 LLC                                                        | PRP ADVISORS, LLC PRPM 2024 RCF5 A1 144A                | CUSIP: 69381JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      717792 | PA      | $708120.65      | 0.01%             | 2054-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2725                                                          | FREDDIE MAC FHR 2725 TA                                 | CUSIP: 31394MWL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      364166 | PA      | $366689.64      | 0.00%             | 2033-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AF1001 G2 06/43 FIXED 3.5                  | CUSIP: 36181GDE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       99939 | PA      | $91785.21       | 0.00%             | 2043-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-84                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 84 WI           | CUSIP: 38380FJD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3262675 | PA      | $189898.76      | 0.00%             | 2046-07-20      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.68900 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-29902.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004680 G2 04/40 FIXED 5.5                  | CUSIP: 36202FFV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3016 | PA      | $3119.69        | 0.00%             | 2040-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2                       | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 1A3A      | CUSIP: 07386UAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16155899 | PA      | $3236745.53     | 0.03%             | 2046-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA9YA3 PIMCO SWAPTION 4.084 PUT USD 2025110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -230400000 | NC      | $-25735.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2022-1                                         | JP MORGAN MORTGAGE TRUST JPMMT 2022 1 AX4 144A          | CUSIP: 46654WCC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    61457160 | PA      | $1547466.71     | 0.01%             | 2052-07-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2021-RPL9                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL9 A1 144A     | CUSIP: 12658XAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      662846 | PA      | $660117.20      | 0.01%             | 2061-02-25      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RLZ8 OTC ECAL FN 4.0 NOV25 96.671875 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   255000000 | NC      | $180208.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4979                                                   | FREDDIE MAC FHR 4979 YS                                 | CUSIP: 3137FTYA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25458264 | PA      | $3362527.55     | 0.03%             | 2050-06-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A2        | CUSIP: 12667GL84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2507308 | PA      | $2407850.26     | 0.02%             | 2035-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXVI LTD / PREFERRED TERM SECURITIES XXVI INC   | PREFERRED TERM SECS XXVI SR SECURED 144A 09/37 VAR      | CUSIP: 74042QAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     1700988 | PA      | $1573413.89     | 0.01%             | 2037-09-22      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| COLT 2024-3 MORTGAGE LOAN TRUST                                           | COLT FUNDING LLC COLT 2024 3 A1 144A                    | CUSIP: 19688VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5966771 | PA      | $6057825.25     | 0.05%             | 2069-06-25      | Fixed         | 6.39%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R2                                     | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 2A2 144A    | CUSIP: 05968KAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    23168436 | PA      | $20689533.61    | 0.17%             | 2037-05-26      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H0626A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   225100000 | PA      | $231217648.50   | 1.85%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                      | VASA TRUST VASA 2021 VASA D 144A                        | CUSIP: 92230AAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11635000 | PA      | $10537340.14    | 0.08%             | 2039-07-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-29                                                        | FANNIE MAE FNR 2008 29 SD                               | CUSIP: 31396YF98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      245230 | PA      | $22598.32       | 0.00%             | 2038-04-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-105                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 105 WF          | CUSIP: 38381NKM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    62992251 | PA      | $63246361.39    | 0.51%             | 2055-06-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-6                                             | GSAA HOME EQUITY TRUST GSAA 2005 6 M2                   | CUSIP: 36242D3Y7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3719739 | PA      | $3696746.34     | 0.03%             | 2035-06-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U97VA2 PIMCO FPPSWAPTION 4.3075 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24900000 | NC      | $1495606.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-6                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 6 1A          | CUSIP: 54251RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8150248 | PA      | $5657861.08     | 0.05%             | 2036-07-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 414                                                    | FREDDIEMAC STRIP FHS 414 C17                            | CUSIP: 3142G9U73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36591251 | PA      | $4963124.95     | 0.04%             | 2052-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR27                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR27 2A2       | CUSIP: 45661LAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5005 | PA      | $4551.47        | 0.00%             | 2036-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8VYA7 PIMCO SWAPTION 5.0 PUT USD 20260403           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   150100000 | NC      | $41202.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2021-J3                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 J3 A5I2 144A   | CUSIP: 17330BBK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    48220975 | PA      | $703302.92      | 0.01%             | 2051-09-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -153133928 | PA      | $-156463659.88  | -1.25%            | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2004-R12                                   | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M2         | CUSIP: 03072SXE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      946450 | PA      | $969322.72      | 0.01%             | 2035-01-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0324A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16100000 | PA      | $15600240.54    | 0.12%             | 2040-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                         | CIM TRUST CIM 2024 R1 A1 144A                           | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6606594 | PA      | $6566257.16     | 0.05%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS4                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS4 A1 144A       | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4576446 | PA      | $4582494.22     | 0.04%             | 2060-11-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5076 G2 03/48 FIXED 3                    | CUSIP: 36179TT96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47284 | PA      | $42742.90       | 0.00%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2 LTD 2015-2A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 2A ARV 144A    | CUSIP: 03329LAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    16700000 | PA      | $16459187.67    | 0.13%             | 2038-04-25      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4585                                                   | FREDDIE MAC FHR 4585 QI                                 | CUSIP: 3137BPGW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1173908 | PA      | $178601.16      | 0.00%             | 2046-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CRSNT TRUST 2021-MOON                                                     | CRSNT TRUST CRSNT 2021 MOON D 144A                      | CUSIP: 22877LAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17000000 | PA      | $16734499.10    | 0.13%             | 2036-04-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2023-7                                           | ANGEL OAK MORTGAGE TRUST AOMT 2023 7 A1 144A            | CUSIP: 03466DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7082663 | PA      | $7051953.49     | 0.06%             | 2067-11-25      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U69IA6 PIMCO SWAPTION 4.3125 PUT USD 202606          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   173000000 | NC      | $530539.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2025-6                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2025 6 A11 144A    | CUSIP: 161922BA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    35539314 | PA      | $35798708.81    | 0.29%             | 2056-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2978                                                   | FREDDIE MAC FHR 2978 JG                                 | CUSIP: 31395UKP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5668 | PA      | $5907.52        | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV3                                      | VERUS SECURITIZATION TRUST VERUS 2023 INV3 A1 144A      | CUSIP: 92540CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2813243 | PA      | $2859601.09     | 0.02%             | 2068-11-25      | Variable      | 6.88%                 | No            |                  2 | On Loan: No      |
| WAMU COMMERCIAL MORTGAGE SECURITIES TRUST 2007-SL2                        | WAMU COMMERCIAL MORTGAGE SECUR WMCMS 2007 SL2 F 144A    | CUSIP: 933632AH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6367797 | PA      | $6372034.94     | 0.05%             | 2049-12-27      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS7901 FN 01/44 FIXED VAR                     | CUSIP: 3140XPX79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3125447 | PA      | $3037539.91     | 0.02%             | 2044-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 D 144A     | CUSIP: 69546YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1499000 | PA      | $1504471.83     | 0.01%             | 2032-04-15      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1612 FR 12/54 FIXED 5.5             | CUSIP: 31425VYJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2525913 | PA      | $2563860.42     | 0.02%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-TWR                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 TWR C 144A       | CUSIP: 36251SAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3293000 | PA      | $691530.00      | 0.01%             | 2031-07-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5160                                                   | FREDDIE MAC FHR 5160 HI                                 | CUSIP: 3137H3WD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4689286 | PA      | $598584.14      | 0.00%             | 2051-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H09                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H09 AF          | CUSIP: 38375BLE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52711 | PA      | $52734.64       | 0.00%             | 2061-03-20      | Floating      | 4.97%                 | 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        |      248674 | PA      | $209691.31      | 0.00%             | 2046-12-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                         | OSCAR US FUNDING TRUST OSCAR 2024 2A A3 144A            | CUSIP: 68784BAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2200000 | PA      | $2203854.18     | 0.02%             | 2029-03-12      | Fixed         | 4.47%                 | No            |                  2 | On Loan: No      |
| ARES XXVII CLO LTD 2013-2A                                                | ARES CLO LTD ARES 2013 2A AR3 144A                      | CUSIP: 00190YBP9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    19100000 | PA      | $19131709.44    | 0.15%             | 2034-10-28      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A C 144A           | CUSIP: ACI0Y9KH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1193000 | PA      | $1606871.76     | 0.01%             | 2049-12-21      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q54953 FG 03/48 FIXED 4               | CUSIP: 3132XXQF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2009196 | PA      | $1943663.90     | 0.02%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC5676 FN 11/54 FIXED 6                       | CUSIP: 3140ATJW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      991864 | PA      | $1028544.37     | 0.01%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A3         | CUSIP: 590238AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4294683 | PA      | $1682425.85     | 0.01%             | 2047-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS0167 FN 08/33 FIXED 4                       | CUSIP: 3138W9FH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      354468 | PA      | $349718.35      | 0.00%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VI DAC 6A                                                      | ARBOUR CLO ARBR 6A AR 144A                              | CUSIP: ACI2RC930<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2000000 | PA      | $2353404.75     | 0.02%             | 2037-11-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-2A                                                   | REACH FINANCIAL LLC REACH 2024 2A A 144A                | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1299896 | PA      | $1306761.28     | 0.01%             | 2031-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H0326B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    60026492 | PA      | $54725803.40    | 0.44%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H21                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H21 FA          | CUSIP: 38383KEA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35255016 | PA      | $35525097.92    | 0.28%             | 2073-09-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9S0A0 PIMCO SWAPTION 3.41 CALL USD 2025101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -110000000 | NC      | $-193424.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RF4                                        | STRUCTURED ASSET SECURITIES CO SASC 2005 RF4 A 144A     | CUSIP: 86359DQB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      477340 | PA      | $448732.24      | 0.00%             | 2035-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QH0398 FR 09/53 FIXED 5               | CUSIP: 3133CCNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2998645 | PA      | $3008092.63     | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-33                                                        | FANNIE MAE FNR 2020 33 WF                               | CUSIP: 3136B9B22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1282876 | PA      | $1280282.00     | 0.01%             | 2050-05-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-46                                                 | FANNIE MAE FNR 2021 46 CI                               | CUSIP: 3136BH3P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18400609 | PA      | $2656048.81     | 0.02%             | 2050-07-25      | Fixed         | 3.00%                 | 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        |      424298 | PA      | $422184.03      | 0.00%             | 2034-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL7                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL7 A1 144A   | CUSIP: 74136TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14697004 | PA      | $14723307.57    | 0.12%             | 2054-10-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-57                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 57 ES           | CUSIP: 38381VSX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3916339 | PA      | $338885.55      | 0.00%             | 2049-05-20      | Floating      | 1.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4820                                                          | FREDDIE MAC FHR 4820 SB                                 | CUSIP: 3137FHJ95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1597485 | PA      | $190141.82      | 0.00%             | 2048-08-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAD5A6 PIMCO SWAPTION 3.077 CALL USD 202511          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   294800000 | NC      | $229236.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2022-2                                         | VERUS SECURITIZATION TRUST VERUS 2022 2 A1 144A         | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4557325 | PA      | $4390389.21     | 0.04%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 418                                             | FANNIEMAE STRIP FNS 418 C3                              | CUSIP: 31395Q2T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2503454 | PA      | $405254.49      | 0.00%             | 2043-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.74901 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-20995.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM6158 FN 12/48 FLOATING VAR                  | CUSIP: 3140JAZY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      378822 | PA      | $391781.91      | 0.00%             | 2048-12-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-9                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 9 1A2 144A     | CUSIP: 17324MAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2282265 | PA      | $2106414.62     | 0.02%             | 2036-02-20      | Variable      | 4.73%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-38                                                        | FANNIE MAE FNR 2020 38 NS                               | CUSIP: 3136BACX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7912800 | PA      | $682942.69      | 0.01%             | 2050-06-25      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-6                                                  | FANNIE MAE FNR 2024 6 IO                                | CUSIP: 3136BQ2Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22465293 | PA      | $4173139.40     | 0.03%             | 2051-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XXIV LTD/PREFERRED TERM SECURITIES XXIV INC     | PREFERRED TERM XXIV SR SECURED 144A 03/37 VAR           | CUSIP: 74043CAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      196937 | PA      | $185120.68      | 0.00%             | 2037-03-22      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ6                              | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ6 A3X 144A   | CUSIP: 36267JAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    33623234 | PA      | $1075612.31     | 0.01%             | 2053-01-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4622 FN 09/48 FIXED VAR                     | CUSIP: 3140J9D40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1896285 | PA      | $1823273.15     | 0.01%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004834 G2 10/40 FIXED 4.5                  | CUSIP: 36202FLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1403416 | PA      | $1412492.41     | 0.01%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS4671 FN 05/53 FIXED VAR                     | CUSIP: 3140XLFM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2815704 | PA      | $2942588.64     | 0.02%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-75                                                 | FANNIE MAE FNR 2021 75 BI                               | CUSIP: 3136BJR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    39157376 | PA      | $7030663.83     | 0.06%             | 2051-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC10                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC10 2A2A     | CUSIP: 23245FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      828025 | PA      | $1120246.68     | 0.01%             | 2036-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8D7A7 PIMCO FPPSWAPTION 4.26 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    57700000 | NC      | $2988086.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-50                                                 | FANNIE MAE FNR 2014 50 FC                               | CUSIP: 3136AKXJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1292126 | PA      | $1278989.99     | 0.01%             | 2044-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0257 FN 04/55 FIXED 6                       | CUSIP: 3140Y6JB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25578150 | PA      | $26580322.92    | 0.21%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004215 G2 08/38 FIXED 5.5                  | CUSIP: 36202EVG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7877 | PA      | $7906.70        | 0.00%             | 2038-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                              | ACE SECURITIES CORP. ACE 2007 HE2 A2D                   | CUSIP: 00443PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3362655 | PA      | $1780213.00     | 0.01%             | 2036-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-53                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 53 SX           | CUSIP: 38380V7L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4501840 | PA      | $4399519.91     | 0.04%             | 2048-04-20      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0426 FR 07/54 FIXED 6.5             | CUSIP: 31427MPL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10273137 | PA      | $10833421.67    | 0.09%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC3 TRUST                                                     | PRKCM TRUST PRKCM 2023 AFC3 A1 144A                     | CUSIP: 693984AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5997613 | PA      | $6060531.54     | 0.05%             | 2058-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2021-A                                      | COLLEGE AVE STUDENT LOANS CASL 2021 A A2 144A           | CUSIP: 19424KAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8972373 | PA      | $8245552.44     | 0.07%             | 2051-07-25      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2                         | SECURITIZED ASSET BACKED RECEI SABR 2006 WM2 A2B        | CUSIP: 81376GAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2267509 | PA      | $1611211.74     | 0.01%             | 2036-09-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHR 3387                                                                  | FREDDIE MAC FHR 3387 PO                                 | CUSIP: 31397PFH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5979 | PA      | $5154.62        | 0.00%             | 2037-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6105 FN 04/53 FIXED 6.5                     | CUSIP: 3140QRYB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5688744 | PA      | $5970632.46     | 0.05%             | 2053-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-7                                             | COUNTRYWIDE HOME LOANS CWHL 2007 7 A3                   | CUSIP: 12544TAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4100466 | PA      | $1872701.57     | 0.01%             | 2037-06-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9M7A6 PIMCO FPPSWAPTION 4.44 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    50900000 | NC      | $2893995.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8455 FN 08/53 FIXED VAR                     | CUSIP: 3140XQMD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5295074 | PA      | $5415740.55     | 0.04%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                             | BSST MORTGAGE TRUST BSST 2021 1818 B 144A               | CUSIP: 07403PAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $1881432.00     | 0.02%             | 2036-03-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004291 G2 11/38 FIXED 6                    | CUSIP: 36202EXU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2525 | PA      | $2654.78        | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-6 2009-6                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 6 7A3 144A     | CUSIP: 17315JCF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1704268 | PA      | $587151.77      | 0.00%             | 2037-08-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL6                             | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL6 SA 144A   | CUSIP: 36272QAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52938 | PA      | $51948.55       | 0.00%             | 2064-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA1729 FR 11/49 FIXED 3.5             | CUSIP: 3133KG4N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9960358 | PA      | $9278846.49     | 0.07%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-FX1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 FX1 A3         | CUSIP: 17309YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5233597 | PA      | $3081783.69     | 0.02%             | 2036-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5152                                                   | FREDDIE MAC FHR 5152 IJ                                 | CUSIP: 3137H3BS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4445550 | PA      | $808564.73      | 0.01%             | 2049-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A9       | CUSIP: 02147MAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15694600 | PA      | $6146389.90     | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BV5920 FN 08/55 FIXED 6.5                     | CUSIP: 3140MKSJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1026393 | PA      | $1086899.23     | 0.01%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA2                                     | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA2 4A         | CUSIP: 74958XAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112959 | PA      | $98045.19       | 0.00%             | 2037-04-25      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                 | HILTON USA TRUST HILT 2016 SFP A 144A                   | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1000000 | PA      | $838490.50      | 0.01%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2021-15                                        | JP MORGAN MORTGAGE TRUST JPMMT 2021 15 AX4 144A         | CUSIP: 46654TCA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    36445397 | PA      | $1084039.18     | 0.01%             | 2052-06-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| HUNDRED ACRE WOOD TRUST 2021-INV3                                         | HUNDRED ACRE WOOD TRUST HAWT 2021 INV3 A11 144A         | CUSIP: 44555QAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6498956 | PA      | $6070599.77     | 0.05%             | 2051-12-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5080                                                   | FREDDIE MAC FHR 5080 IQ                                 | CUSIP: 3137FXV62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4445191 | PA      | $915734.33      | 0.01%             | 2050-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5321 G2 07/48 FIXED 4.5                  | CUSIP: 36179T4E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      426697 | PA      | $417111.15      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-43                                                 | FANNIE MAE FNR 2013 43 SI                               | CUSIP: 3136ADZ69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2314420 | PA      | $98645.65       | 0.00%             | 2041-08-25      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U98WA9 PIMCO FPPSWAPTION 4.285 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35400000 | NC      | $1862369.22     | 0.01%             |  |  |  | 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        |      130211 | PA      | $122597.39      | 0.00%             | 2035-04-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-12644.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD7515 FN 05/55 FIXED 6                       | CUSIP: 3140B8K59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1152340 | PA      | $1195941.59     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2                         | SECURITIZED ASSET BACKED RECEI SABR 2006 WM2 A2D        | CUSIP: 81376GAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3623651 | PA      | $2574738.68     | 0.02%             | 2036-09-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 417                                             | FANNIEMAE STRIP FNS 417 C34                             | CUSIP: 31395QF96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      573268 | PA      | $13405.66       | 0.00%             | 2028-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1641 FR 12/54 FIXED 5.5             | CUSIP: 31425VZF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5426118 | PA      | $5543101.96     | 0.04%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE4                                                      | GSAMP TRUST GSAMP 2005 HE4 M4                           | CUSIP: 362341KF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4400000 | PA      | $4123654.48     | 0.03%             | 2045-07-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N3 A3 144A    | CUSIP: 14687WAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13060000 | PA      | $13084641.61    | 0.10%             | 2029-01-10      | Fixed         | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0123 FN 12/54 FIXED VAR                     | CUSIP: 3140W0D51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1889776 | PA      | $1844159.71     | 0.01%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AZ7254 FN 08/45 FIXED 4                       | CUSIP: 3140E0BY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66857 | PA      | $64298.90       | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.60089 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-6716.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A5        | CUSIP: 74922KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2880137 | PA      | $2139885.62     | 0.02%             | 2037-01-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 C 144A     | CUSIP: 69544PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1429046 | PA      | $1433114.26     | 0.01%             | 2032-04-15      | Fixed         | 5.82%                 | No            |                  3 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-26A                                  | STRUCTURED ASSET SECURITIES CO SASC 2003 26A 3A5        | CUSIP: 86359AS95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23126 | PA      | $22467.81       | 0.00%             | 2033-09-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                      | VASA TRUST VASA 2021 VASA B 144A                        | CUSIP: 92230AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12350000 | PA      | $11912177.68    | 0.10%             | 2039-07-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-203-215                                                  | FREDDIEMAC STRIP FHS 215 PO                             | CUSIP: 3128CVPV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       88903 | PA      | $83628.74       | 0.00%             | 2031-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA2304 G2 10/44 FIXED 4                    | CUSIP: 36179QRZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      556898 | PA      | $535866.45      | 0.00%             | 2044-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 12/17/25-3Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $142557.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-BC1                                   | STRUCTURED ASSET SECURITIES CO SASC 2007 BC1 A1         | CUSIP: 86362PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9152567 | PA      | $8850986.26     | 0.07%             | 2037-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ1612 FN 10/30 FIXED 5.2                     | CUSIP: 3140NVYJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3969905 | PA      | $4134797.06     | 0.03%             | 2030-10-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5083                                                   | FREDDIE MAC FHR 5083 IH                                 | CUSIP: 3137FFQB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3990695 | PA      | $646341.72      | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-68                                                 | FANNIE MAE FNR 2019 68 US                               | CUSIP: 3136B6R21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11092174 | PA      | $1464642.84     | 0.01%             | 2049-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-DA                         | NAVIENT STUDENT LOAN TRUST NAVSL 2020 DA A 144A         | CUSIP: 63941HAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3654698 | PA      | $3476808.94     | 0.03%             | 2069-05-15      | Fixed         | 1.69%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                         | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M1         | CUSIP: 81375WCS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7475919 | PA      | $7234322.26     | 0.06%             | 2035-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB5118 FN 07/54 FIXED 6.5                     | CUSIP: 3140AEVL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      418037 | PA      | $433109.71      | 0.00%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4797                                                   | FREDDIE MAC FHR 4797 SB                                 | CUSIP: 3137F5U72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1399360 | PA      | $190074.99      | 0.00%             | 2048-06-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2007-2                                   | MASTR ASSET SECURITIZATION TRU MASTR 2007 2 A3          | CUSIP: 57646NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      417096 | PA      | $212634.42      | 0.00%             | 2038-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SC0050 FR 02/40 FIXED 3               | CUSIP: 3132D9BT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29645468 | PA      | $27691668.42    | 0.22%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9B8A9 PIMCO FPPSWAPTION 4.43 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    34900000 | NC      | $1999539.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A7       | CUSIP: 02149VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      751494 | PA      | $327759.89      | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZS9809 FR 09/45 FIXED 4.5             | CUSIP: 3132AA3S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      648925 | PA      | $645629.87      | 0.01%             | 2045-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM3493 FN 05/35 FIXED VAR                     | CUSIP: 3140X63B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5291841 | PA      | $5210555.40     | 0.04%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PAGAYA POINT OF SALE HOLDINGS GRANTOR TRUST 2025-1                        | PAGAYA POINT OF SALE HOLDINGS POSH 2025 1 A 144A        | CUSIP: 694952AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5500000 | PA      | $5566814.00     | 0.04%             | 2034-01-20      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                       | SPACE COAST CREDIT UNION SCCU 2024 1A A4 144A           | CUSIP: 78436RAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9100000 | PA      | $9264256.82     | 0.07%             | 2030-05-15      | Fixed         | 5.16%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BA7886 GN 05/47 FIXED 4                       | CUSIP: 3617ALXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      348602 | PA      | $332580.16      | 0.00%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                       | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A5         | CUSIP: 55275TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9940554 | PA      | $2799597.10     | 0.02%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 22                                              | FANNIEMAE STRIP FNS 422 65                              | CUSIP: 31397VQG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      106183 | PA      | $17730.25       | 0.00%             | 2045-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A1           | CUSIP: 86360WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5731886 | PA      | $3324499.41     | 0.03%             | 2036-07-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H26                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H26 DF          | CUSIP: 38383KKA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3261863 | PA      | $3246241.32     | 0.03%             | 2073-09-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 399                                                    | FREDDIEMAC STRIP FHS 399 C33                            | CUSIP: 3142G4V40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34309363 | PA      | $4778797.13     | 0.04%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV2                       | BAYVIEW OPPORTUNITY MASTER FUN BVINV 2022 2 A1 144A     | CUSIP: 07336NAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3708967 | PA      | $3213932.18     | 0.03%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G61254 FG 01/48 FIXED 4               | CUSIP: 31335BMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1843211 | PA      | $1774405.25     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA83A9 PIMCO FPPSWAPTION 4.693 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    53400000 | NC      | $3538636.44     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8BDA4 PIMCO SWAPTION 2.75 CALL USD 2026020          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   132400000 | NC      | $187584.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-INV3                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 INV3 PT 144A   | CUSIP: 17332ACD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    83959446 | PA      | $88226147.59    | 0.71%             | 2054-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8777 FN 11/53 FIXED VAR                     | CUSIP: 3140XQXF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36380239 | PA      | $37600818.50    | 0.30%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-186                                                      | FREDDIEMAC STRIP FHS 186 PO                             | CUSIP: 31351BFA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27016 | PA      | $26243.22       | 0.00%             | 2027-08-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4792 FR 09/55 FIXED 6.5             | CUSIP: 3142GVKE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3793131 | PA      | $4002718.56     | 0.03%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA2558 FN 08/55 FIXED VAR                     | CUSIP: 3140W2ZY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      953712 | PA      | $974144.94      | 0.01%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD8067 FN 05/55 FIXED 6                       | CUSIP: 3140B86D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      843057 | PA      | $876358.14      | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ0128 FR 07/54 FIXED 7               | CUSIP: 3133CQD93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      221433 | PA      | $232380.03      | 0.00%             | 2054-07-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QA6                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA6 A32        | CUSIP: 76110H6F1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51286 | PA      | $26875.12       | 0.00%             | 2035-05-25      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| GCAT 2024-NQM1 TRUST                                                      | GCAT GCAT 2024 NQM1 A1 144A                             | CUSIP: 36169HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2818660 | PA      | $2846385.87     | 0.02%             | 2059-01-25      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-C                                         | CPS AUTO TRUST CPS 2024 C A 144A                        | CUSIP: 223920AA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2800553 | PA      | $2808081.00     | 0.02%             | 2028-02-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-4                                                  | FANNIE MAE FNR 2022 4 PI                                | CUSIP: 3136BLJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10537269 | PA      | $1288746.96     | 0.01%             | 2052-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                   | FREDDIE MAC FHR 4988 DI                                 | CUSIP: 3137FUP57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4073787 | PA      | $824661.57      | 0.01%             | 2047-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS9994 FN 11/54 FIXED VAR                     | CUSIP: 3140XSC84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3467006 | PA      | $3614020.83     | 0.03%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5126 FN 08/43 FIXED 4.5                     | CUSIP: 31418EVU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2996567 | PA      | $2994349.47     | 0.02%             | 2043-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-3                                                  | FANNIE MAE FNR 2021 3 UI                                | CUSIP: 3136BDYR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18588967 | PA      | $818146.90      | 0.01%             | 2036-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A7                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A7 2A3              | CUSIP: 46629DAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1479308 | PA      | $1189710.11     | 0.01%             | 2037-01-25      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BC4714 G2 10/47 FIXED 3.5                  | CUSIP: 3617B8GX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2056273 | PA      | $1902303.70     | 0.02%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                          | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 3A1               | CUSIP: 22239EAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      237209 | PA      | $203555.66      | 0.00%             | 2037-03-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-3                                    | JP MORGAN MORTGAGE TRUST JPMMT 2025 3 A1D 144A          | CUSIP: 46593RAP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10914014 | PA      | $10974757.33    | 0.09%             | 2055-09-25      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-12                                                 | FANNIE MAE FNR 2018 12 IO                               | CUSIP: 3136B03F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8396107 | PA      | $1853238.38     | 0.01%             | 2048-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-89                                                 | FANNIE MAE FNR 2020 89 LI                               | CUSIP: 3136BCL40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11499569 | PA      | $1980862.82     | 0.02%             | 2050-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A A 144A                      | CUSIP: ACI2SNZ85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    47508243 | PA      | $63972795.83    | 0.51%             | 2066-05-16      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 440                                             | FANNIEMAE STRIP FNS 440 C54                             | CUSIP: 31424U8J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   152293802 | PA      | $32987305.14    | 0.26%             | 2053-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-84                                                 | FANNIE MAE FNR 2013 84 SD                               | CUSIP: 3136AF5K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1952748 | PA      | $1636451.55     | 0.01%             | 2043-06-25      | Floating      | 1.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAD3A8 PIMCO SWAPTION 4.0275 PUT USD 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -152700000 | NC      | $-316226.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-80                                                 | FANNIE MAE FNR 2013 80 PO                               | CUSIP: 3136AFZF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3808822 | PA      | $2952724.35     | 0.02%             | 2043-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2007-1                                                   | MORTGAGEIT TRUST MHL 2007 1 1A1                         | CUSIP: 61915YAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1800450 | PA      | $1582700.56     | 0.01%             | 2047-06-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  2404695654 | PA      | $2383506437.78  | 19.06%            | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-87                                                 | FANNIE MAE FNR 2017 87 IO                               | CUSIP: 3136AYT86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1917530 | PA      | $315798.32      | 0.00%             | 2047-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN4                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN4 A1 144A    | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2491166 | PA      | $2493171.78     | 0.02%             | 2051-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                           | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A    | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5500000 | PA      | $5510725.00     | 0.04%             | 2035-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-34                                                 | FANNIE MAE FNR 2013 34 PS                               | CUSIP: 3136ADQR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      470366 | PA      | $42442.62       | 0.00%             | 2042-08-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-OPT1                                      | HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 2A3       | CUSIP: 40431JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3260752 | PA      | $2904923.71     | 0.02%             | 2036-12-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-31                                                 | FANNIE MAE FNR 2018 31 SD                               | CUSIP: 3136B1XV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2895848 | PA      | $391817.48      | 0.00%             | 2048-05-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-5                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 5 A2 144A      | CUSIP: 69548WAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2600000 | PA      | $2619504.16     | 0.02%             | 2033-03-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-60                                                 | FANNIE MAE FNR 2020 60 EI                               | CUSIP: 3136BBZX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4332076 | PA      | $872892.13      | 0.01%             | 2050-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   153133928 | PA      | $156463659.88   | 1.25%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 1 A11 144A     | CUSIP: 17332CBX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8963379 | PA      | $9009784.38     | 0.07%             | 2054-07-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-7                                  | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 7 A11 144A    | CUSIP: 16159TAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20686133 | PA      | $20701989.20    | 0.17%             | 2055-06-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE 322                                                             | FANNIEMAE STRIP FNS 322 2                               | CUSIP: 3136FALR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50920 | PA      | $5803.84        | 0.00%             | 2032-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7989 G2 04/52 FIXED 3.5                  | CUSIP: 36179W2W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    49838757 | PA      | $45735079.08    | 0.37%             | 2052-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5481                                                   | FREDDIE MAC FHR 5481 GF                                 | CUSIP: 3137HHQF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7815532 | PA      | $7841299.40     | 0.06%             | 2054-12-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $58668036.64    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3                                | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF3 M1          | CUSIP: 362334AW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5381664 | PA      | $5085452.63     | 0.04%             | 2036-02-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| PRET 2024-NPL9 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL9 A1 144A   | CUSIP: 74143TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10223317 | PA      | $10247255.90    | 0.08%             | 2054-12-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| PARALLEL 2021-1 LTD                                                       | PARALLEL LTD PARL 2021 1A AR 144A                       | CUSIP: 69916HAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    19600000 | PA      | $19615680.00    | 0.16%             | 2034-07-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-68                                                 | FANNIE MAE FNR 2019 68 SA                               | CUSIP: 3136B6L84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7267382 | PA      | $1022032.27     | 0.01%             | 2049-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-1                                                    | LEHMAN XS TRUST LXS 2007 1 1A2                          | CUSIP: 525241AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1265035 | PA      | $1225484.99     | 0.01%             | 2037-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC9244 FN 12/54 FIXED 6.5                     | CUSIP: 3140AXHW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      294741 | PA      | $306895.96      | 0.00%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1617 FR 12/54 FIXED 6               | CUSIP: 31425VYP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      422971 | PA      | $434909.35      | 0.00%             | 2054-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-207                                                      | FREDDIEMAC STRIP FHS 207 PO                             | CUSIP: 3128CU7F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19889 | PA      | $18646.07       | 0.00%             | 2030-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                       | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 1A4         | CUSIP: 761119AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      450637 | PA      | $309290.22      | 0.00%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AV3502 FN 03/44 FIXED 4                       | CUSIP: 3138XE3L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      281390 | PA      | $271737.22      | 0.00%             | 2044-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ9089 FR 11/54 FIXED 6.5             | CUSIP: 3133D1C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      359710 | PA      | $373349.02      | 0.00%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A63043 FG 07/37 FIXED 5.5             | CUSIP: 3128KTLY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      295151 | PA      | $306146.32      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-42                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 42 BI           | CUSIP: 38376MTE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      194850 | PA      | $2841.76        | 0.00%             | 2046-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WIND RIVER CLO LTD 2016-1KRA                                              | WIND RIVER CLO LTD WINDR 2016 1KRA A1R3 144A            | CUSIP: 97314DAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    17008219 | PA      | $17032880.45    | 0.14%             | 2034-10-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2023-1A                                       | SPACE COAST CREDIT UNION SCCU 2023 1A A3 144A           | CUSIP: 805922AE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4703687 | PA      | $4744193.98     | 0.04%             | 2028-10-16      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR1                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A5         | CUSIP: 25151RAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5495084 | PA      | $4848675.32     | 0.04%             | 2047-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AW5306 G2 11/46 FIXED 3.5                  | CUSIP: 36195T3P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      704158 | PA      | $651453.67      | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                   | FREDDIE MAC FHR 5051 EI                                 | CUSIP: 3137F7XZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18929298 | PA      | $2020969.45     | 0.02%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2025-1A                      | ARIVO ACCEPTANCE AUTO LOAN REC ARIVO 2025 1A A2 144A    | CUSIP: 039962AF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1200000 | PA      | $1201482.96     | 0.01%             | 2029-05-15      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 06/21/23-3Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $556630.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3233                                                   | FREDDIE MAC FHR 3233 OP                                 | CUSIP: 31397BYN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2722 | PA      | $2288.74        | 0.00%             | 2036-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| US CAPITAL FUNDING V LTD 2006-5A                                          | US CAPITAL FUNDING LTD USCAP 2006 5A A1 144A            | CUSIP: 90342WAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      506583 | PA      | $473655.18      | 0.00%             | 2040-10-10      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2416                                                          | FREDDIE MAC FHR 2416 PO                                 | CUSIP: 31339DRH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         872 | PA      | $850.42         | 0.00%             | 2032-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8N9A3 PIMCO FPPSWAPTION 4.073 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    51300000 | NC      | $2366463.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2017-2 DAC                                              | BLACK DIAMOND CLO BLACK 2017 2A A1 144A                 | CUSIP: ACI1XBRF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |       20116 | PA      | $23629.93       | 0.00%             | 2032-01-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888528 FN 06/35 FLOATING VAR                  | CUSIP: 31410GD91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7459 | PA      | $7662.11        | 0.00%             | 2035-06-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                       | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF C 144A         | CUSIP: 04410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15035000 | PA      | $15017616.53    | 0.12%             | 2035-04-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 304                                                    | FREDDIEMAC STRIP FHS 304 C46                            | CUSIP: 31325UP34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      102933 | PA      | $2475.11        | 0.00%             | 2027-12-15      | Variable      | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS9393 FN 04/47 FIXED 4                       | CUSIP: 3138WKNK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1093513 | PA      | $1051867.36     | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5070                                                   | FREDDIE MAC FHR 5070 AI                                 | CUSIP: 3137F9VX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35936250 | PA      | $6822418.04     | 0.05%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NOTE ASSET TRUST SERIES 2007-OAR5               | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 OAR5 1A1       | CUSIP: 590227AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4442309 | PA      | $1109464.06     | 0.01%             | 2047-10-25      | Variable      | 3.46%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-M1                                                   | CHASEFLEX TRUST CFLX 2007 M1 1A1                        | CUSIP: 16165YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1832282 | PA      | $1617534.55     | 0.01%             | 2037-08-25      | Floating      | 4.57%                 | 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        |     2995855 | PA      | $990260.06      | 0.01%             | 2036-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G03696 FG 01/38 FIXED 5.5             | CUSIP: 3128M5NM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1241 | PA      | $1292.35        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK6442 FN 06/48 FLOATING VAR                  | CUSIP: 3140HLEQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      128865 | PA      | $126970.24      | 0.00%             | 2048-06-01      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0304A3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -26025000 | PA      | $-24932782.54   | -0.20%            | 2040-10-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 399                                                    | FREDDIEMAC STRIP FHS 399 C32                            | CUSIP: 3142G4V32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23567896 | PA      | $3265064.93     | 0.03%             | 2052-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004771 G2 08/40 FIXED 4.5                  | CUSIP: 36202FJQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1244831 | PA      | $1252881.89     | 0.01%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4851                                                   | FREDDIE MAC FHR 4851 KO                                 | CUSIP: 3137FKAP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1120265 | PA      | $925042.85      | 0.01%             | 2057-08-15      | Fixed         | 0.00%                 | 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        |     1137257 | PA      | $1134264.01     | 0.01%             | 2036-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3C       | CUSIP: 17312GAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4764918 | PA      | $3346615.96     | 0.03%             | 2045-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-5AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 5AR 4A1         | CUSIP: 61748HLF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38386 | PA      | $24842.62       | 0.00%             | 2035-09-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL U90316 FG 10/42 FIXED 4               | CUSIP: 3132H3K51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      151927 | PA      | $148379.52      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                  | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A           | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      682000 | PA      | $907315.45      | 0.01%             | 2049-12-21      | Floating      | 7.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QF4961 FR 12/52 FIXED 5.5             | CUSIP: 3133BSQN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      779734 | PA      | $799204.10      | 0.01%             | 2052-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3175QL9F1 PIMCO FLOOR USD 0.0325 USD SOFR COMP          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  2092000000 | NC      | $4874569.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5205 FR 12/42 FIXED 4               | CUSIP: 3133KYYA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      131494 | PA      | $128608.36      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A                       | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A       | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3038771 | PA      | $3059221.06     | 0.02%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2004-OPT1                                   | MASTR ASSET BACKED SECURITIES MABS 2004 OPT1 M1         | CUSIP: 57643LCH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      731783 | PA      | $761591.97      | 0.01%             | 2034-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q47617 FG 04/47 FIXED 3.5             | CUSIP: 3132WMPB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      874473 | PA      | $815901.34      | 0.01%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY9999 FN 09/53 FIXED 5                       | CUSIP: 3140NTDD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      972986 | PA      | $975946.12      | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2015-159                                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 159 TE          | CUSIP: 38379FWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      773583 | PA      | $693095.85      | 0.01%             | 2045-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB2697 FN 04/54 FIXED 6                       | CUSIP: 3140AB7K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4078147 | PA      | $4235937.20     | 0.03%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST 2005-2                                | AEGIS ASSET BACKED SECURITIES AABST 2005 2 M4           | CUSIP: 00764MFE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15500000 | PA      | $12181671.65    | 0.10%             | 2035-06-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-42                                                 | FANNIE MAE FNR 2016 42 IG                               | CUSIP: 3136AS2P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1377517 | PA      | $212394.75      | 0.00%             | 2045-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2024-1A                          | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2024 1A A 144A       | CUSIP: 76088YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1210095 | PA      | $1220931.65     | 0.01%             | 2032-06-25      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 367                                                    | FREDDIEMAC STRIP FHS 367 C30                            | CUSIP: 31325X3J7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11903754 | PA      | $2055316.35     | 0.02%             | 2050-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9SQA2 PIMCO SWAPTION 4.2475 PUT USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -95400000 | NC      | $-9.54          | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-132                                                | FANNIE MAE FNR 2012 132 IK                              | CUSIP: 3136AAPX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      573148 | PA      | $38768.27       | 0.00%             | 2032-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8572 FN 07/54 FIXED VAR                     | CUSIP: 3140XQQ26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2273796 | PA      | $2369969.39     | 0.02%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-RP4                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 RP4 SA 144A    | CUSIP: 17332EAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58574 | PA      | $57739.35       | 0.00%             | 2064-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5167                                                   | FREDDIE MAC FHR 5167 WI                                 | CUSIP: 3137H3MA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35987927 | PA      | $3003800.68     | 0.02%             | 2046-12-15      | Floating      | 2.11%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS 2024-1 ISSUER TRUST                                    | STREAM INNOVATIONS ISSUER TRUS STRE 2024 1A A 144A      | CUSIP: 86324CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2471729 | PA      | $2574860.73     | 0.02%             | 2044-07-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC5                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 BC5 A1         | CUSIP: 86359SAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16074915 | PA      | $15471449.40    | 0.12%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXVII LTD                                                 | SOUND POINT CLO LTD SNDPT 2020 2A AR 144A               | CUSIP: 83611VAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    10400000 | PA      | $10423400.00    | 0.08%             | 2034-10-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX                      | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX C 144A    | CUSIP: 05493LAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3786817.20     | 0.03%             | 2038-09-15      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-54                                                 | FANNIE MAE FNR 2013 54 KZ                               | CUSIP: 3136AEUG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      103079 | PA      | $72639.25       | 0.00%             | 2043-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4825                                                   | FREDDIE MAC FHR 4825 NI                                 | CUSIP: 3137FH6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1192915 | PA      | $196873.15      | 0.00%             | 2048-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDIGO CREDIT MANAGEMENT II DAC 2A                                        | INDIGO CREDIT MANAGEMENT INDI 2A B 144A                 | CUSIP: ACI2RZXL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2000000 | PA      | $2355630.75     | 0.02%             | 2038-07-15      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX2596 FR 01/55 FIXED 6               | CUSIP: 31425W3E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1592909 | PA      | $1638117.29     | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9367 FN 08/33 FIXED 4.58                    | CUSIP: 3140LLMR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7368000 | PA      | $7471323.82     | 0.06%             | 2033-08-01      | Fixed         | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC0100 FR 03/51 FIXED 3               | CUSIP: 3133AJDD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      879891 | PA      | $786348.47      | 0.01%             | 2051-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0204A4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -109900000 | PA      | $-101032882.25  | -0.81%            | 2040-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3001                                                          | FREDDIE MAC FHR 3001 Z                                  | CUSIP: 31395WBC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      668678 | PA      | $722519.94      | 0.01%             | 2035-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4438                                                   | FREDDIE MAC FHR 4438 WI                                 | CUSIP: 3137BGLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      499594 | PA      | $27994.27       | 0.00%             | 2038-11-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0735 FN 07/55 FIXED 6.5                     | CUSIP: 3140Y6Y95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5802643 | PA      | $6132205.45     | 0.05%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-4                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 D 2A2         | CUSIP: 05949ADG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11935 | PA      | $11618.36       | 0.00%             | 2034-05-25      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-42                                                 | FANNIE MAE FNR 2012 42 MZ                               | CUSIP: 3136A5GV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25717 | PA      | $22741.49       | 0.00%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-68                                                 | FANNIE MAE FNR 2019 68 SD                               | CUSIP: 3136B6P49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3573822 | PA      | $463921.77      | 0.00%             | 2049-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 446                                             | FANNIEMAE STRIP FNS 446 C18                             | CUSIP: 31425CDY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    65057053 | PA      | $13928596.08    | 0.11%             | 2055-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM2 TRUST                                                      | PRP ADVISORS, LLC PRPM 2024 NQM2 A1 144A                | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4119936 | PA      | $4215596.11     | 0.03%             | 2069-06-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4701 FR 08/55 FIXED 6.5             | CUSIP: 3142GVGK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9086460 | PA      | $9549340.55     | 0.08%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-52                                                 | FANNIE MAE FNR 2016 52 MI                               | CUSIP: 3136AS6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3745151 | PA      | $558528.62      | 0.00%             | 2045-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-RPL3 TRUST                                                      | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL3 A1 144A   | CUSIP: 69382RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5723386 | PA      | $5556709.79     | 0.04%             | 2065-04-25      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP FNS 427                                         | FANNIEMAE STRIP FNS 427 C19                             | CUSIP: 31423XMV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    35949541 | PA      | $4629572.91     | 0.04%             | 2052-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA0894 FN 12/37 FIXED 4                       | CUSIP: 3140Q77G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       79456 | PA      | $78473.91       | 0.00%             | 2037-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-8347.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.75000 03/18/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-26079.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2022-INV1                                      | BINOM SECURITIZATION TRUST BINOM 2022 INV1 A1 144A      | CUSIP: 090975AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20985922 | PA      | $20464071.31    | 0.16%             | 2057-08-25      | Variable      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7107 FN 09/53 FIXED 5.5                     | CUSIP: 3140QS3R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5842141 | PA      | $6027841.48     | 0.05%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-8                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 8 SP            | CUSIP: 38378P6U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      735342 | PA      | $15898.69       | 0.00%             | 2043-09-20      | Floating      | 1.30%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS C 144A     | CUSIP: 78486DAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4983299.50     | 0.04%             | 2034-04-15      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| CSMC 2022-RPL4                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2022 RPL4 A1 144A     | CUSIP: 12663TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2770879 | PA      | $2674434.71     | 0.02%             | 2062-04-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| LCM 36 LTD                                                                | LCM LTD PARTNERSHIP LCM 36A A1R 144A                    | CUSIP: 50190LAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $1003219.44     | 0.01%             | 2034-01-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-23                                                 | FANNIE MAE FNR 2013 23 ZL                               | CUSIP: 3136ADCC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1181824 | PA      | $976992.23      | 0.01%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5013                                                   | FREDDIE MAC FHR 5013 IN                                 | CUSIP: 3137FW3E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13023869 | PA      | $2224872.68     | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5500                                                   | FREDDIE MAC FHR 5500 QF                                 | CUSIP: 3137HJBW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    41310464 | PA      | $41540179.10    | 0.33%             | 2054-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-1A                                            | LENDMARK FUNDING TRUST LFT 2024 1A A 144A               | CUSIP: 52603DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5400000 | PA      | $5483849.04     | 0.04%             | 2032-06-21      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -334900000 | PA      | $-337462668.20  | -2.70%            | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-7                                         | VERUS SECURITIZATION TRUST VERUS 2023 7 A1 144A         | CUSIP: 92539YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9182433 | PA      | $9334746.11     | 0.07%             | 2068-10-25      | Fixed         | 7.07%                 | No            |                  2 | On Loan: No      |
| ALLEGRO CLO XI LTD 2019-2A                                                | ALLEGRO CLO LTD ALLEG 2019 2A A1AR 144A                 | CUSIP: 01750HAQ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      810510 | PA      | $811627.64      | 0.01%             | 2033-01-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2023-39                                                 | FANNIE MAE FNR 2023 39 IO                               | CUSIP: 3136BQFT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   159316946 | PA      | $27106822.43    | 0.22%             | 2052-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-3                                       | SAXON ASSET SECURITIES TRUST SAST 2007 3 1A             | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      849301 | PA      | $821230.22      | 0.01%             | 2037-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U5XUA0 PIMCO SWAPTION 2.75 CALL USD 2025111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    96600000 | NC      | $12277.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-88                                                 | FANNIE MAE FNR 2016 88 PI                               | CUSIP: 3136AUTM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3544035 | PA      | $494508.83      | 0.00%             | 2046-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ1530 FR 05/54 FIXED 6.5             | CUSIP: 3142GRVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23045220 | PA      | $24203437.35    | 0.19%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W14                                             | FANNIEMAE WHOLE LOAN FNW 2004 W14 1AS                   | CUSIP: 31394BT53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14899756 | PA      | $188912.51      | 0.00%             | 2044-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H09                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H09 FA          | CUSIP: 38383XNS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6863268 | PA      | $6879125.97     | 0.06%             | 2073-04-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0504A1<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -2000000 | PA      | $-2020911.98    | -0.02%            | 2039-10-15      | Fixed         | 5.00%                 | 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        |     6712116 | PA      | $2977810.67     | 0.02%             | 2036-05-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.60240 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5781.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-9                                                  | FANNIE MAE FNR 2021 9 GI                                | CUSIP: 3136BD5Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32886828 | PA      | $5063502.63     | 0.04%             | 2051-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-18                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 18 2A3          | CUSIP: 23243WAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9493464 | PA      | $9112673.51     | 0.07%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-96                                                 | FANNIE MAE FNR 2021 96 GI                               | CUSIP: 3136BKYL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26241558 | PA      | $4654263.16     | 0.04%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AT5613 FN 02/43 FIXED 3                       | CUSIP: 3138WTGX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      498853 | PA      | $478429.06      | 0.00%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A1 144A      | CUSIP: 21050QAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3112332 | PA      | $3134471.77     | 0.03%             | 2054-11-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                   | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3         | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5216620 | PA      | $3547678.75     | 0.03%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A4 144A      | CUSIP: 39571XAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1083007 | PA      | $1096460.91     | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2009-10                                                 | JP MORGAN REREMIC JPMRR 2009 10 2A2 144A                | CUSIP: 46634AAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1788058 | PA      | $1693638.99     | 0.01%             | 2036-08-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3224                                                   | FREDDIE MAC FHR 3224 SI                                 | CUSIP: 31397BY47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      339748 | PA      | $30889.57       | 0.00%             | 2036-10-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA5                                   | FREDDIE MAC   STACR STACR 2021 DNA5 M2 144A             | CUSIP: 35564KHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      633640 | PA      | $635719.18      | 0.01%             | 2034-01-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-A TRUST                                   | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 A A 144A       | CUSIP: 83407UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    27128948 | PA      | $27292020.10    | 0.22%             | 2034-03-27      | Fixed         | 4.91%                 | No            |                  3 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-21                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 21 FJ           | CUSIP: 38383VX37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12456156 | PA      | $12403021.55    | 0.10%             | 2053-02-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2218 FR 05/55 FIXED 6               | CUSIP: 31426LPC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5994329 | PA      | $6225205.05     | 0.05%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3335 FN 04/38 FIXED 3                       | CUSIP: 31418CV50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      410078 | PA      | $387370.32      | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-ASP1                                             | ACE SECURITIES CORP. ACE 2006 ASP1 M1                   | CUSIP: 004421VX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4494324 | PA      | $4330851.47     | 0.03%             | 2035-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0504A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    67300000 | PA      | $68003688.13    | 0.54%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-HYB1                                          | SEQUOIA MORTGAGE TRUST SEMT 2025 HYB1 A1A 144A          | CUSIP: 816938AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5600000 | PA      | $5630254.56     | 0.05%             | 2055-10-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXII LTD                                                     | SYMPHONY CLO LTD SYMP 2020 22A A1AR 144A                | CUSIP: 87167GCH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     8017280 | PA      | $8028913.90     | 0.06%             | 2033-04-18      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1        | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9417 | PA      | $9515.88        | 0.00%             | 2036-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      937000 | PA      | $933947.91      | 0.01%             | 2025-10-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-INV2                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 INV2 A11 144A   | CUSIP: 64831GAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13085738 | PA      | $12268046.52    | 0.10%             | 2051-09-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5060                                                   | FREDDIE MAC FHR 5060 IP                                 | CUSIP: 3137F87A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6004091 | PA      | $1118241.55     | 0.01%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ1729 FR 06/54 FIXED 6.5             | CUSIP: 3142GR4P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1042506 | PA      | $1079840.54     | 0.01%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COLOGIX CANADIAN ISSUER LP 2022-1CAN                                      | COLOGIX DATA CENTERS ISSUER LL CLGIX 2022 1CAN A2 144A  | CUSIP: 19521DAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |    30000000 | PA      | $21273981.46    | 0.17%             | 2052-01-25      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                    | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P D 144A     | CUSIP: 61772WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24544000 | PA      | $21819542.37    | 0.17%             | 2038-12-15      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2023-4A                                            | MARLETTE FUNDING TRUST MFT 2023 4A A 144A               | CUSIP: 57108UAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3298066 | PA      | $3337394.64     | 0.03%             | 2033-12-15      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2B          | CUSIP: 14319FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      536191 | PA      | $536632.65      | 0.00%             | 2027-09-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H01                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H01 FC          | CUSIP: 38380QUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4611008 | PA      | $4532582.27     | 0.04%             | 2070-11-20      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-75                                       | FHLMC STRUCTURED PASS THROUGH FSPC T 75 A2              | CUSIP: 31397JMF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17856199 | PA      | $14904001.09    | 0.12%             | 2036-12-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD7122 FR 11/54 FIXED 6.5             | CUSIP: 3132DU4F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3967556 | PA      | $4156855.32     | 0.03%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BNC MORTGAGE LOAN TRUST 2007-2                                            | BNC MORTGAGE LOAN TRUST BNCMT 2007 2 A4                 | CUSIP: 05569QAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $8582068.00     | 0.07%             | 2037-05-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD0389 FN 01/35 FLOATING VAR                  | CUSIP: 31418MNF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       79483 | PA      | $81294.83       | 0.00%             | 2035-01-01      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                   | FREDDIE MAC FHR 5051 SX                                 | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   106849953 | PA      | $3727759.79     | 0.03%             | 2048-11-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM1                             | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM1 PT 144A   | CUSIP: 36271LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    95011950 | PA      | $99000456.15    | 0.79%             | 2065-04-25      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A B 144A          | CUSIP: 37989AAG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3200000 | PA      | $3228138.24     | 0.03%             | 2029-01-16      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8556 FN 12/29 FIXED 4.56                    | CUSIP: 3140LKQJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4997198 | PA      | $5080472.98     | 0.04%             | 2029-12-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3997                                                   | FREDDIE MAC FHR 3997 NE                                 | CUSIP: 3137AMCA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      973817 | PA      | $859882.94      | 0.01%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA8234 FN 12/50 FIXED 3                       | CUSIP: 3140QGEG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    42577028 | PA      | $38177833.15    | 0.31%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-73                                                 | FANNIE MAE FNR 2014 73 AS                               | CUSIP: 3136ALMS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9147032 | PA      | $1061339.30     | 0.01%             | 2044-11-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AY6116 G2 01/47 FIXED 3.5                  | CUSIP: 36196VYM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      969826 | PA      | $897215.60      | 0.01%             | 2047-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH4                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A1         | CUSIP: 74922TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2752929 | PA      | $2595277.35     | 0.02%             | 2037-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6714 FN 07/53 FIXED 4.5                     | CUSIP: 3140QSN80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9390032 | PA      | $9252971.98     | 0.07%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5000                                                   | FREDDIE MAC FHR 5000 PI                                 | CUSIP: 3137FVH39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16224839 | PA      | $2757364.28     | 0.02%             | 2050-07-25      | Fixed         | 3.00%                 | 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        |     4706800 | PA      | $3132946.12     | 0.03%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                           | PFP III PFP 2024 11 A 144A                              | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     8474152 | PA      | $8493399.83     | 0.07%             | 2039-09-17      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL4 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL4 A1 144A   | CUSIP: 74136UAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13400942 | PA      | $13505399.79    | 0.11%             | 2055-04-25      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                    | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M4          | CUSIP: 64352VKW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2642903 | PA      | $2804418.87     | 0.02%             | 2035-06-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA4467 FN 10/34 FIXED 3.5                     | CUSIP: 3140QB6D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2751776 | PA      | $2707618.64     | 0.02%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-10                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 10 A3X 144A         | CUSIP: 46654AAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    62340846 | PA      | $1834204.83     | 0.01%             | 2051-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q50249 FG 08/47 FIXED 4               | CUSIP: 3132XSH37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      415125 | PA      | $399778.39      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-OA2 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA2 2A        | CUSIP: 93935QAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1175285 | PA      | $1013086.03     | 0.01%             | 2047-01-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                 | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 B 144A     | CUSIP: 78486BAE4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $4999782.85     | 0.04%             | 2038-04-18      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-4                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 4 M2            | CUSIP: 126670WW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14425000 | PA      | $13897841.24    | 0.11%             | 2036-07-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM6 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM6 A1 144A          | CUSIP: 67117VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9765303 | PA      | $9854686.85     | 0.08%             | 2063-07-25      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H15                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H15 FA          | CUSIP: 38384AV34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8903323 | PA      | $9042255.75     | 0.07%             | 2073-06-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7VXA9 PIMCO SWAPTION 5.0 PUT USD 20251229           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   332400000 | NC      | $33.24          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-68                                                        | FANNIE MAE FNR 2009 68 SA                               | CUSIP: 31396QD71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46638 | PA      | $4683.67        | 0.00%             | 2039-09-25      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-D                                         | CPS AUTO TRUST CPS 2024 D B 144A                        | CUSIP: 22411JAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6500000 | PA      | $6516381.30     | 0.05%             | 2029-03-15      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2025-3                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2025 3 A29 144A     | CUSIP: 17332RCX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    20244885 | PA      | $20438458.80    | 0.16%             | 2055-06-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-28                                                 | FANNIE MAE FNR 2021 28 KS                               | CUSIP: 3136BHMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7424995 | PA      | $3541039.73     | 0.03%             | 2051-05-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BC4566 FN 12/46 FIXED 4                       | CUSIP: 3140F0CC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50146 | PA      | $48243.55       | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH0299 FN 04/47 FIXED 4                       | CUSIP: 3140GNKM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      724881 | PA      | $698189.02      | 0.01%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2006-3                                          | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 3 1A1           | CUSIP: 02660UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6883024 | PA      | $5770783.48     | 0.05%             | 2046-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BC1180 GN 08/47 FIXED 4                       | CUSIP: 3617B4JZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70964 | PA      | $67702.61       | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3752                                                   | FREDDIE MAC FHR 3752 XL                                 | CUSIP: 3137A2XC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      121775 | PA      | $121485.64      | 0.00%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 783294 G2 03/41 FIXED 4.5                  | CUSIP: 36241LUT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1451155 | PA      | $1429310.48     | 0.01%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9212 FN 08/33 FIXED 5.11                    | CUSIP: 3140LLGW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1073343 | PA      | $1116776.65     | 0.01%             | 2033-08-01      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-136                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 136 WI          | CUSIP: 38380HJC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3335908 | PA      | $186086.98      | 0.00%             | 2047-01-20      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-78                                                 | FANNIE MAE FNR 2021 78 HI                               | CUSIP: 3136BJZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11395707 | PA      | $2142698.34     | 0.02%             | 2051-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY2447 FN 07/53 FIXED 5                       | CUSIP: 3140NJWH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1161882 | PA      | $1170932.52     | 0.01%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4136                                                   | FREDDIE MAC FHR 4136 SE                                 | CUSIP: 3137AWM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1015510 | PA      | $139217.93      | 0.00%             | 2042-11-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5768 FN 07/45 FIXED 6                       | CUSIP: 31418FMS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      794307 | PA      | $814433.93      | 0.01%             | 2045-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA6009 FN 05/50 FIXED 3.5                     | CUSIP: 3140QDVB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2604131 | PA      | $2392602.37     | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BL1296 FN 02/26 FIXED 3.575                   | CUSIP: 3140HSNN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12198000 | PA      | $12148260.09    | 0.10%             | 2026-02-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCIAL ISSUANCE TRUST 2023-2A                                  | ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2023 2A A2 144A    | CUSIP: 68269HAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2600000 | PA      | $2628374.84     | 0.02%             | 2036-09-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A3 144A      | CUSIP: 39571XAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1200000 | PA      | $1217319.36     | 0.01%             | 2059-10-27      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 19 WI           | CUSIP: 38380VEV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2768318 | PA      | $130111.79      | 0.00%             | 2047-08-20      | Floating      | 0.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4615                                                          | FREDDIE MAC FHR 4615 AS                                 | CUSIP: 3137BRYH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2113683 | PA      | $119025.07      | 0.00%             | 2038-10-15      | Floating      | 1.79%                 | No            |                  2 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                                              | EURO GALAXY CLO DAC EGLXY 2013 3A BR1 144A              | CUSIP: ACI1W6FG3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2800000 | PA      | $3106401.63     | 0.02%             | 2034-04-24      | Fixed         | 1.60%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A    | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $961434.80      | 0.01%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO GOLDMAN                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -522055967 | PA      | $-522619787.52  | -4.18%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4942 FN 03/53 FIXED 6                       | CUSIP: 31418EP46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21281054 | PA      | $21853030.93    | 0.17%             | 2053-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H03                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H03 FM          | CUSIP: 38381RDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      975235 | PA      | $984767.94      | 0.01%             | 2069-02-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-19                                                 | FANNIE MAE FNR 2019 19 CS                               | CUSIP: 3136B4SV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10824224 | PA      | $1391239.73     | 0.01%             | 2049-05-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL1822 FN 04/40 FIXED VAR                     | CUSIP: 3138EJAY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      366481 | PA      | $368243.82      | 0.00%             | 2040-04-01      | Fixed         | 4.50%                 | 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        |      110581 | PA      | $101757.45      | 0.00%             | 2035-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5104                                                   | FREDDIE MAC FHR 5104 GI                                 | CUSIP: 3137H0GB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    17665225 | PA      | $3482227.43     | 0.03%             | 2049-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR12                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR12 A1        | CUSIP: 45660N5H4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      181973 | PA      | $140392.91      | 0.00%             | 2034-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                    | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 D 144A       | CUSIP: 78432WAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5500000 | PA      | $5441680.20     | 0.04%             | 2038-05-15      | Floating      | 6.66%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-1                                                    | LEHMAN XS TRUST LXS 2007 1 1A3                          | CUSIP: 525241AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3406231 | PA      | $3302865.08     | 0.03%             | 2037-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4690697 | PA      | $3755267.78     | 0.03%             | 2037-10-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD5194 FN 05/55 FIXED 6                       | CUSIP: 3140B5XY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2779967 | PA      | $2882750.86     | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ1701 FN 12/47 FIXED 4                       | CUSIP: 3140H23K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1032524 | PA      | $998060.99      | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-NINE            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 NINE A 144A   | CUSIP: 46646GAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $9837474.00     | 0.08%             | 2038-09-06      | Variable      | 2.95%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2005-2                                            | NEW YORK MORTGAGE TRUST NYMT 2005 2 A                   | CUSIP: 649603AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1017115 | PA      | $938706.22      | 0.01%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC2756 FR 06/51 FIXED 3               | CUSIP: 3133AMBZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1320569 | PA      | $1179596.57     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5158                                                   | FREDDIE MAC FHR 5158 PI                                 | CUSIP: 3137H3ZJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    57849188 | PA      | $13809046.51    | 0.11%             | 2049-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XVII LLC 2024-2A                                         | OSCAR US FUNDING TRUST OSCAR 2024 2A A2 144A            | CUSIP: 68784BAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4686497 | PA      | $4691844.29     | 0.04%             | 2027-12-10      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RNM5 OTC EPUT FN 5.5 DEC24 99.09375 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    63000000 | NC      | $67158.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD0257 FR 01/50 FIXED 3               | CUSIP: 3132DMJA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6337263 | PA      | $5573997.93     | 0.04%             | 2050-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8N8A4 PIMCO FPPSWAPTION 4.073 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    51300000 | NC      | $3400297.38     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-A                                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 A A2A          | CUSIP: 14319UAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9892914 | PA      | $9914827.43     | 0.08%             | 2028-05-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RAI8 OTC ECAL FN 4.0 OCT25 93.484375 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1000000 | NC      | $-8410.60       | -0.00%            |  |  |  | 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        |     4625585 | PA      | $1686617.30     | 0.01%             | 2036-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-65                                                 | FANNIE MAE FNR 2020 65 AI                               | CUSIP: 3136BBUK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15519403 | PA      | $2385889.33     | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8301 FR 02/53 FIXED 6               | CUSIP: 3132DWGJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21388613 | PA      | $21961246.18    | 0.18%             | 2053-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0524A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    38000000 | PA      | $38840135.54    | 0.31%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-9                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 9 2A1A        | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1693540 | PA      | $1579471.93     | 0.01%             | 2036-11-19      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS5                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS5 A1 144A       | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9351779 | PA      | $9357687.81     | 0.07%             | 2067-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   119400000 | NC      | $7199581.20     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA1972 FN 06/55 FIXED VAR                     | CUSIP: 3140W2FN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6007389 | PA      | $6306621.98     | 0.05%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BO5413 FN 10/49 FIXED 3                       | CUSIP: 3140K1AP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5006211 | PA      | $4519484.76     | 0.04%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA3667 FN 06/49 FIXED 4                       | CUSIP: 3140QBCD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      975810 | PA      | $938705.28      | 0.01%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2024-1A                | GMF CANADA LEASING TRUST GCOLT 2024 1A A2 144A          | CUSIP: 36252MDE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |     1787540 | PA      | $1290470.33     | 0.01%             | 2026-12-21      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5255 G2 06/48 FIXED 4.5                  | CUSIP: 36179TZU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      193216 | PA      | $188875.76      | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAGJA4 PIMCO SWAPTION 3.233 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    88400000 | NC      | $18988.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES5                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES5 A1A 144A     | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10766275 | PA      | $10888417.32    | 0.09%             | 2044-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS9776 FN 06/37 FIXED 4                       | CUSIP: 3138WK2J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1051547 | PA      | $1039984.48     | 0.01%             | 2037-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED LOANS STRUCTURED TRANSACTION SERIES 2024-1           | FREDDIE MAC   SLST SLST 2024 1 WF 144A                  | CUSIP: 35564CE45<br>LEI: N/A                  | Long             | ABS-MBS          | MUN               | US        |    40048472 | PA      | $40595125.15    | 0.32%             | 2034-05-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-101                                                | FANNIE MAE FNR 2013 101 AS                              | CUSIP: 3136AGYM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9443316 | PA      | $1519415.31     | 0.01%             | 2043-10-25      | Floating      | 1.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC0134 FN 03/55 FIXED 6.5                     | CUSIP: 3140Y6EG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3659649 | PA      | $3862417.45     | 0.03%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                         | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A     | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     9500000 | PA      | $9545988.17     | 0.08%             | 2039-03-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-4                                  | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 4A A2 144A     | CUSIP: 36271BAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6380768 | PA      | $6399290.77     | 0.05%             | 2029-12-17      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AV3040 G2 10/46 FIXED 3.5                  | CUSIP: 36195DLV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      605992 | PA      | $560632.83      | 0.00%             | 2046-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7275 FN 10/53 FIXED 6.5                     | CUSIP: 3140QTCM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12876579 | PA      | $13508385.28    | 0.11%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BI6280 G2 11/48 FIXED 5                    | CUSIP: 3617HF6R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      575496 | PA      | $573883.68      | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-27                                                 | FANNIE MAE FNR 2018 27 PO                               | CUSIP: 3136B1L77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1533138 | PA      | $1292518.02     | 0.01%             | 2048-05-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-9                                                  | FANNIE MAE FNR 2024 9 AI                                | CUSIP: 3136BRGW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    42813412 | PA      | $7318113.60     | 0.06%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U98VA0 PIMCO FPPSWAPTION 4.285 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    35400000 | NC      | $2146358.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8290 FR 01/53 FIXED 6               | CUSIP: 3132DWF73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21944959 | PA      | $22533961.79    | 0.18%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 2568                                                   | FREDDIE MAC FHR 2568 D                                  | CUSIP: 31393KJC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3116 | PA      | $3218.73        | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION H03                              | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H03 FB          | CUSIP: 38382YR47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    19858552 | PA      | $19815659.48    | 0.16%             | 2073-02-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-42                                                        | FANNIE MAE FNR 2020 42 IB                               | CUSIP: 3136B96V4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9096251 | PA      | $1206035.47     | 0.01%             | 2050-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC7014 FN 12/54 FIXED 5.5                     | CUSIP: 3140AUYL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2340365 | PA      | $2407365.34     | 0.02%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 1A1       | CUSIP: 83613DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      216254 | PA      | $192789.27      | 0.00%             | 2037-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-FOX2                                                        | BX TRUST BX 2022 FOX2 A2 144A                           | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6267920 | PA      | $6260169.52     | 0.05%             | 2039-04-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                   | FREDDIE MAC FHR 4579 SD                                 | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1509557 | PA      | $77600.61       | 0.00%             | 2038-01-15      | Floating      | 1.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004363 G2 02/39 FIXED 5.5                  | CUSIP: 36202EZ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10191 | PA      | $10197.66       | 0.00%             | 2039-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY IXIS REAL ESTATE CAPITAL TRUST 2006-1                      | MORGAN STANLEY IXIS REAL ESTAT MSIX 2006 1 A3           | CUSIP: 61749QAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15666433 | PA      | $6128414.12     | 0.05%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.6637* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-10996.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-86                                                 | FANNIE MAE FNR 2013 86 LI                               | CUSIP: 3136AF2R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      348780 | PA      | $27299.58       | 0.00%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JEFFERIES & CO 2008-R1                                                    | JEFFERIES + CO JMAC 2008 R1 A 144A                      | CUSIP: 472320AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      433088 | PA      | $363043.39      | 0.00%             | 2047-06-25      | Floating      | 8.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST 2022-R06                   | FANNIE MAE   CAS CAS 2022 R06 1M1 144A                  | CUSIP: 20754NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      863395 | PA      | $883849.88      | 0.01%             | 2042-05-25      | Floating      | 7.11%                 | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A                                 | REAL ESTATE ASSET LIQUIDITY TR REALT 2018 1A A2 144A    | CUSIP: 75585RQM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     4549304 | PA      | $3268000.17     | 0.03%             | 2053-08-12      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BO3004 GN 06/49 FIXED 3.5                     | CUSIP: 3617KJKR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52367 | PA      | $47971.31       | 0.00%             | 2049-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                      | EXTENDED STAY AMERICA TRUST ESA 2021 ESH D 144A         | CUSIP: 30227FAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    33562385 | PA      | $33612467.03    | 0.27%             | 2038-07-15      | Floating      | 6.51%                 | 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        |      100108 | PA      | $69706.44       | 0.00%             | 2035-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                           | JUBILEE CDO BV JUBIL 2016 17A A1RR 144A                 | CUSIP: ACI1W2TB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4354561 | PA      | $5115840.76     | 0.04%             | 2031-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                                     | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2B         | CUSIP: 36829JAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12181316 | PA      | $5171525.32     | 0.04%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BT0924 FN 05/51 FIXED 3                       | CUSIP: 3140LPA28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      398950 | PA      | $355657.15      | 0.00%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8573 FN 06/54 FIXED VAR                     | CUSIP: 3140XQQ34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3193878 | PA      | $3350648.10     | 0.03%             | 2054-06-01      | Fixed         | 6.50%                 | 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        |     9200000 | PA      | $8547167.08     | 0.07%             | 2036-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-F                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 F A1A 144A      | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9496603 | PA      | $9637966.61     | 0.08%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2025-SF1                                      | SBNA AUTO RECEIVABLES TRUST SBAT 2025 SF1 D 144A        | CUSIP: 78437XAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7250000 | PA      | $7307067.65     | 0.06%             | 2031-09-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QH0440 FR 09/53 FIXED 5               | CUSIP: 3133CCPZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1895057 | PA      | $1901026.02     | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 B 144A       | CUSIP: 69544NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    17298523 | PA      | $17498973.00    | 0.14%             | 2032-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD9706 FN 08/40 FIXED 4.5                     | CUSIP: 31418XYC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       83532 | PA      | $83064.22       | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM4 TRUST                                                      | GCAT GCAT 2023 NQM4 A1 144A                             | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3610650 | PA      | $3461656.25     | 0.03%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-38                                                 | FANNIE MAE FNR 2014 38 IH                               | CUSIP: 3136AKPN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      361068 | PA      | $49581.26       | 0.00%             | 2044-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4748                                                   | FREDDIE MAC FHR 4748 DF                                 | CUSIP: 3137FCZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1553684 | PA      | $1504684.45     | 0.01%             | 2047-08-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ACCUNIA EUROPEAN CLO I DAC 1A                                             | ACCUNIA EUROPEAN CLO ACCUN 1A AR 144A                   | CUSIP: ACI19ZJ97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      227739 | PA      | $267517.81      | 0.00%             | 2030-07-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-4                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 4A A1B 144A     | CUSIP: 64830WAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      565666 | PA      | $532464.10      | 0.00%             | 2058-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-61                                                 | FANNIE MAE FNR 2020 61 FB                               | CUSIP: 3136BBF49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7210210 | PA      | $6778767.28     | 0.05%             | 2050-09-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3175KL918 PIMCO FLOOR USD 0.01936 USD SOFR COM          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -880000000 | NC      | $-714120.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-58                                                 | FANNIE MAE FNR 2021 58 IO                               | CUSIP: 3136BGXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6049307 | PA      | $498888.79      | 0.00%             | 2061-09-25      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS3748 FN 12/52 FIXED VAR                     | CUSIP: 3140XKEW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22217013 | PA      | $22791439.44    | 0.18%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-3A                                                  | FIRST HELP FINANCIAL LLC FHF 2024 3A A2 144A            | CUSIP: 30339EAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5439842 | PA      | $5434696.91     | 0.04%             | 2030-11-15      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE9075 FN 05/37 FIXED 4                       | CUSIP: 3140FVCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      873910 | PA      | $865793.13      | 0.01%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3123                                                          | FREDDIE MAC FHR 3123 LO                                 | CUSIP: 31396JPR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29552 | PA      | $24815.49       | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG1480 FR 04/53 FIXED 5               | CUSIP: 3133C1UD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2736278 | PA      | $2739210.86     | 0.02%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BH6393 G2 07/48 FIXED 4.5                  | CUSIP: 3617H4C66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      449859 | PA      | $437131.46      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV1                                      | VERUS SECURITIZATION TRUST VERUS 2023 INV1 A1 144A      | CUSIP: 92539FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2771689 | PA      | $2774322.07     | 0.02%             | 2068-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-428                                                       | FANNIEMAE STRIP FNS 428 C20                             | CUSIP: 31423YJU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    18823552 | PA      | $3481697.45     | 0.03%             | 2048-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ2566 FR 09/54 FIXED 6               | CUSIP: 3133CSZ79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3992038 | PA      | $4123807.46     | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ1436 FR 05/54 FIXED 6.5             | CUSIP: 3142GRS27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21648289 | PA      | $22727746.80    | 0.18%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                             | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE C 144A     | CUSIP: 26210YAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7200000 | PA      | $6579618.48     | 0.05%             | 2043-10-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                                             | LUX 2023 LION LUX 2023 LION A 144A                      | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8300000 | PA      | $8408560.68     | 0.07%             | 2040-08-15      | Floating      | 6.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-75                                                 | FANNIE MAE FNR 2020 75 WI                               | CUSIP: 3136BCJC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    37491188 | PA      | $6226922.58     | 0.05%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-2 LLC                                                           | PRP ADVISORS, LLC PRPM 2025 2 A1 144A                   | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2981795 | PA      | $2994855.19     | 0.02%             | 2030-05-25      | Fixed         | 6.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-20                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 20 PS           | CUSIP: 38378DLZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      645835 | PA      | $53668.55       | 0.00%             | 2041-05-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2642 FR 09/55 FIXED 6.5             | CUSIP: 31427P5C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4410222 | PA      | $4647105.96     | 0.04%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VEROS AUTO RECEIVABLES TRUST 2024-1                                       | VEROS AUTO RECEIVABLES TRUST VEROS 2024 1 A 144A        | CUSIP: 92512WAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      634222 | PA      | $636807.89      | 0.01%             | 2027-11-15      | Fixed         | 6.28%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-NC1                                              | ACE SECURITIES CORP. ACE 2003 NC1 A1                    | CUSIP: 004421CN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4249274 | PA      | $4113754.49     | 0.03%             | 2033-07-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-11                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 11 1A1         | CUSIP: 863579RP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      775488 | PA      | $649667.26      | 0.01%             | 2035-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2004-NC7                                       | MORGAN STANLEY CAPITAL INC MSAC 2004 NC7 M2             | CUSIP: 61744CFQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76180 | PA      | $80151.33       | 0.00%             | 2034-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-R1                                        | VERUS SECURITIZATION TRUST VERUS 2024 R1 A1 144A        | CUSIP: 924926AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7877758 | PA      | $7886462.35     | 0.06%             | 2069-09-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9S1A9 PIMCO SWAPTION 4.75 PUT USD 20251014          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  1928700000 | NC      | $192.87         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5167                                                   | FREDDIE MAC FHR 5167 MI                                 | CUSIP: 3137H3M33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13918354 | PA      | $1861687.05     | 0.01%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ACHV ABS TRUST 2025-1PL                                                   | ACHV ABS TRUST ACHV 2025 1PL A 144A                     | CUSIP: 00112MAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1270845 | PA      | $1275801.65     | 0.01%             | 2032-04-26      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE8055 FN 04/47 FIXED 4                       | CUSIP: 3140FT5R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      138262 | PA      | $132490.81      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DA3439 FN 11/53 FIXED 6.5                     | CUSIP: 3140A3ZD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9028712 | PA      | $9340194.70     | 0.07%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA7768 G2 12/51 FIXED 3                    | CUSIP: 36179WTZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1436872 | PA      | $1285953.73     | 0.01%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-2                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 2 A1          | CUSIP: 542514FT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      829854 | PA      | $820593.98      | 0.01%             | 2034-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AT5929 FN 06/33 FIXED 4                       | CUSIP: 3138WTST4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35147 | PA      | $34776.94       | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H22                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H22 FB          | CUSIP: 38383KEF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6083210 | PA      | $6130287.24     | 0.05%             | 2073-09-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   316000000 | PA      | $297108290.76   | 2.38%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BE9832 G2 06/48 FIXED 4.5                  | CUSIP: 3617G44R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       71374 | PA      | $69342.00       | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8952 FN 05/31 FIXED 5.17                    | CUSIP: 3140LK5N9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2820300 | PA      | $2939012.41     | 0.02%             | 2031-05-01      | Fixed         | 5.17%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-72                                                 | FANNIE MAE FNR 2006 72 GO                               | CUSIP: 31396KJK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6258 | PA      | $5547.23        | 0.00%             | 2036-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                                    | FREDDIEMAC STRIP FHS 389 C14                            | CUSIP: 31325YQX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    30098900 | PA      | $3729596.85     | 0.03%             | 2052-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-63                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 63 ZW           | CUSIP: 38383RFE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23113156 | PA      | $16938998.81    | 0.14%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM1514 FN 09/49 FIXED VAR                     | CUSIP: 3140X4VG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7674966 | PA      | $6762447.57     | 0.05%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2189                                                          | FREDDIE MAC FHR 2189 PO                                 | CUSIP: 3133TLXZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7461 | PA      | $7201.64        | 0.00%             | 2027-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SILVER ROCK CLO II LTD 2021-2A                                            | SILVER ROCK CLO LTD SLVRK 2021 2A AR 144A               | CUSIP: 82812LAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15300000 | PA      | $15359527.25    | 0.12%             | 2035-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES1                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES1 A1A 144A     | CUSIP: 749427AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8307992 | PA      | $8411660.33     | 0.07%             | 2045-01-25      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4434 FN 06/48 FIXED VAR                     | CUSIP: 3140J84U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1158539 | PA      | $1174274.04     | 0.01%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-H04                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H04 FA          | CUSIP: 38380LRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      261025 | PA      | $262671.50      | 0.00%             | 2069-03-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $300198.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5070                                                   | FREDDIE MAC FHR 5070 EI                                 | CUSIP: 3137F9WW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34233457 | PA      | $6254887.45     | 0.05%             | 2051-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2021-8                                           | ANGEL OAK MORTGAGE TRUST AOMT 2021 8 M1 144A            | CUSIP: 03465MAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15681000 | PA      | $11720382.40    | 0.09%             | 2066-11-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES1 A1A 144A     | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2282926 | PA      | $2307768.42     | 0.02%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2022-CP1                                          | NEW YORK MORTGAGE TRUST NYMT 2022 CP1 M1 144A           | CUSIP: 62955VAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $703698.40      | 0.01%             | 2061-07-25      | Fixed         | 3.21%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 6M1          | CUSIP: 007036LZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1807916 | PA      | $1708188.54     | 0.01%             | 2035-09-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE8166 FN 03/37 FIXED 4                       | CUSIP: 3140FUCC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      718056 | PA      | $703263.45      | 0.01%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2020-29                                                        | FANNIE MAE FNR 2020 29 FA                               | CUSIP: 3136B9TA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      523968 | PA      | $522561.36      | 0.00%             | 2050-05-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO8 1A3A       | CUSIP: 75115FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      501186 | PA      | $482434.91      | 0.00%             | 2046-10-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-32                                                 | FANNIE MAE FNR 2016 32 LI                               | CUSIP: 3136ASUL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3341241 | PA      | $557158.58      | 0.00%             | 2046-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G67722 FG 03/49 FIXED 5               | CUSIP: 3132XCSK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15025045 | PA      | $15248976.57    | 0.12%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A3         | CUSIP: 14076LAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7400000 | PA      | $7452213.66     | 0.06%             | 2030-01-10      | Fixed         | 4.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-78                                                 | FANNIE MAE FNR 2022 78 FC                               | CUSIP: 3136BPHH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    79294631 | PA      | $79032371.84    | 0.63%             | 2052-11-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ABX.HE.AA.06-1 SP BOA                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-114500.16     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2019-50                                                 | FANNIE MAE FNR 2019 50 CF                               | CUSIP: 3136B6AJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3690430 | PA      | $3587094.83     | 0.03%             | 2049-09-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H20 FE          | CUSIP: 38383KDE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28147529 | PA      | $28296738.65    | 0.23%             | 2073-08-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-90                                                 | FANNIE MAE FNR 2017 90 IW                               | CUSIP: 3136AYRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5573482 | PA      | $856605.11      | 0.01%             | 2047-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H23                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H23 F           | CUSIP: 38376RB70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      443940 | PA      | $444846.45      | 0.00%             | 2066-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                        | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1753943 | PA      | $1794233.36     | 0.01%             | 2058-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ7675 FR 11/54 FIXED 6               | CUSIP: 3133CYQ43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1124897 | PA      | $1166409.61     | 0.01%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-111                                                | FANNIE MAE FNR 2012 111 SE                              | CUSIP: 3136A9DU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3798542 | PA      | $453851.00      | 0.00%             | 2042-10-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES3                                       | TOWD POINT MORTGAGE TRUST TPMT 2024 CES3 A1 144A        | CUSIP: 89183EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10801222 | PA      | $10945876.62    | 0.09%             | 2064-05-25      | Variable      | 6.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-1                                                  | FANNIE MAE FNR 2015 1 PI                                | CUSIP: 3136AMLG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1817987 | PA      | $310909.33      | 0.00%             | 2045-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                             | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A9 144A     | CUSIP: 918307AM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13276443 | PA      | $12405709.10    | 0.10%             | 2051-12-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                             | GSAA HOME EQUITY TRUST GSAA 2007 5 2A2A                 | CUSIP: 3622ECAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5225923 | PA      | $2268462.35     | 0.02%             | 2047-04-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                             | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 AX4 144A    | CUSIP: 918307BE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    20265873 | PA      | $607675.25      | 0.00%             | 2051-12-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                       | SPACE COAST CREDIT UNION SCCU 2024 1A A2 144A           | CUSIP: 78436RAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4698154 | PA      | $4706067.62     | 0.04%             | 2027-12-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5071                                                   | FREDDIE MAC FHR 5071 IN                                 | CUSIP: 3137F9R52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6649782 | PA      | $1405836.99     | 0.01%             | 2050-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 C 144A   | CUSIP: 46649JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1021076 | PA      | $998739.92      | 0.01%             | 2035-02-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV B 144A       | CUSIP: 12660WAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $3099309.20     | 0.02%             | 2038-07-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QC3234 FR 06/51 FIXED 3               | CUSIP: 3133AMSX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1650549 | PA      | $1474528.08     | 0.01%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8487 G2 12/52 FIXED 3.5                  | CUSIP: 36179XNC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1344395 | PA      | $1229013.37     | 0.01%             | 2052-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-126                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 126 IO          | CUSIP: 38376G4P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      204412 | PA      | $2.04           | 0.00%             | 2053-04-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H08                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H08 KF          | CUSIP: 38383KYE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6859884 | PA      | $6876834.37     | 0.05%             | 2074-05-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BH8543 G2 07/48 FIXED 4.5                  | CUSIP: 3617H6P42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      294326 | PA      | $286052.25      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX7464 FR 02/55 FIXED 6.5             | CUSIP: 31426DJJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      445963 | PA      | $464004.46      | 0.00%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB5778 FN 12/52 FIXED 6                       | CUSIP: 3140QRM42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21802327 | PA      | $22375951.97    | 0.18%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                    | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A3 144A      | CUSIP: 39571MAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1800000 | PA      | $1847176.56     | 0.01%             | 2059-06-25      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                         | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A       | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7100000 | PA      | $7100000.00     | 0.06%             | 2033-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2020-DUNE                                    | GS MORTGAGE SECURITIES TRUST GSMS 2020 DUNE C 144A      | CUSIP: 36258BAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3794615 | PA      | $3758568.96     | 0.03%             | 2036-12-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM1 TRUST                                                      | PRP ADVISORS, LLC PRPM 2024 NQM1 A1 144A                | CUSIP: 693977AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1778020 | PA      | $1799090.32     | 0.01%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-23                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 23 MS           | CUSIP: 38381RPW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7866767 | PA      | $230036.86      | 0.00%             | 2035-12-20      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| CITICORP RESIDENTIAL MORTGAGE SEC 2007-2                                  | CITICORP RESIDENTIAL MORTGAGE CRMSI 2007 2 M2           | CUSIP: 17312HAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8907021 | PA      | $7897909.89     | 0.06%             | 2037-06-25      | Variable      | 6.94%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-160                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 160 IE          | CUSIP: 38380B5Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      453813 | PA      | $28159.44       | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB0869 FN 06/51 FIXED 3.5                     | CUSIP: 3140QK6F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22705926 | PA      | $20917480.21    | 0.17%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2016-4                                          | TOWD POINT MORTGAGE TRUST TPMT 2016 4 M1 144A           | CUSIP: 89172UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      475306 | PA      | $471500.42      | 0.00%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-141                                                       | FANNIE MAE FNR 2010 141 AL                              | CUSIP: 31398SXH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30194 | PA      | $29620.06       | 0.00%             | 2040-12-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7651 FN 12/53 FIXED 6.5                     | CUSIP: 3140QTQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22490240 | PA      | $23587126.02    | 0.19%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 60                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 60 SI           | CUSIP: 38376UEU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1275209 | PA      | $27456.27       | 0.00%             | 2035-01-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-29                                                 | FANNIE MAE FNR 2019 29 WC                               | CUSIP: 3136B4UL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1761350 | PA      | $218042.41      | 0.00%             | 2048-06-25      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-4                                             | COUNTRYWIDE HOME LOANS CWHL 2007 4 1A2                  | CUSIP: 12544RAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22863 | PA      | $8944.86        | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2025-A                                    | CARMAX SELECT RECEIVABLES TRUS CMXS 2025 A A2B          | CUSIP: 14319UAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8060893 | PA      | $8069000.24     | 0.06%             | 2028-05-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING III LTD 2024-3A                                     | ROMARK CREDIT FUNDING LTD RCF 2024 3A A 144A            | CUSIP: 77587BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     7400000 | PA      | $7426136.80     | 0.06%             | 2042-09-15      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-16                                                 | FANNIE MAE FNR 2012 16 K                                | CUSIP: 3136A4QV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5220 | PA      | $5186.37        | 0.00%             | 2041-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-97                                                 | FANNIE MAE FNR 2017 97 BF                               | CUSIP: 3136B0DY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31982655 | PA      | $31117841.24    | 0.25%             | 2047-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A4                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A4 4A1              | CUSIP: 46628LAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2621552 | PA      | $1771982.25     | 0.01%             | 2036-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                             | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE B 144A     | CUSIP: 26210YAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5500000 | PA      | $5240598.00     | 0.04%             | 2043-10-15      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                          | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A          | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    42432665 | PA      | $42755858.01    | 0.34%             | 2064-10-25      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 GF          | CUSIP: 38382YY64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5712370 | PA      | $5723607.95     | 0.05%             | 2073-02-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8876 FN 08/54 FIXED VAR                     | CUSIP: 3140XQ2J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4259511 | PA      | $4460188.28     | 0.04%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H18                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H18 F           | CUSIP: 38376R6Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      145750 | PA      | $146495.61      | 0.00%             | 2067-08-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-9                                             | GSAA HOME EQUITY TRUST GSAA 2007 9 A1A                  | CUSIP: 3622EEAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21435 | PA      | $19163.49       | 0.00%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0566 FR 01/55 FIXED 6.5             | CUSIP: 31427MTY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15841935 | PA      | $16664630.91    | 0.13%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD0851 FN 01/55 FIXED 6.5                     | CUSIP: 3140B05M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      621528 | PA      | $655389.16      | 0.01%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RA4518 FR 02/51 FIXED 3.5             | CUSIP: 3133KLAT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34758738 | PA      | $32045359.95    | 0.26%             | 2051-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS7115 FN 02/54 FIXED VAR                     | CUSIP: 3140XN3Z5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28059 | PA      | $28475.01       | 0.00%             | 2054-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD4488 FN 04/55 FIXED 6                       | CUSIP: 3140B47A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4400679 | PA      | $4574785.15     | 0.04%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                                  | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A          | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4497226 | PA      | $3891595.26     | 0.03%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| C-BASS CBO XV LTD 15A                                                     | C BASS LTD CBCL 15A A 144A                              | CUSIP: 124670AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   248639703 | PA      | $4010309.77     | 0.03%             | 2041-02-16      | Floating      | 7.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3171                                                          | FREDDIE MAC FHR 3171 OJ                                 | CUSIP: 31396TUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1283778 | PA      | $1043258.85     | 0.01%             | 2036-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2404 FR 05/55 FIXED 6               | CUSIP: 31426LU69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1644615 | PA      | $1702578.14     | 0.01%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-30                                                        | FANNIE MAE FNR 2006 30 HI                               | CUSIP: 31395B6Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      610224 | PA      | $75821.60       | 0.00%             | 2036-05-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7Q7A9 PIMCO SWAPTION 3.081 CALL USD 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   173000000 | NC      | $295432.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                        | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A4 144A        | CUSIP: 30336CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1200000 | PA      | $1228266.48     | 0.01%             | 2030-04-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                                 | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A BR 144A          | CUSIP: ACI2VPZ11<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2800000 | PA      | $3292350.78     | 0.03%             | 2033-08-15      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                      | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 A 144A      | CUSIP: 55284DAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5270000 | PA      | $5269807.12     | 0.04%             | 2034-12-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 430                                             | FANNIEMAE STRIP FNS 430 C48                             | CUSIP: 31424QLX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   184850620 | PA      | $24111839.12    | 0.19%             | 2052-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3281                                                   | FREDDIE MAC FHR 3281 AI                                 | CUSIP: 31397EWH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      272919 | PA      | $24823.20       | 0.00%             | 2037-02-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 02/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $494221.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AS7206 G2 04/46 FIXED 3.5                  | CUSIP: 36193TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      584119 | PA      | $528851.10      | 0.00%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAFPA9 PIMCO SWAPTION 2.5 CALL USD 20260616          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   305000000 | NC      | $634796.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4154                                                   | FREDDIE MAC FHR 4154 SA                                 | CUSIP: 3137AXS95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1589116 | PA      | $189137.57      | 0.00%             | 2043-01-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                           | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1046408 | PA      | $572174.87      | 0.00%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BA7051 FN 04/46 FIXED 4                       | CUSIP: 3140EBZR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      268606 | PA      | $256397.63      | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5155                                                   | FREDDIE MAC FHR 5155 MI                                 | CUSIP: 3137H36X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16177228 | PA      | $2367305.96     | 0.02%             | 2051-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                            | COUNTRYWIDE HOME LOANS CWHL 2005 R2 2A2 144A            | CUSIP: 12669GP21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      113682 | PA      | $117166.70      | 0.00%             | 2035-06-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                      | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   125580000 | PA      | $125580000.00   | 1.00%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD 2021-49A                                    | MADISON PARK FUNDING LTD MDPK 2021 49A AR 144A          | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    20000000 | PA      | $20032870.00    | 0.16%             | 2034-10-19      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5383                                                   | FREDDIE MAC FHR 5383 AI                                 | CUSIP: 3137HBGR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    41264331 | PA      | $1599483.88     | 0.01%             | 2048-08-15      | Floating      | 1.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4088                                                   | FREDDIE MAC FHR 4088 ZJ                                 | CUSIP: 3137ASRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1236893 | PA      | $1197908.73     | 0.01%             | 2042-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAD4A7 PIMCO SWAPTION 3.577 PUT USD 2025111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -147400000 | NC      | $-586696.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-27                                                 | FANNIE MAE FNR 2018 27 SA                               | CUSIP: 3136B1L69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1719524 | PA      | $216130.89      | 0.00%             | 2048-05-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H20                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H20 BF          | CUSIP: 38375UP87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      523749 | PA      | $526591.15      | 0.00%             | 2067-10-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2004-91                                                 | FANNIE MAE FNR 2004 91 BR                               | CUSIP: 31394BYB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23930 | PA      | $24764.07       | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2025-2                             | SANTANDER DRIVE AUTO RECEIVABL SDART 2025 2 A2          | CUSIP: 80287NAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    28330058 | PA      | $28385663.80    | 0.23%             | 2028-06-15      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | DEUTSCHE BANK REPO REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |       19850 | PA      | $19850.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3607                                                   | FREDDIE MAC FHR 3607 OP                                 | CUSIP: 31398LQS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      349361 | PA      | $300616.35      | 0.00%             | 2037-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4              | CREDIT BASED ASSET SERVICING A CBASS 2006 CB4 AV4       | CUSIP: 12498QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3809760 | PA      | $2612562.42     | 0.02%             | 2036-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 390                                                    | FREDDIEMAC STRIP FHS 390 C11                            | CUSIP: 31325YXN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23622089 | PA      | $4778497.91     | 0.04%             | 2052-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL STREET MASTER TRUST 2025-1                                        | CAPITAL STREET MASTER TRUST CAPST 2025 1 A 144A         | CUSIP: 14051LAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13000000 | PA      | $13013135.20    | 0.10%             | 2029-08-16      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-4A LLC                                                          | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2025 4A A2 144A      | CUSIP: 76089MAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7800000 | PA      | $7839686.40     | 0.06%             | 2034-04-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE2                                        | MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A3          | CUSIP: 57644UAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8990147 | PA      | $3038396.51     | 0.02%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-1                                                    | CHASEFLEX TRUST CFLX 2007 1 2A1                         | CUSIP: 16165VAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4679667 | PA      | $1118531.17     | 0.01%             | 2037-02-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-83                                                 | FANNIE MAE FNR 2016 83 PI                               | CUSIP: 3136AUDP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      838458 | PA      | $73531.64       | 0.00%             | 2045-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA12                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA12 CB1       | CUSIP: 761118MY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3735667 | PA      | $1404192.27     | 0.01%             | 2035-12-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 FM          | CUSIP: 38382YW82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8794479 | PA      | $8820123.32     | 0.07%             | 2073-01-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-31                                            | COUNTRYWIDE HOME LOANS CWHL 2005 31 2A3                 | CUSIP: 126694UN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33948 | PA      | $30805.79       | 0.00%             | 2036-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                                | GUGGENHEIM CLO LTD GUGG 2022 2A A1R 144A                | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    14000000 | PA      | $14008400.00    | 0.11%             | 2035-01-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM4774 FN 07/48 FIXED VAR                     | CUSIP: 3140J9JU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12120425 | PA      | $11715666.12    | 0.09%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RN52 OTC EPUT FN 5.5 DEC25 98.9570312 PUT          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   212000000 | NC      | $200424.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9                 | COUNTRYWIDE HOME LOANS CWHL 2004 J9 2A5                 | CUSIP: 12669GFK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      138920 | PA      | $141243.06      | 0.00%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A B 144A                      | CUSIP: ACI2SNZB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     4995000 | PA      | $6733665.75     | 0.05%             | 2066-05-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-63                                                 | FANNIE MAE FNR 2012 63 KZ                               | CUSIP: 3136A6TM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         797 | PA      | $677.18         | 0.00%             | 2042-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 003595 G2 08/34 FIXED 5                    | CUSIP: 36202D7G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1063 | PA      | $1074.02        | 0.00%             | 2034-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U89MA9 PIMCO SWAPTION 2.75 CALL USD 2026020          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   136400000 | NC      | $186322.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017-RPL1                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 RPL1 A2 144A     | CUSIP: 22945AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6580000 | PA      | $6193371.70     | 0.05%             | 2057-07-25      | Variable      | 2.97%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-47                                                 | FANNIE MAE FNR 2020 47 SA                               | CUSIP: 3136BATP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16802039 | PA      | $2106028.02     | 0.02%             | 2050-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4143                                                   | FREDDIE MAC FHR 4143 HE                                 | CUSIP: 3137AX7K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1695946 | PA      | $1655414.27     | 0.01%             | 2027-12-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                        | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A8          | CUSIP: 94985JAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19289 | PA      | $17293.27       | 0.00%             | 2037-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                            | FREMONT HOME LOAN TRUST FHLT 2006 E 1A1                 | CUSIP: 35729NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15260465 | PA      | $7887392.63     | 0.06%             | 2037-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL8 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL8 A1 144A   | CUSIP: 69392EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      968584 | PA      | $971728.64      | 0.01%             | 2055-08-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-4A                               | EXETER AUTOMOBILE RECEIVABLES EART 2024 4A A3           | CUSIP: 30166UAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3141191 | PA      | $3146732.15     | 0.03%             | 2030-08-15      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY3                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY3 1A1       | CUSIP: 02148DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45737 | PA      | $36324.39       | 0.00%             | 2047-03-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL BE8336 G2 01/48 FIXED 3.5                  | CUSIP: 3617G3HM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      529244 | PA      | $489618.97      | 0.00%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-1CON                                        | BANKERS HEALTHCARE GROUP SECUR BHG 2025 1CON B 144A     | CUSIP: 08860AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6710512 | PA      | $6789826.43     | 0.05%             | 2036-04-17      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2009-50                                                 | FANNIE MAE FNR 2009 50 GN                               | CUSIP: 31396QLT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2701340 | PA      | $2690308.27     | 0.02%             | 2039-05-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-7CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 7CB 1A1       | CUSIP: 12668BXS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165160 | PA      | $67214.07       | 0.00%             | 2036-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q39181 FG 03/46 FIXED 4               | CUSIP: 3132QWFX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1192456 | PA      | $1155485.36     | 0.01%             | 2046-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2259                                                          | FREDDIE MAC FHR 2259 PO                                 | CUSIP: 3133TQAX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4915 | PA      | $4570.08        | 0.00%             | 2030-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5476                                                   | FREDDIE MAC FHR 5476 SA                                 | CUSIP: 3137HHFE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    75356426 | PA      | $5168049.20     | 0.04%             | 2054-11-25      | Floating      | 1.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   177045000 | PA      | $175898709.75   | 1.41%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3152                                                          | FREDDIE MAC FHR 3152 MO                                 | CUSIP: 31396R2P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9971 | PA      | $8847.85        | 0.00%             | 2036-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2643 FR 09/55 FIXED 6.5             | CUSIP: 31427P5D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6923106 | PA      | $7276829.43     | 0.06%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD1527 FN 01/55 FIXED 4.5                     | CUSIP: 3140B1VV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      815691 | PA      | $794957.60      | 0.01%             | 2055-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD0824 FN 01/55 FIXED 6                       | CUSIP: 3140B04J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      656430 | PA      | $683616.01      | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5597 G2 11/48 FIXED 5                    | CUSIP: 36179UGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6040 | PA      | $6121.38        | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                         | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A         | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8938875 | PA      | $9136107.84     | 0.07%             | 2041-02-20      | Floating      | 6.59%                 | 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        |      562679 | PA      | $505066.18      | 0.00%             | 2036-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 3A2        | CUSIP: 933634AF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3092217 | PA      | $2763337.59     | 0.02%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U87QA9 PIMCO SWAPTION 5.5 PUT USD 20260130           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   166800000 | NC      | $4787.16        | 0.00%             |  |  |  | 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        |     1349946 | PA      | $1324982.16     | 0.01%             | 2044-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9QYA7 PIMCO FPPSWAPTION 4.55875 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    59900000 | NC      | $3243147.73     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-13                                         | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 13 2A2          | CUSIP: 61756HAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      270581 | PA      | $265754.89      | 0.00%             | 2037-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 127 BS          | CUSIP: 38379MY32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      944779 | PA      | $52498.06       | 0.00%             | 2041-07-20      | Floating      | 0.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5010                                                   | FREDDIE MAC FHR 5010 JI                                 | CUSIP: 3137FVQG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16541164 | PA      | $2767242.50     | 0.02%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-4                                                         | FANNIE MAE FNR 2007 4 DF                                | CUSIP: 31396PMC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      134710 | PA      | $133672.22      | 0.00%             | 2037-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004923 G2 01/41 FIXED 4.5                  | CUSIP: 36202FPG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6678488 | PA      | $6721686.35     | 0.05%             | 2041-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-1                                                  | FANNIE MAE FNR 2022 1 WI                                | CUSIP: 3136BLLZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15937525 | PA      | $1279552.20     | 0.01%             | 2062-02-25      | Floating      | 1.95%                 | No            |                  2 | On Loan: No      |
| GNRT-3A                                                                   | GENERATE CLO LTD. GNRT 3A A2R 144A                      | CUSIP: 98625UBC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    31600000 | PA      | $31842457.95    | 0.25%             | 2036-10-20      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-24                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 24 A3         | CUSIP: 02151GAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5731096 | PA      | $792879.43      | 0.01%             | 2037-10-25      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-8                                             | COUNTRYWIDE HOME LOANS CWHL 2007 8 1A16                 | CUSIP: 12545AAR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      256175 | PA      | $106058.07      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 42314                                                  | FREDDIE MAC FHR 4314 CI                                 | CUSIP: 3137B9ES0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      355934 | PA      | $63089.75       | 0.00%             | 2044-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QJ7687 FR 11/54 FIXED 5.5             | CUSIP: 3133CYRG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4214428 | PA      | $4302690.38     | 0.03%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-2                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 2 2A1           | CUSIP: 61748HVH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       98002 | PA      | $93051.39       | 0.00%             | 2036-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2023-CRE8                                                     | AREIT CRE TRUST AREIT 2023 CRE8 A 144A                  | CUSIP: 04002BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | BM        |     8017231 | PA      | $8026221.21     | 0.06%             | 2041-08-17      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-141                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 141 TK          | CUSIP: 38379Q4L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      981488 | PA      | $673628.83      | 0.01%             | 2045-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5129                                                   | FREDDIE MAC FHR 5129 CI                                 | CUSIP: 3137H1NP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    52491138 | PA      | $7365152.32     | 0.06%             | 2050-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC4 TRUST                                                     | PRKCM TRUST PRKCM 2023 AFC4 A1 144A                     | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3663096 | PA      | $3725944.24     | 0.03%             | 2058-11-25      | Fixed         | 7.22%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5038                                                   | FREDDIE MAC FHR 5038 MI                                 | CUSIP: 3137FXNN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4355668 | PA      | $926207.08      | 0.01%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 2A4           | CUSIP: 12670FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      759978 | PA      | $737296.43      | 0.01%             | 2036-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-145                                                | FANNIE MAE FNR 2012 145 EI                              | CUSIP: 3136AAZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      267056 | PA      | $5517.10        | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA2234 FN 08/38 FIXED 4                       | CUSIP: 3140Q9PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      776202 | PA      | $769524.22      | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WN5207 FR 01/30 FIXED 4.95            | CUSIP: 3132XKYD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10710000 | PA      | $10879838.86    | 0.09%             | 2030-01-01      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-43                                                 | FANNIE MAE FNR 2014 43 BS                               | CUSIP: 3136AKKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      729859 | PA      | $45094.29       | 0.00%             | 2044-07-25      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2007-HE2                                    | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE2 A2        | CUSIP: 04544TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      294238 | PA      | $210094.05      | 0.00%             | 2037-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                       | SPACE COAST CREDIT UNION SCCU 2024 1A A3 144A           | CUSIP: 78436RAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10900000 | PA      | $10991909.89    | 0.09%             | 2029-06-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES6                                             | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES6 A1A 144A     | CUSIP: 748949AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19351299 | PA      | $19559526.39    | 0.16%             | 2055-06-25      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4                  | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A    | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1892968 | PA      | $1897574.42     | 0.02%             | 2036-11-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2025-RPL2                            | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL2 A1 144A   | CUSIP: 69392LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4269701 | PA      | $4140315.01     | 0.03%             | 2064-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4902                                                   | FREDDIE MAC FHR 4902 SA                                 | CUSIP: 3137FN3M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1957343 | PA      | $261896.23      | 0.00%             | 2049-08-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE3780 FN 07/47 FIXED 4.5                     | CUSIP: 3140FPFW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3533345 | PA      | $3494330.31     | 0.03%             | 2047-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-3                                          | TOWD POINT MORTGAGE TRUST TPMT 2024 3 A1A 144A          | CUSIP: 89183FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13480718 | PA      | $13641548.20    | 0.11%             | 2065-07-25      | Variable      | 5.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4660                                                          | FREDDIE MAC FHR 4660 TL                                 | CUSIP: 3137BVKJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5043975 | PA      | $4656894.17     | 0.04%             | 2033-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.71000 03/12/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-792933.69     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2023-5                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2023 5 C 144A       | CUSIP: 69546PAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      258727 | PA      | $259775.17      | 0.00%             | 2031-04-15      | Fixed         | 9.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2528                                                          | FREDDIE MAC FHR 3326 OG                                 | CUSIP: 31397JJW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34139 | PA      | $30419.50       | 0.00%             | 2037-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 390                                                    | FREDDIEMAC STRIP FHS 390 C29                            | CUSIP: 31325YX94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    68793009 | PA      | $9123807.69     | 0.07%             | 2052-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN FUJI EUR CLO III DAC 3A                                      | BLUEMOUNTAIN FUJI EUR CLO BLUME 3A A1R 144A             | CUSIP: ACI1XNPD1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2269814 | PA      | $2663943.80     | 0.02%             | 2031-01-15      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                      | MILL CITY MORTGAGE TRUST MCMLT 2018 4 A1B 144A          | CUSIP: 59980YAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7104907 | PA      | $6991992.71     | 0.06%             | 2066-04-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-EQ2                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 EQ2 A2         | CUSIP: 83611XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2197892 | PA      | $1604878.06     | 0.01%             | 2037-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-179                                                      | FREDDIEMAC STRIP FHS 179 PO                             | CUSIP: 31282XYN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         164 | PA      | $160.65         | 0.00%             | 2026-09-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAFBA4 PIMCO SWAPTION 3.135 CALL USD 202609          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    97400000 | NC      | $985902.28      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                   | REACH FINANCIAL LLC REACH 2025 1A A 144A                | CUSIP: 75525PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4010979 | PA      | $4023004.27     | 0.03%             | 2032-08-16      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H04                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H04 FK          | CUSIP: 38380VPG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      254792 | PA      | $254943.10      | 0.00%             | 2068-03-20      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                      | WSTN TRUST WSTN 2023 MAUI A 144A                        | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16100000 | PA      | $16426865.42    | 0.13%             | 2037-07-05      | Variable      | 6.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-18                                            | COUNTRYWIDE HOME LOANS CWHL 2007 18 2A1                 | CUSIP: 12544JAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4064382 | PA      | $1329522.49     | 0.01%             | 2037-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                                    | OZLM LTD OZLM 2019 24A A2AR 144A                        | CUSIP: 67113DBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9750000 | PA      | $9766891.68     | 0.08%             | 2032-07-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN-2002-W4                                              | FANNIEMAE WHOLE LOAN FNW 2002 W4 A6                     | CUSIP: 31392DUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12577 | PA      | $12535.99       | 0.00%             | 2042-05-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 E 144A     | CUSIP: 69546YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1848766 | PA      | $1808239.21     | 0.01%             | 2032-04-15      | Fixed         | 10.27%                | No            |                  3 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4        | CUSIP: 542514NE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2746567.20     | 0.02%             | 2035-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD9105 FN 08/40 FIXED 4.5                     | CUSIP: 31418XDK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      128686 | PA      | $129225.66      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL5                             | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL5 SA 144A   | CUSIP: 362951AH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32269 | PA      | $32050.29       | 0.00%             | 2064-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR14                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR14 A2        | CUSIP: 939336W25<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2181604 | PA      | $2097713.21     | 0.02%             | 2035-01-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                   | REACH FINANCIAL LLC REACH 2025 1A B 144A                | CUSIP: 75525PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3400000 | PA      | $3452850.28     | 0.03%             | 2032-08-16      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 03/19/25-1Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5843332.36     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BX TRUST 2021-BXMF                                                        | BX TRUST BX 2021 BXMF D 144A                            | CUSIP: 05609RAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3232104 | PA      | $3231702.08     | 0.03%             | 2026-10-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO X 2020-10A                                               | OCEAN TRAILS CLO OCTR 2020 10A BR2 144A                 | CUSIP: 67516CAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1400000 | PA      | $1402706.21     | 0.01%             | 2034-10-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 22                                              | FANNIEMAE STRIP FNS 422 C10                             | CUSIP: 31397VSM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7893330 | PA      | $1426314.60     | 0.01%             | 2045-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-146                                                | FANNIE MAE FNR 2012 146 HI                              | CUSIP: 3136ABFJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3548767 | PA      | $338624.39      | 0.00%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4134                                                   | FREDDIE MAC FHR 4134 SC                                 | CUSIP: 3137AW2L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      297157 | PA      | $162545.59      | 0.00%             | 2042-11-15      | Floating      | 0.04%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE6                                                      | GSAMP TRUST GSAMP 2006 HE6 A3                           | CUSIP: 36245AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9324450 | PA      | $8014575.09     | 0.06%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ACRA TRUST 2024-NQM1                                                      | ACRA TRUST 2024 NQM1 ACRA 2024 NQM1 A1 144A             | CUSIP: 00112EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3783494 | PA      | $3808028.09     | 0.03%             | 2064-10-25      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R3                                                         | CIM TRUST CIM 2023 R3 A1A 144A                          | CUSIP: 12570GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    12055896 | PA      | $11794074.94    | 0.09%             | 2063-01-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-74                                                 | FANNIE MAE FNR 2024 74 IL                               | CUSIP: 3136BS3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22128133 | PA      | $4759710.57     | 0.04%             | 2054-10-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-B                                          | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 2A1         | CUSIP: 05950TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       42061 | PA      | $37464.83       | 0.00%             | 2046-11-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-5                             | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 5 A3          | CUSIP: 802920AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4900000 | PA      | $4911252.36     | 0.04%             | 2028-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA D 144A      | CUSIP: 21050UAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      685000 | PA      | $695705.04      | 0.01%             | 2054-11-25      | Fixed         | 6.60%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                    | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 B 144A       | CUSIP: 78432WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8750000 | PA      | $8679821.50     | 0.07%             | 2038-05-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-30                                                 | FANNIE MAE FNR 2019 30 HF                               | CUSIP: 3136B5AS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1642653 | PA      | $1618024.75     | 0.01%             | 2059-07-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4562                                                   | FREDDIE MAC FHR 4562 CI                                 | CUSIP: 3137BNB60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1676328 | PA      | $74757.03       | 0.00%             | 2031-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL7 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL7 A1 144A   | CUSIP: 740934AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3521175 | PA      | $3534271.86     | 0.03%             | 2055-07-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4028                                                   | FREDDIE MAC FHR 4028 PS                                 | CUSIP: 3137APDM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       97076 | PA      | $8355.92        | 0.00%             | 2032-02-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 D 144A   | CUSIP: 46653DAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4000000 | PA      | $1801902.40     | 0.01%             | 2036-03-15      | Floating      | 7.37%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3162000 | PA      | $3127120.80     | 0.03%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5068                                                   | FREDDIE MAC FHR 5068 GI                                 | CUSIP: 3137F8PA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10112947 | PA      | $1131984.67     | 0.01%             | 2050-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                            | GSAA HOME EQUITY TRUST GSAA 2006 10 AF2                 | CUSIP: 362375AB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13911067 | PA      | $3108852.18     | 0.02%             | 2036-06-25      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A    | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $972066.60      | 0.01%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 408                                                    | FREDDIEMAC STRIP FHS 408 C46                            | CUSIP: 3142G6F35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    47553925 | PA      | $5895775.06     | 0.05%             | 2052-06-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2454                                                          | FREDDIE MAC FHR 2454 SQ                                 | CUSIP: 31392KCZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45618 | PA      | $3983.96        | 0.00%             | 2031-06-15      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H8 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2024 H8 A1 144A              | CUSIP: 22757GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4896452 | PA      | $4935547.80     | 0.04%             | 2069-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5229                                                   | FREDDIE MAC FHR 5229 KI                                 | CUSIP: 3137H7SX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2478640 | PA      | $398320.69      | 0.00%             | 2049-08-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q56464 FG 06/48 FIXED 4               | CUSIP: 3132Y0FE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1315535 | PA      | $1266699.41     | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-6                                             | GSAA HOME EQUITY TRUST GSAA 2007 6 A4                   | CUSIP: 36245RAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      258735 | PA      | $159518.54      | 0.00%             | 2047-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA9XA4 PIMCO SWAPTION 4.081 PUT USD 2025110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -201600000 | NC      | $-23042.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-89                                                 | FANNIE MAE FNR 2016 89 QI                               | CUSIP: 3136AUNR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6496069 | PA      | $1167625.48     | 0.01%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P4                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P4 A2         | CUSIP: 14076LAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2633879 | PA      | $2636645.55     | 0.02%             | 2028-02-10      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-14N                                                  | LEHMAN XS TRUST LXS 2006 14N 3A2                        | CUSIP: 52522CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67468 | PA      | $76288.35       | 0.00%             | 2036-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-18                                                 | FANNIE MAE FNR 2013 18 BS                               | CUSIP: 3136ACXB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8723047 | PA      | $7406340.02     | 0.06%             | 2043-03-25      | Floating      | 0.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-13                                                 | FANNIE MAE FNR 2017 13 SC                               | CUSIP: 3136AVFR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12368202 | PA      | $1494572.29     | 0.01%             | 2047-02-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB7523 FN 11/53 FIXED 6.5                     | CUSIP: 3140QTLD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1921657 | PA      | $1993608.82     | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-45                                                 | FANNIE MAE FNR 2014 45 SA                               | CUSIP: 3136AKUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      443853 | PA      | $31290.55       | 0.00%             | 2044-08-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-128                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 128 FA          | CUSIP: 38381AAH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      318353 | PA      | $313028.21      | 0.00%             | 2041-03-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA8099 G2 06/52 FIXED 3.5                  | CUSIP: 36179W7L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   125755163 | PA      | $115245035.64   | 0.92%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MORTGAGE LOAN TR 2006-1                                      | INDYMAC INDB MORTGAGE LOAN TRU INDB 2006 1 A1           | CUSIP: 45661JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10392187 | PA      | $3275947.80     | 0.03%             | 2036-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                   | FREDDIE MAC FHR 5426 AI                                 | CUSIP: 3137HCXV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25167104 | PA      | $1111754.29     | 0.01%             | 2050-03-15      | Floating      | 1.37%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 329                                             | FANNIEMAE STRIP FNS 329 1                               | CUSIP: 3136FAWE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         294 | PA      | $264.56         | 0.00%             | 2033-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5174                                                   | FREDDIE MAC FHR 5174 IN                                 | CUSIP: 3137H4MC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15680556 | PA      | $2098403.39     | 0.02%             | 2050-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-82                                                 | FANNIE MAE FNR 2021 82 IM                               | CUSIP: 3136BKFS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11399992 | PA      | $1335055.30     | 0.01%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-67                                                 | FANNIE MAE FNR 2012 67 MZ                               | CUSIP: 3136A7JB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      404486 | PA      | $380145.04      | 0.00%             | 2042-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-60                                                 | FANNIE MAE FNR 2012 60 EB                               | CUSIP: 3136A6MK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1121025 | PA      | $1063411.27     | 0.01%             | 2042-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SCULPTOR CLO XXVII LTD 27A                                                | SCULPTOR CLO LTD SCUL 27A A1R 144A                      | CUSIP: 81124UAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15700000 | PA      | $15707065.00    | 0.13%             | 2034-07-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4182                                                   | FREDDIE MAC FHR 4182 SH                                 | CUSIP: 3137B0ZW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2764019 | PA      | $2469611.41     | 0.02%             | 2033-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-66                                                 | FANNIE MAE FNR 2013 66 KI                               | CUSIP: 3136AFWB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       59579 | PA      | $6458.53        | 0.00%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA6599 G2 04/50 FIXED 3                    | CUSIP: 36179VKL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12143792 | PA      | $10871724.59    | 0.09%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL10 LLC                                                       | PRET 2025 NPL10 LLC 10/55 5.2498                        | CUSIP: 69392WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3800000 | PA      | $3798335.94     | 0.03%             | 2055-10-25      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2020-99                                                 | FANNIE MAE FNR 2020 99 IQ                               | CUSIP: 3136BDFY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3371985 | PA      | $592023.75      | 0.00%             | 2051-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES CORP TRUST 2021-NQM1                        | GS MORTGAGE BACKED SECURITIES GSMBS 2021 NQM1 B2 144A   | CUSIP: 36262EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2039000 | PA      | $1660689.04     | 0.01%             | 2061-07-25      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                                  | FANNIEMAE ACES FNA 2020 M33 X2                          | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9734186 | PA      | $567087.41      | 0.00%             | 2031-01-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4229                                                   | FREDDIE MAC FHR 4229 MS                                 | CUSIP: 3137B3GS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11961 | PA      | $7603.87        | 0.00%             | 2043-07-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB0734 FN 06/51 FIXED 3                       | CUSIP: 3140QKY85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    52229207 | PA      | $46658178.91    | 0.37%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0565 FR 01/55 FIXED 6               | CUSIP: 31427MTX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    86780322 | PA      | $90367528.89    | 0.72%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2021-4 LTD                                        | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2021 4A A1R 144A     | CUSIP: 05685AAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12000000 | PA      | $12020187.00    | 0.10%             | 2034-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                    | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 M1 144A         | CUSIP: 59981TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4666625.50     | 0.04%             | 2059-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC9228 FN 12/54 FIXED 5.5                     | CUSIP: 3140AXHE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4753069 | PA      | $4857128.66     | 0.04%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CRSNT TRUST 2021-MOON                                                     | CRSNT TRUST CRSNT 2021 MOON B 144A                      | CUSIP: 22877LAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    24753000 | PA      | $24454877.34    | 0.20%             | 2036-04-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR19                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 2A        | CUSIP: 933638AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3755229 | PA      | $3488426.47     | 0.03%             | 2047-01-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-1                                          | IMPAC SECURED ASSETS CORP. IMSA 2006 1 2A1              | CUSIP: 45254TTN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7159 | PA      | $6703.56        | 0.00%             | 2036-05-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QY2221 FR 04/55 FIXED 6               | CUSIP: 31426LPF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3754325 | PA      | $3894003.50     | 0.03%             | 2055-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR25                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR25 1A1       | CUSIP: 45661HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1836509 | PA      | $1579892.85     | 0.01%             | 2036-09-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004801 G2 09/40 FIXED 4.5                  | CUSIP: 36202FKN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5208662 | PA      | $5239162.61     | 0.04%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-BA                                | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 BA A2 144A     | CUSIP: 21050UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3937000 | PA      | $4029999.81     | 0.03%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4136                                                   | FREDDIE MAC FHR 4136 SJ                                 | CUSIP: 3137AWM77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1137522 | PA      | $180962.40      | 0.00%             | 2042-11-15      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797QF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      322000 | PA      | $321456.76      | 0.00%             | 2025-10-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2018-33A                                                  | VENTURE CDO LTD VENTR 2018 33A A1LR 144A                | CUSIP: 92330YAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1907538 | PA      | $1909634.40     | 0.02%             | 2031-07-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO 2022 XVIIIA LTD                                             | JAMESTOWN CLO LTD JTWN 2022 18A AR 144A                 | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    20100000 | PA      | $20122795.61    | 0.16%             | 2035-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-1                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 1 2A          | CUSIP: 41161PCY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55985 | PA      | $52093.35       | 0.00%             | 2034-04-19      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL B70790 FG 06/39 FIXED 4               | CUSIP: 3129882X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      358738 | PA      | $357430.89      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD4259 FR 11/53 FIXED 6.5             | CUSIP: 3132E0WU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9316087 | PA      | $9755984.05     | 0.08%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 02/13/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $986073.73      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-19                                                 | FANNIE MAE FNR 2013 19 SJ                               | CUSIP: 3136ACNE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1075012 | PA      | $127112.07      | 0.00%             | 2043-03-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2025-2A                               | EXETER AUTOMOBILE RECEIVABLES EART 2025 2A A2           | CUSIP: 30168JAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4573760 | PA      | $4576521.68     | 0.04%             | 2027-06-15      | Fixed         | 4.78%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A                       | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2021 2A A 144A       | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6562460 | PA      | $6498757.41     | 0.05%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-8 LLC                                                           | PRP ADVISORS, LLC PRPM 2024 8 A1 144A                   | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6646250 | PA      | $6646334.63     | 0.05%             | 2029-12-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                   | SCLP 2025 C C 144A SCLP 2025 C C 144A                   | CUSIP: 990AAWLY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2942000 | PA      | $2929511.45     | 0.02%             | 2034-09-09      | Fixed         | 4.93%                 | No            |                  3 | On Loan: No      |
| FANNIE MAE REMICS 2016-88                                                 | FANNIE MAE FNR 2016 88 AF                               | CUSIP: 3136AUTX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      818309 | PA      | $811791.56      | 0.01%             | 2046-12-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7SAA1 PIMCO SWAPTION 5.0 PUT USD 20251216           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   354400000 | NC      | $35.44          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 12A1        | CUSIP: 07401CAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1744521 | PA      | $1526167.30     | 0.01%             | 2037-05-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-BXMF                                                        | BX TRUST BX 2021 BXMF C 144A                            | CUSIP: 05609RAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1212039 | PA      | $1210958.41     | 0.01%             | 2026-10-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2012-R1                                      | MORGAN STANLEY REREMIC TRUST MSRR 2012 R1 1B 144A       | CUSIP: 61757SAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8322698 | PA      | $7824775.14     | 0.06%             | 2037-02-26      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| STORE MASTER FUNDING I-VII 2018-1A                                        | STORE MASTER FUNDING LLC STR 2018 1A A2 144A            | CUSIP: 86212VAE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4001847 | PA      | $3978029.58     | 0.03%             | 2048-10-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-3                                            | CSAB MORTGAGE BACKED TRUST CSAB 2006 3 A1A              | CUSIP: 12628KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57302 | PA      | $7527.35        | 0.00%             | 2036-11-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RK55 OTC EPUT FN 6.0 NOV25 99.796875 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   202300000 | NC      | $7141.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8541 FN 05/33 FIXED 4.74                    | CUSIP: 3140LKP31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2133870 | PA      | $2183333.45     | 0.02%             | 2033-05-01      | Fixed         | 4.74%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP-2006-ASP5                                             | ACE SECURITIES CORP. ACE 2006 ASP5 A2B                  | CUSIP: 004422AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000694 | PA      | $1661110.94     | 0.01%             | 2036-10-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5040                                                   | FREDDIE MAC FHR 5040 CI                                 | CUSIP: 3137F6N60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6655522 | PA      | $1447994.66     | 0.01%             | 2050-11-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD5619 FR 06/54 FIXED 7               | CUSIP: 3132DTG46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       53223 | PA      | $55709.41       | 0.00%             | 2054-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1062 FN 09/55 FIXED 6.5                     | CUSIP: 3140Y7FC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4781274 | PA      | $5063142.25     | 0.04%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5183                                                   | FREDDIE MAC FHR 5183 EI                                 | CUSIP: 3137H4ZD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9553196 | PA      | $1205275.13     | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| NEW YORK MORTGAGE TRUST 2024-CP1                                          | NEW YORK MORTGAGE TRUST NYMT 2024 CP1 A1 144A           | CUSIP: 67118PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1690925 | PA      | $1572190.66     | 0.01%             | 2068-02-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE1                                              | ACE SECURITIES CORP. ACE 2005 HE1 M5                    | CUSIP: 004421KY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7375029 | PA      | $7173955.00     | 0.06%             | 2035-02-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| OBX 2024-NQM9 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2024 NQM9 A1 144A          | CUSIP: 67119DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6779577 | PA      | $6866978.64     | 0.05%             | 2064-01-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE7612 FN 03/37 FIXED 4                       | CUSIP: 3140FTN64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1510280 | PA      | $1495499.67     | 0.01%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4864 FN 01/43 FIXED 4                       | CUSIP: 31418EMN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      353337 | PA      | $345583.75      | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FM7856 FN 06/51 FIXED VAR                     | CUSIP: 3140XBWS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4876639 | PA      | $4539397.61     | 0.04%             | 2051-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-95                                                        | FANNIE MAE FNR 2010 95 SB                               | CUSIP: 31398NEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      465173 | PA      | $41616.78       | 0.00%             | 2040-09-25      | Floating      | 2.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BO5023 FN 12/49 FIXED 3                       | CUSIP: 3140K0SM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      339792 | PA      | $303703.82      | 0.00%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ1667 FN 12/47 FIXED 4                       | CUSIP: 3140H2Z92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2259454 | PA      | $2181384.87     | 0.02%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS8                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS8 M6         | CUSIP: 76110W3W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11600000 | PA      | $11390635.08    | 0.09%             | 2035-08-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                   | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 B 144A     | CUSIP: 69544PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2478346 | PA      | $2482891.47     | 0.02%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 5092                                                   | FREDDIE MAC FHR 5092 ID                                 | CUSIP: 3137FYCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9562328 | PA      | $1430842.75     | 0.01%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                   | FREDDIE MAC FHR 5426 AF                                 | CUSIP: 3137HCXU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1017611 | PA      | $1020942.59     | 0.01%             | 2050-03-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DE4018 FN 07/55 FIXED 5.5                     | CUSIP: 3140BGPC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      284814 | PA      | $291000.57      | 0.00%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA2323 G2 10/44 FLOATING VAR               | CUSIP: 36179QSL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      490412 | PA      | $504477.66      | 0.00%             | 2044-10-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5010                                                   | FREDDIE MAC FHR 5010 GI                                 | CUSIP: 3137FVPT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3506046 | PA      | $507341.03      | 0.00%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                  | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      755615 | PA      | $746959.27      | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5426                                                   | FREDDIE MAC FHR 5426 CI                                 | CUSIP: 3137HCY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    41385509 | PA      | $1809519.31     | 0.01%             | 2050-12-15      | Floating      | 1.38%                 | No            |                  2 | On Loan: No      |
| REPERFORMING LOAN REMIC TRUST 2006-R1                                     | COUNTRYWIDE HOME LOANS CWHL 2006 R1 AF1 144A            | CUSIP: 12669UCN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81703 | PA      | $77529.13       | 0.00%             | 2036-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A Z 144A                      | CUSIP: ACI2SNZ44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     7775000 | PA      | $8533207.59     | 0.07%             | 2066-05-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA2368 FN 09/48 FIXED 4                       | CUSIP: 3140Q9T29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      251684 | PA      | $241876.34      | 0.00%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2437                                                          | FREDDIE MAC FHR 2437 BO                                 | CUSIP: 31339WW51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7935 | PA      | $7661.56        | 0.00%             | 2032-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 430                                             | FANNIEMAE STRIP FNS 430 C21                             | CUSIP: 31424QKU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9404839 | PA      | $1187829.01     | 0.01%             | 2052-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.48000 02/07/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $844799.53      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5121                                                   | FREDDIE MAC FHR 5121 QI                                 | CUSIP: 3137H13A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10382102 | PA      | $1875018.98     | 0.01%             | 2051-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                                  | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1       | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       59759 | PA      | $40045.79       | 0.00%             | 2035-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2005-B                                                 | CENTEX HOME EQUITY CXHE 2005 B M4                       | CUSIP: 152314NE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1652947 | PA      | $1651093.87     | 0.01%             | 2035-03-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-AR1                                       | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 AR1 2A1        | CUSIP: 456672AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9893504 | PA      | $5979875.12     | 0.05%             | 2037-06-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 60                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 60 SQ           | CUSIP: 38376UFG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1207685 | PA      | $93959.35       | 0.00%             | 2040-02-16      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-8                                           | JP MORGAN MORTGAGE TRUST JPMMT 2021 8 A12 144A          | CUSIP: 46592TBL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2514527 | PA      | $2478149.59     | 0.02%             | 2051-12-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS7188 FN 05/46 FIXED 4                       | CUSIP: 3138WG7A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      417845 | PA      | $402260.76      | 0.00%             | 2046-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2025-A                                             | OPORTUN FUNDING LLC OPTN 2025 A B 144A                  | CUSIP: 68377TAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1000000 | PA      | $1001307.40     | 0.01%             | 2033-02-08      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AV1737 G2 11/46 FIXED 3.5                  | CUSIP: 36195B4W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1082733 | PA      | $1001681.83     | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BI1270 GN 08/48 FIXED 4                       | CUSIP: 3617HAMT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      534246 | PA      | $520905.02      | 0.00%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9793 FN 01/55 FIXED 5.5                     | CUSIP: 3140QV3B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37819 | PA      | $38626.66       | 0.00%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5680 FN 04/45 FIXED 6                       | CUSIP: 31418FJ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1764677 | PA      | $1807055.05     | 0.01%             | 2045-04-01      | Fixed         | 6.00%                 | 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        |     6380718 | PA      | $6384964.35     | 0.05%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5152                                                   | FREDDIE MAC FHR 5152 IK                                 | CUSIP: 3137H3BT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20578691 | PA      | $3276942.47     | 0.03%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 02/22/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2226616.53     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS10 MII2      | CUSIP: 76112BED8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8708761 | PA      | $8301658.20     | 0.07%             | 2034-10-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-3A                                            | CHASE AUTO OWNER TRUST CHAOT 2024 3A A3 144A            | CUSIP: 16144LAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    13600000 | PA      | $13790072.24    | 0.11%             | 2029-07-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2D            | CUSIP: 61753EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3609665 | PA      | $1665391.28     | 0.01%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-15                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 15 MF4          | CUSIP: 126673UA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5174490 | PA      | $4461051.37     | 0.04%             | 2035-02-25      | Variable      | 5.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                   | FREDDIE MAC FHR 4990 BI                                 | CUSIP: 3137FURT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13626886 | PA      | $3058723.64     | 0.02%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4662 FN 07/42 FIXED 4                       | CUSIP: 31418EFC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      362787 | PA      | $354826.64      | 0.00%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H19                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H19 FA          | CUSIP: 38383KCS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    71184348 | PA      | $71570025.12    | 0.57%             | 2073-08-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MTGE 5123                                               | FREDDIE MAC FHR 5123 IN                                 | CUSIP: 3137H15W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25340456 | PA      | $4513753.49     | 0.04%             | 2049-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4803000 | PA      | $4772089.92     | 0.04%             | 2025-11-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004978 G2 03/41 FIXED 4.5                  | CUSIP: 36202FQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8476738 | PA      | $8531570.48     | 0.07%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -234510000 | PA      | $-214220694.31  | -1.71%            | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ1013 FR 03/54 FIXED 6.5             | CUSIP: 3142GRDT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8102388 | PA      | $8506738.54     | 0.07%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U5WIA6 PIMCO SWAPTION 5.5 PUT USD 20251103           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   183500000 | NC      | $18.35          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI0134 FR 02/54 FIXED 6.5             | CUSIP: 3133W6EF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      564374 | PA      | $587396.49      | 0.00%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H05 FJ          | CUSIP: 38380QF23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      932393 | PA      | $931906.05      | 0.01%             | 2071-03-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-35                                                 | FANNIE MAE FNR 2018 35 IO                               | CUSIP: 3136B1C77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7185955 | PA      | $1225053.02     | 0.01%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5217 FN 12/53 FIXED 6.5                     | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      555703 | PA      | $574952.34      | 0.00%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS8711 FN 07/33 FIXED 4.84                    | CUSIP: 3140LKVD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1500000 | PA      | $1545231.93     | 0.01%             | 2033-07-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5411                                                   | FREDDIE MAC FHR 5411 IB                                 | CUSIP: 3137HCRW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    52388626 | PA      | $8126581.28     | 0.06%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-63                                                 | FANNIE MAE FNR 2016 63 YI                               | CUSIP: 3136ATXU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      305674 | PA      | $24934.38       | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4052                                                   | FREDDIE MAC FHR 4052 LS                                 | CUSIP: 3137APQH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1863304 | PA      | $181111.27      | 0.00%             | 2042-05-15      | Floating      | 1.51%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5383                                                   | FREDDIE MAC FHR 5383 AF                                 | CUSIP: 3137HBGQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    12336873 | PA      | $12423056.21    | 0.10%             | 2048-08-15      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-17                                                 | FANNIE MAE FNR 2013 17 WI                               | CUSIP: 3136ACHY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      730215 | PA      | $64317.24       | 0.00%             | 2042-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4182                                                   | FREDDIE MAC FHR 4182 QI                                 | CUSIP: 3137B0ZL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      207234 | PA      | $9931.52        | 0.00%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H05                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H05 FL          | CUSIP: 38382YV75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1543429 | PA      | $1550395.39     | 0.01%             | 2073-01-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO LTD 2016-1A                                              | TCI SYMPHONY CLO TSYMP 2016 1A BR2 144A                 | CUSIP: 87229WAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    18530000 | PA      | $18571407.14    | 0.15%             | 2032-10-13      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5060                                                   | FREDDIE MAC FHR 5060 BI                                 | CUSIP: 3137F8YX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2569535 | PA      | $305319.31      | 0.00%             | 2051-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-J4                                            | COUNTRYWIDE HOME LOANS CWHL 2004 J4 1A1                 | CUSIP: 12669FUM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      159249 | PA      | $153895.87      | 0.00%             | 2034-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VALLEY FUNDING PLC 1A                                                     | VALLEY FUNDING PLC VFUND 1A F 144A                      | CUSIP: ACI2SNZQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      956000 | PA      | $1292764.00     | 0.01%             | 2066-05-16      | Floating      | 9.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB6688 FN 07/53 FIXED 4.5                     | CUSIP: 3140QSNE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13802801 | PA      | $13657440.43    | 0.11%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A C 144A        | CUSIP: 78448PAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3000000 | PA      | $2982621.00     | 0.02%             | 2048-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD5455 FR 04/54 FIXED 6.5             | CUSIP: 3132DTBY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      735854 | PA      | $772005.79      | 0.01%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5152                                                   | FREDDIE MAC FHR 5152 IM                                 | CUSIP: 3137H3BV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10448195 | PA      | $2763589.25     | 0.02%             | 2051-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-27                                                 | FANNIE MAE FNR 2021 27 CI                               | CUSIP: 3136BHAY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13611368 | PA      | $2554800.67     | 0.02%             | 2051-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM2                         | SECURITIZED ASSET BACKED RECEI SABR 2006 WM2 A2C        | CUSIP: 81376GAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    19810778 | PA      | $14076829.60    | 0.11%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP-435                                                       | FANNIEMAE STRIP FNS 435 C27                             | CUSIP: 31424UBC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    49775748 | PA      | $8171584.07     | 0.07%             | 2052-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-10                                                 | FANNIE MAE FNR 2024 10 AF                               | CUSIP: 3136BQ6A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1856746 | PA      | $1852602.88     | 0.01%             | 2050-12-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| VMC FINANCE 2021-FL4 LLC                                                  | VMC FINANCE LLC VMC 2021 FL4 B 144A                     | CUSIP: 91835RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6620755 | PA      | $6558464.86     | 0.05%             | 2036-06-16      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-79                                                 | FANNIE MAE FNR 2016 79 LS                               | CUSIP: 3136AUHB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1137095 | PA      | $135454.45      | 0.00%             | 2046-11-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-14CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 14CB A2       | CUSIP: 021468AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1353178 | PA      | $549098.32      | 0.00%             | 2036-06-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2645 FR 09/55 FIXED 6.5             | CUSIP: 31427P5F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11108018 | PA      | $11656757.98    | 0.09%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 367                                                    | FREDDIEMAC STRIP FHS 367 C22                            | CUSIP: 31325X2Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7841764 | PA      | $1338187.61     | 0.01%             | 2050-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                                   | FREDDIE MAC FHR 5564 FB                                 | CUSIP: 3137HMD23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3863996 | PA      | $3884117.27     | 0.03%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 FA          | CUSIP: 38383KGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13945727 | PA      | $14069267.00    | 0.11%             | 2073-08-20      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-4                                           | ANGEL OAK MORTGAGE TRUST AOMT 2024 4 A1 144A            | CUSIP: 034943AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6977354 | PA      | $7066741.29     | 0.06%             | 2069-01-25      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS3818 FN 01/53 FIXED VAR                     | CUSIP: 3140XKG46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20910268 | PA      | $21466861.10    | 0.17%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5273                                                   | FREDDIE MAC FHR 5273 FA                                 | CUSIP: 3137H9FR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    49591305 | PA      | $49594121.43    | 0.40%             | 2052-11-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE6                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE6 2M1       | CUSIP: 07388UAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10216753 | PA      | $9900400.41     | 0.08%             | 2036-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-115                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 115 SY          | CUSIP: 38381YVM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5474482 | PA      | $740267.07      | 0.01%             | 2049-09-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A1        | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36587 | PA      | $31752.50       | 0.00%             | 2046-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1B 144A      | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    17146836 | PA      | $17116242.95    | 0.14%             | 2053-07-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H0426A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   142816000 | PA      | $138519262.10   | 1.11%             | 2055-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ARES XLIV CLO LTD 2017-44A                                                | ARES CLO LTD ARES 2017 44A A1RR 144A                    | CUSIP: 04016NBH5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3800000 | PA      | $3804867.61     | 0.03%             | 2034-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-145                                                | FANNIE MAE FNR 2012 145 TZ                              | CUSIP: 3136AAZ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         303 | PA      | $213.01         | 0.00%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A B 144A          | CUSIP: 36270YAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6100000 | PA      | $6148831.72     | 0.05%             | 2029-04-16      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| JPMMT 2025-LTV2                                                           | JP MORGAN MORTGAGE TRUST JPMMT 2025 LTV2 PT 144A        | CUSIP: 46594BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   107655075 | PA      | $111893046.33   | 0.89%             | 2055-12-25      | Variable      | 7.39%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0404A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -3000000 | PA      | $-2950887.21    | -0.02%            | 2039-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-3A                                 | GLS AUTO RECEIVABLES TRUST GCAR 2024 3A C 144A          | CUSIP: 37989AAJ3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8200000 | PA      | $8304178.54     | 0.07%             | 2031-02-18      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5182 FR 09/42 FIXED 4               | CUSIP: 3133KYXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1850681 | PA      | $1810068.54     | 0.01%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR5                                  | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR5 2A1       | CUSIP: 32051GXQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8369 | PA      | $6459.97        | 0.00%             | 2035-11-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4203                                                   | FREDDIE MAC FHR 4203 US                                 | CUSIP: 3137B2EV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      632617 | PA      | $540069.77      | 0.00%             | 2033-05-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-41                                                        | FANNIE MAE FNR 2008 41 S                                | CUSIP: 31397LLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      535875 | PA      | $67117.32       | 0.00%             | 2036-11-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-10                                                        | FANNIE MAE FNR 2004 10 ZB                               | CUSIP: 31393XCU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49265 | PA      | $51184.81       | 0.00%             | 2034-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-22                                                 | FANNIE MAE FNR 2021 22 GI                               | CUSIP: 3136BFSJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5587221 | PA      | $868484.36      | 0.01%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.5815* 03/01/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-3599.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9403 FN 09/28 FIXED 4.88                    | CUSIP: 3140LLNV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23455249 | PA      | $24019395.12    | 0.19%             | 2028-09-01      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8UEA1 PIMCO SWAPTION 5.0 PUT USD 20260331           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    93000000 | NC      | $23715.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB8298 FN 04/54 FIXED 6                       | CUSIP: 3140QUGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5681856 | PA      | $5899219.14     | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4040                                                   | FREDDIE MAC FHR 4040 PO                                 | CUSIP: 3137AQ7C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15551 | PA      | $14295.92       | 0.00%             | 2037-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2004-25CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 25CB A1       | CUSIP: 12667FWJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2543094 | PA      | $2286276.79     | 0.02%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4544                                                   | FREDDIE MAC FHR 4544 IP                                 | CUSIP: 3137BMQG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3555271 | PA      | $620252.25      | 0.00%             | 2046-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                               | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    12133140 | PA      | $118164647.78   | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H08                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H08 DF          | CUSIP: 38382Y2S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   101354434 | PA      | $102353637.10   | 0.82%             | 2073-03-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 02/09/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2845926.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIEMAC STRIP-362                                                      | FREDDIEMAC STRIP FHS 362 C5                             | CUSIP: 31325W4Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4072007 | PA      | $618718.01      | 0.00%             | 2047-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                              | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR B 144A       | CUSIP: 12564NAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5000000 | PA      | $4882274.00     | 0.04%             | 2038-11-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DE1081 FN 06/55 FIXED 6.5                     | CUSIP: 3140BDFX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      899229 | PA      | $934067.30      | 0.01%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U8SDA7 PIMCO SWAPTION 5.0 PUT USD 20260320           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   112100000 | NC      | $23316.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ABX.HE.AAA.06-2 SP BOA                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-256516.78     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | 317U8K4A4 PIMCO SWAPTION 5.25 PUT USD 20260303          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   485000000 | NC      | $388.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL3                  | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL3 A 144A    | CUSIP: 03880KAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      789924 | PA      | $790984.07      | 0.01%             | 2034-08-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| CPS AUTO RECEIVABLES TRUST 2024-D                                         | CPS AUTO TRUST CPS 2024 D C 144A                        | CUSIP: 22411JAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8700000 | PA      | $8718278.70     | 0.07%             | 2031-01-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FHR-5018                                                                  | FREDDIE MAC FHR 5018 IO                                 | CUSIP: 3137FXBF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6632270 | PA      | $1159271.05     | 0.01%             | 2050-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q53876 FG 01/48 FIXED 4               | CUSIP: 3132XWJW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1410105 | PA      | $1364917.63     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| TRYSAIL CLO 2022-1A LTD                                                   | TRYSAIL CLO LTD TRYSL 2022 1A A 144A                    | CUSIP: 89856JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     5500000 | PA      | $5507706.60     | 0.04%             | 2033-10-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2003-HE1                                              | ACE SECURITIES CORP. ACE 2003 HE1 M1                    | CUSIP: 004421DA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1713468 | PA      | $1744133.74     | 0.01%             | 2033-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5184                                                   | FREDDIE MAC FHR 5184 LI                                 | CUSIP: 3137H4UU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15181547 | PA      | $2457183.55     | 0.02%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H07                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H07 FD          | CUSIP: 38380LCX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      256673 | PA      | $256038.67      | 0.00%             | 2068-05-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4146                                                   | FREDDIE MAC FHR 4146 US                                 | CUSIP: 3137AXGY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1144532 | PA      | $920155.86      | 0.01%             | 2042-12-15      | Floating      | 0.02%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4923                                                   | FREDDIE MAC FHR 4923 QS                                 | CUSIP: 3137FPZ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7728764 | PA      | $1050164.35     | 0.01%             | 2049-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3706                                                   | FREDDIE MAC FHR 3706 SK                                 | CUSIP: 3137A1AD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      838142 | PA      | $37294.11       | 0.00%             | 2040-08-15      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-93                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 93 PI           | CUSIP: 38378TUW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      272585 | PA      | $45126.99       | 0.00%             | 2043-03-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 1A           | CUSIP: 12667TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1590291 | PA      | $1507219.19     | 0.01%             | 2047-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                         | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A         | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8348809 | PA      | $8657863.48     | 0.07%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BG5674 GN 07/48 FIXED 4                       | CUSIP: 3617GQJT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2606221 | PA      | $2541143.38     | 0.02%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9790 FN 01/55 FIXED 5.5                     | CUSIP: 3140QV2Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11850074 | PA      | $12174682.14    | 0.10%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QF1988 FR 10/52 FIXED 5               | CUSIP: 3133BPF52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1923154 | PA      | $1928467.01     | 0.02%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004426 G2 04/39 FIXED 6                    | CUSIP: 36202E4K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4333 | PA      | $4555.71        | 0.00%             | 2039-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARV 144A    | CUSIP: 033296AG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    15526903 | PA      | $15368438.79    | 0.12%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-55                                                 | FANNIE MAE FNR 2012 55 PB                               | CUSIP: 3136A52M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      341610 | PA      | $304670.07      | 0.00%             | 2042-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4942                                                   | FREDDIE MAC FHR 4942 OQ                                 | CUSIP: 3137FQWA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      772858 | PA      | $648344.94      | 0.01%             | 2053-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BQ0651 GN 11/49 FIXED 3.5                     | CUSIP: 3617LJWL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      197368 | PA      | $180810.53      | 0.00%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE5598 FN 12/36 FIXED 4                       | CUSIP: 3140FRGG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      393392 | PA      | $385690.79      | 0.00%             | 2036-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R M1 144A    | CUSIP: 64831EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10000000 | PA      | $9220181.00     | 0.07%             | 2058-10-25      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-1                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 1 AF4          | CUSIP: 759950GW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3090981 | PA      | $1467556.51     | 0.01%             | 2036-05-25      | Variable      | 6.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2005-22                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2005 22 SA           | CUSIP: 38374KJ79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      760855 | PA      | $2198.64        | 0.00%             | 2035-03-16      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3175KL926 PIMCO FLOOR USD 0.02593 USD SOFR COM          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -880000000 | NC      | $-1956768.00    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-1                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 1 A2B           | CUSIP: 88522EAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2728873 | PA      | $1927016.92     | 0.02%             | 2037-03-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004222 G2 08/38 FIXED 6                    | CUSIP: 36202EVP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2899 | PA      | $3048.53        | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H13                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H13 FC          | CUSIP: 38383KB92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    29707244 | PA      | $29853611.50    | 0.24%             | 2074-08-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                            | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M2         | CUSIP: 17307GP77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      876074 | PA      | $864866.66      | 0.01%             | 2035-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-32                                                 | FANNIE MAE FNR 2018 32 SA                               | CUSIP: 3136B1C28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4676198 | PA      | $3826794.99     | 0.03%             | 2048-05-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2022-DNA3                                   | FREDDIE MAC   STACR STACR 2022 DNA3 M1B 144A            | CUSIP: 35564KUX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10900000 | PA      | $11219808.18    | 0.09%             | 2042-04-25      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-49                                                 | FANNIE MAE FNR 2025 49 FA                               | CUSIP: 3136BWAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    39143159 | PA      | $38909176.92    | 0.31%             | 2055-06-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2005-RP2                                        | GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP2 2A1 144A       | CUSIP: 36242DU35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2179529 | PA      | $2120347.04     | 0.02%             | 2035-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                  | LEHMAN XS TRUST LXS 2007 15N 4A1                        | CUSIP: 52524VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1598720 | PA      | $1445391.54     | 0.01%             | 2047-08-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3287 FN 11/47 FIXED 4                       | CUSIP: 3140H4UM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      395614 | PA      | $380361.82      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-IM1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 IM1 A2          | CUSIP: 126670SP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      161143 | PA      | $146820.20      | 0.00%             | 2036-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0305 G2 04/55 FIXED 4                    | CUSIP: 3618N5KT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      500000 | PA      | $470445.66      | 0.00%             | 2055-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    18779676 | PA      | $18161176.80    | 0.15%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX7955 FR 03/55 FIXED 6.5             | CUSIP: 31426DZV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2028555 | PA      | $2132981.84     | 0.02%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3032                                                   | FREDDIE MAC FHR 3032 S                                  | CUSIP: 31396AHT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      267238 | PA      | $25760.46       | 0.00%             | 2035-09-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA4697 FN 08/42 FIXED 4                       | CUSIP: 31418EGF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1492046 | PA      | $1459305.63     | 0.01%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5071                                                   | FREDDIE MAC FHR 5071 IO                                 | CUSIP: 3137F9R60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25775466 | PA      | $2953458.52     | 0.02%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 3A2          | CUSIP: 058927AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      496250 | PA      | $447956.50      | 0.00%             | 2036-02-20      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5040                                                   | FREDDIE MAC FHR 5040 ID                                 | CUSIP: 3137F6PA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    40771202 | PA      | $5036699.02     | 0.04%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH A 144A   | CUSIP: 46654EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1520000 | PA      | $1476258.96     | 0.01%             | 2038-06-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4338                                                   | FREDDIE MAC FHR 4338 SB                                 | CUSIP: 3137BB7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      317023 | PA      | $18393.08       | 0.00%             | 2041-10-15      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-22R                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 22R 1A8       | CUSIP: 02147LAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35524 | PA      | $19457.23       | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| START IRELAND 2019-1                                                      | START LTD. STARR 2019 1 A 144A                          | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |     2369499 | PA      | $2355360.22     | 0.02%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECUR CORP 2006-WF4                                      | STRUCTURED ASSET SECURITIES CO SASC 2005 WF4 M6         | CUSIP: 863576DL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      238511 | PA      | $238218.02      | 0.00%             | 2035-11-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-BC5                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC5 M4          | CUSIP: 126670NH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      969439 | PA      | $968872.65      | 0.01%             | 2036-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL 004336 G2 01/39 FIXED 5.5                  | CUSIP: 36202EY94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25952 | PA      | $25969.24       | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2024-6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2024 6 A11 144A          | CUSIP: 46657YAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    59702419 | PA      | $59626280.97    | 0.48%             | 2054-12-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-3 LLC                                                           | PRP ADVISORS, LLC PRPM 2025 3 A1 144A                   | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1956513 | PA      | $1962411.02     | 0.02%             | 2030-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-125                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 125 HF          | CUSIP: 38384VMP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      324462 | PA      | $324658.13      | 0.00%             | 2054-08-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| PRET 2024-NPL5 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL5 A1 144A   | CUSIP: 74143QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6410891 | PA      | $6419695.94     | 0.05%             | 2054-09-25      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4169                                                   | FREDDIE MAC FHR 4169 HB                                 | CUSIP: 3137B02S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2141750 | PA      | $2089872.56     | 0.02%             | 2028-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2018-A                                      | COLLEGE AVE STUDENT LOANS CASL 2018 A A1 144A           | CUSIP: 19423DAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      825269 | PA      | $826370.70      | 0.01%             | 2047-12-26      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FINANCE OF AMERICA HECM BUYOUT 2024-HB1                                   | FINANCE OF AMERICA HECM BUYOUT FAHB 2024 HB1 A1A 144A   | CUSIP: 31737DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11573831 | PA      | $11543308.78    | 0.09%             | 2034-10-01      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES XVI LTD / PREFERRED TERM SECURITIES XVI INC     | PREFERRED TERM SECS XVI SR SECURED 144A 03/35 VAR       | CUSIP: 74041EAB1<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     2716911 | PA      | $2513142.99     | 0.02%             | 2035-03-23      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2022-27                                                 | FANNIE MAE FNR 2022 27 WI                               | CUSIP: 3136BM5J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11229359 | PA      | $813380.63      | 0.01%             | 2052-06-25      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A B 144A       | CUSIP: 21050QAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1554000 | PA      | $1582784.43     | 0.01%             | 2054-11-25      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-53                                                        | FANNIE MAE FNR 2004 53 ED                               | CUSIP: 31394ABQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      223514 | PA      | $195072.08      | 0.00%             | 2034-07-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX1591 FR 12/54 FIXED 6.5             | CUSIP: 31425VXV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      523617 | PA      | $544251.71      | 0.00%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS6841 FN 01/54 FIXED VAR                     | CUSIP: 3140XNS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6773167 | PA      | $7032259.59     | 0.06%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS FNR-2016-26                                             | FANNIE MAE FNR 2016 26 AI                               | CUSIP: 3136AR4B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11124104 | PA      | $2747576.99     | 0.02%             | 2045-05-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 180 SA          | CUSIP: 38379TGM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      746218 | PA      | $41864.03       | 0.00%             | 2042-06-20      | Floating      | 0.81%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-17                                                 | FANNIE MAE FNR 2016 17 CS                               | CUSIP: 3136ARWA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      507887 | PA      | $25034.99       | 0.00%             | 2046-04-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5069                                                   | FREDDIE MAC FHR 5069 IL                                 | CUSIP: 3137F9C66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    26228844 | PA      | $4778187.17     | 0.04%             | 2051-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q19134 FG 06/43 FIXED 4               | CUSIP: 3132JASY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10313 | PA      | $10062.69       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q46015 FG 02/47 FIXED 3.5             | CUSIP: 3132WKVH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2300555 | PA      | $2156377.32     | 0.02%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING 2024-3 LLC                                     | ENTERPRISE FLEET FINANCING LLC EFF 2024 3 A3 144A       | CUSIP: 29375QAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3500000 | PA      | $3555200.25     | 0.03%             | 2028-08-21      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BE3702 FN 06/47 FIXED 4                       | CUSIP: 3140FPDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60523 | PA      | $58221.17       | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA5712 G2 01/49 FIXED 5                    | CUSIP: 36179UKZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6709 | PA      | $6814.66        | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q19236 FG 06/43 FIXED 4               | CUSIP: 3132JAV69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13804 | PA      | $13427.57       | 0.00%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DC3282 FN 09/54 FIXED 6.5                     | CUSIP: 3140AQUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      530630 | PA      | $550808.04      | 0.00%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9611 FN 10/31 FIXED 5.59                    | CUSIP: 3140LLVD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2214735 | PA      | $2353071.87     | 0.02%             | 2031-10-01      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY5183 FN 06/53 FIXED 5                       | CUSIP: 3140NMXM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1558842 | PA      | $1568669.91     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R B1 144A    | CUSIP: 64831EAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5500000 | PA      | $5137368.50     | 0.04%             | 2058-10-25      | Variable      | 3.01%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2022-P3                                    | CARVANA AUTO RECEIVABLES TRUST CRVNA 2022 P3 A4         | CUSIP: 14686MAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2000000 | PA      | $2015085.40     | 0.02%             | 2028-06-12      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| OBX 2024-HYB2 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2024 HYB2 A1 144A          | CUSIP: 67118RAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14054264 | PA      | $13849362.65    | 0.11%             | 2053-04-25      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QX4071 FR 01/55 FIXED 6               | CUSIP: 31425YQZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1402284 | PA      | $1458316.90     | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4575                                                   | FREDDIE MAC FHR 4575 BI                                 | CUSIP: 3137BNU69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      652276 | PA      | $117517.70      | 0.00%             | 2045-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5458                                                   | FREDDIE MAC FHR 5458 SJ                                 | CUSIP: 3137HFYB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36871666 | PA      | $3267316.31     | 0.03%             | 2054-10-25      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH0892 FN 04/37 FIXED 4                       | CUSIP: 3140GN7E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1195942 | PA      | $1186257.72     | 0.01%             | 2037-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Z1A3 PIMCO FPPSWAPTION 4.46 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    90600000 | NC      | $5111860.38     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4147                                                   | FREDDIE MAC FHR 4147 CS                                 | CUSIP: 3137AXDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4071997 | PA      | $641264.25      | 0.01%             | 2042-12-15      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3607                                                   | FREDDIE MAC FHR 3607 AO                                 | CUSIP: 31398LQK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46278 | PA      | $40057.42       | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RLY1 OTC EPUT FN 5.5 DEC25 98.96875 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   213000000 | NC      | $203436.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BD2691 FN 07/46 FIXED 4                       | CUSIP: 3140F97D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11171 | PA      | $10704.90       | 0.00%             | 2046-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H6 MORTGAGE TRUST                                              | CROSS MORTGAGE TRUST CROSS 2024 H6 A1 144A              | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3610837 | PA      | $3615114.64     | 0.03%             | 2069-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-30                                                        | FANNIE MAE FNR 2007 30 OE                               | CUSIP: 31396VJP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      310823 | PA      | $255488.44      | 0.00%             | 2037-04-25      | Fixed         | 0.00%                 | 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        |    24161090 | PA      | $7544169.73     | 0.06%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RAR8 OTC ECAL FN 4.0 OCT25 93.9375 CALL            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -11000000 | NC      | $-53879.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4792                                                   | FREDDIE MAC FHR 4792 LI                                 | CUSIP: 3137F5B81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      497075 | PA      | $86394.28       | 0.00%             | 2048-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-85                                                 | FANNIE MAE FNR 2016 85 SG                               | CUSIP: 3136AUBW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4098934 | PA      | $469743.56      | 0.00%             | 2046-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-17                                                 | FANNIE MAE FNR 2013 17 NS                               | CUSIP: 3136ACGZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1035101 | PA      | $122616.34      | 0.00%             | 2043-03-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-36                                                 | FANNIE MAE FNR 2019 36 S                                | CUSIP: 3136B4P28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2412764 | PA      | $270022.57      | 0.00%             | 2049-07-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-C TRUST                                   | SCLP 2025 C R 144A SCLP 2025 C R 144A                   | CUSIP: 990AAWMD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4045000 | PA      | $5187587.02     | 0.04%             | 2034-09-06      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                           | BEAR STEARNS ALT A TRUST BALTA 2006 4 11A1              | CUSIP: 073871AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3817604 | PA      | $3289337.99     | 0.03%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| ARROWMARK COLORADO HOLDINGS 2018-3A                                       | ELEVATION CLO LTD AWPT 2018 3A A2R2 144A                | CUSIP: 28623VAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2200000 | PA      | $2213824.93     | 0.02%             | 2035-01-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AS5477 FN 07/45 FIXED 4                       | CUSIP: 3138WFCP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1691197 | PA      | $1629873.38     | 0.01%             | 2045-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-4                             | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 4 B           | CUSIP: 802919AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     9500000 | PA      | $9581252.55     | 0.08%             | 2029-09-17      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5564                                                   | FREDDIE MAC FHR 5564 PF                                 | CUSIP: 3137HMDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3874847 | PA      | $3896077.89     | 0.03%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                   | FREDDIE MAC FHR 5051 GI                                 | CUSIP: 3137F7Y82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      209922 | PA      | $23343.29       | 0.00%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                              | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A          | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1500000 | PA      | $1418350.50     | 0.01%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A     | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1000000 | PA      | $957047.26      | 0.01%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5092                                                   | FREDDIE MAC FHR 5092 IW                                 | CUSIP: 3137FYFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5148142 | PA      | $181477.67      | 0.00%             | 2031-04-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9UPA8 PIMCO SWAPTION 4.115 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -277100000 | NC      | $-27.71         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-12                                                        | FANNIE MAE FNR 2020 12 NI                               | CUSIP: 3136B8D89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10195700 | PA      | $702250.27      | 0.01%             | 2060-03-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-9                                                  | FANNIE MAE FNR 2013 9 JI                                | CUSIP: 3136ABSD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1439651 | PA      | $159702.77      | 0.00%             | 2043-01-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CONSUMER LOAN FINANCE ISSUER TRUST 2024-A                                 | CONSUMER LOAN FINANCE ISSUER T CLFT 2024 A A2 144A      | CUSIP: 21050QAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6327000 | PA      | $6473087.27     | 0.05%             | 2054-11-25      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226B6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -115000000 | PA      | $-96922961.40   | -0.78%            | 2055-11-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BY4549 FN 09/53 FIXED 6.5                     | CUSIP: 3140NMBT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1493653 | PA      | $1567118.84     | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO2                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1         | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1291390 | PA      | $1103187.61     | 0.01%             | 2045-09-25      | Floating      | 5.51%                 | 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        |     1179317 | PA      | $835923.76      | 0.01%             | 2036-01-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-CES6                                       | TOWD POINT MORTGAGE TRUST TPMT 2024 CES6 A1 144A        | CUSIP: 891947AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8210438 | PA      | $8288912.86     | 0.07%             | 2064-11-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD0836 FN 01/55 FIXED 6                       | CUSIP: 3140B04W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1663322 | PA      | $1732082.87     | 0.01%             | 2055-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BN4368 FN 02/49 FIXED 5                       | CUSIP: 3140JL2A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1851816 | PA      | $1874670.49     | 0.01%             | 2049-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                      | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM C 144A    | CUSIP: 05549RAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7000000 | PA      | $6539341.90     | 0.05%             | 2037-07-15      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BN8902 FN 05/49 FIXED 3.5                     | CUSIP: 3140JR3L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      217833 | PA      | $201717.17      | 0.00%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-111                                                | FANNIE MAE FNR 2012 111 NI                              | CUSIP: 3136A9GA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      179190 | PA      | $4458.65        | 0.00%             | 2027-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H0226B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    67200000 | PA      | $57867846.62    | 0.46%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-23CB                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 23CB 1A10     | CUSIP: 02147RAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      846125 | PA      | $807684.14      | 0.01%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-FRE2                                      | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE2 M1       | CUSIP: 46626LHB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2156702 | PA      | $2139749.59     | 0.02%             | 2036-02-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL AY2502 G2 12/46 FIXED 3.5                  | CUSIP: 36196RX78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      838544 | PA      | $775799.45      | 0.01%             | 2046-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H14                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H14 FB          | CUSIP: 38383KG48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    27643569 | PA      | $27821725.99    | 0.22%             | 2074-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A1 144A      | CUSIP: 69547DAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6029211 | PA      | $6033205.90     | 0.05%             | 2026-06-15      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4324                                                   | FREDDIE MAC FHR 4324 IO                                 | CUSIP: 3137BAGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      193130 | PA      | $13110.88       | 0.00%             | 2036-08-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-99                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 99 WI           | CUSIP: 38380F3T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      254110 | PA      | $19918.35       | 0.00%             | 2046-11-20      | Floating      | 0.43%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL3                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M2        | CUSIP: 542514PS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7142021 | PA      | $6916365.67     | 0.06%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| RAAC 2004-SP1                                                             | RAAC SERIES RAAC 2004 SP1 AII                           | CUSIP: 7609855V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31002 | PA      | $30900.51       | 0.00%             | 2034-03-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4076                                                   | FREDDIE MAC FHR 4076 SD                                 | CUSIP: 3137ASG24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      814962 | PA      | $137968.79      | 0.00%             | 2042-07-15      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-38                                                 | FANNIE MAE FNR 2024 38 AF                               | CUSIP: 3136BR5A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2154739 | PA      | $2155723.04     | 0.02%             | 2047-12-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CC1050 FN 09/55 FIXED 6.5                     | CUSIP: 3140Y7EY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3149186 | PA      | $3323194.51     | 0.03%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-3                                         | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 3 4CB         | CUSIP: 93934FNT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5911270 | PA      | $4515272.46     | 0.04%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2021-NQ2R                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2021 NQ2R B2 144A    | CUSIP: 64831EAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2500000 | PA      | $2296450.50     | 0.02%             | 2058-10-25      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-6                                                  | FANNIE MAE FNR 2025 6 GF                                | CUSIP: 3136BUVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2563240 | PA      | $2577957.90     | 0.02%             | 2055-02-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-37                                                 | FANNIE MAE FNR 2017 37 IA                               | CUSIP: 3136AWGD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1110338 | PA      | $193991.25      | 0.00%             | 2046-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H0526A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22000000 | PA      | $22167167.66    | 0.18%             | 2054-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2024-CES2                                 | JP MORGAN MORTGAGE TRUST JPMMT 2024 CES2 PT 144A        | CUSIP: 46658QAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    87098719 | PA      | $94873804.15    | 0.76%             | 2055-02-25      | Fixed         | 9.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB8346 FN 04/54 FIXED 6                       | CUSIP: 3140QUHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1709015 | PA      | $1766266.36     | 0.01%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-64                                                 | FANNIE MAE FNR 2015 64 MI                               | CUSIP: 3136AP5U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      200361 | PA      | $14967.79       | 0.00%             | 2045-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U93SA5 PIMCO FPPSWAPTION 4.31 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    34800000 | NC      | $1858045.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2004-OPT1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 OPT1 M3        | CUSIP: 17307GJK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      856901 | PA      | $836373.63      | 0.01%             | 2034-10-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7VYA8 PIMCO SWAPTION 5.5 PUT USD 20251229           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -332400000 | NC      | $-33.24         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO 4 LTD 2023-2A                                              | 37 CAPITAL CLO LTD PUTNM 2023 2A AR 144A                | CUSIP: 883932AN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2101484.18     | 0.02%             | 2035-04-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4181                                                   | FREDDIE MAC FHR 4181 GI                                 | CUSIP: 3137B0KH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      807034 | PA      | $36417.00       | 0.00%             | 2032-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H12                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H12 FA          | CUSIP: 38382Y5K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3537297 | PA      | $3575799.23     | 0.03%             | 2073-05-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A                             | UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A     | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      579883 | PA      | $577795.16      | 0.00%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC3                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2A            | CUSIP: 61755AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3374590 | PA      | $2613145.66     | 0.02%             | 2037-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                       | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A          | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8650428 | PA      | $8802767.10     | 0.07%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3145                                                          | FREDDIE MAC FHR 3145 GO                                 | CUSIP: 31396NCS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33438 | PA      | $29514.53       | 0.00%             | 2036-04-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q54654 FG 03/48 FIXED 4               | CUSIP: 3132XXE47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      152105 | PA      | $146426.76      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-64                                                 | FANNIE MAE FNR 2016 64 IA                               | CUSIP: 3136ATUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2737708 | PA      | $312014.68      | 0.00%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0324A9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -1000000 | PA      | $-968959.04     | -0.01%            | 2040-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM7152 FN 02/28 VARIABLE                      | CUSIP: 3140JB5N2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24967906 | PA      | $25042445.91    | 0.20%             | 2028-02-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RB5351 FR 06/45 FIXED 6               | CUSIP: 3133KY5L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2558831 | PA      | $2617357.39     | 0.02%             | 2045-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4010                                                   | FREDDIE MAC FHR 4010 PI                                 | CUSIP: 3137AMUM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4683788 | PA      | $826303.18      | 0.01%             | 2042-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZT2269 FR 05/48 FIXED 4               | CUSIP: 3132AEQW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21442060 | PA      | $20641092.15    | 0.17%             | 2048-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-16                                                 | FANNIE MAE FNR 2017 16 TS                               | CUSIP: 3136AVZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      255682 | PA      | $176973.06      | 0.00%             | 2047-03-25      | Floating      | 0.53%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 323                                             | FANNIEMAE STRIP FNS 323 2                               | CUSIP: 3136FAMT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54445 | PA      | $4395.33        | 0.00%             | 2032-01-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DD7514 FN 05/55 FIXED 6                       | CUSIP: 3140B8K42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2284689 | PA      | $2374835.52     | 0.02%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF6 LLC                                                        | PRP ADVISORS, LLC PRPM 2024 RCF6 A1 144A                | CUSIP: 74390FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2075648 | PA      | $2037404.90     | 0.02%             | 2064-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL BG9709 GN 07/48 FIXED 4                       | CUSIP: 3617GUYE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      269183 | PA      | $262461.41      | 0.00%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL VII LTD 2019-1A                                       | FORTRESS CREDIT BSL LIMITED FCBSL 2019 1A A1R 144A      | CUSIP: 34956NAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5057355 | PA      | $5060785.84     | 0.04%             | 2032-07-23      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer