# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004425
**Filing Date:** 2025-11
**Character Count:** 818265
**Document Hash:** 6a6779f84b33b3815d2e1013f2869c23
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004425.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004425

**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:** 251528237

**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 GNMA and Government Securities Fund (Series ID: S000009684)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026541 | Institutional | PDMIX           |
| C000026542 | A             | PAGNX           |
| C000026544 | C             | PCGNX           |
| C000064137 | I-2           | PPGNX           |
| C000203300 | I-3           | PANNX           |

## 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 GNMA and Government Securities Fund

- **b. EDGAR series identifier (if any):** S000009684

- **c. LEI of Series:** PTIGJRRB7TMWG0E5XU42

**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:** $7375600914.77

**Total Liabilities:** $6039990632.41

**Net Assets:** $1335610282.36

**Cash Not Reported:** $23639799.79

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 129880.241200 | **1-Year:** 162126.124500 | **5-Year:** 605071.196500 | **10-Year:** 49857.972500 | **30-Year:** 6370.530300

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

- **3-Month:** 0.000000 | **1-Year:** 1599.659300 | **5-Year:** 1043.914300 | **10-Year:** 0.000000 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026542 | -0.54%               | 1.94%                | 0.63%                |
| Class ID C000026544 | -0.60%               | 1.88%                | 0.57%                |
| Class ID C000064137 | -0.51%               | 1.97%                | 0.66%                |
| Class ID C000203300 | -0.52%               | 1.97%                | 0.65%                |
| Class ID C000026541 | -0.51%               | 1.98%                | 0.66%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $8025615.61              | $-19111741.07                              |
| Month 2  | $3183124.72              | $18111380.52                               |
| Month 3  | $1160772.07              | $3689264.21                                |

**Designated Index Information**

- **Index Name:** Bloomberg GNMA Total Return Unhedged USD Index

- **Index Identifier:** LGNMTRUU

### 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 QB9007 FR 02/51 FIXED 1.5            | CUSIP: 3133AGAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40533 | PA      | $31355.06      | 0.00%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97VA2 PIMCO FPPSWAPTION 4.3075 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    7200000 | NC      | $432464.40     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL WN2384 FR 06/30 FIXED 4.4            | CUSIP: 3132XGUJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     616381 | PA      | $618898.35     | 0.05%             | 2030-06-01      | Fixed         | 4.40%                 | 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        |     152559 | PA      | $7586.42       | 0.00%             | 2052-07-25      | Floating      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CI6409 G2 01/52 FIXED 3                   | CUSIP: 3617XBDN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3047573 | PA      | $2728283.15    | 0.20%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 607534 GN 06/34 FIXED 6.5                    | CUSIP: 36201Y4T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40200 | PA      | $42457.03      | 0.00%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 630117 GN 06/34 FIXED 5                      | CUSIP: 36291KAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16463 | PA      | $16732.34      | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0141 FN 08/39 FIXED 4.5                    | CUSIP: 31417YEP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7889 | PA      | $7703.76       | 0.00%             | 2039-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0056 FR 01/48 FIXED 3.5            | CUSIP: 3132DMBZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5158877 | PA      | $4849049.92    | 0.36%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-4832                                                  | FREDDIE MAC FHR 4832 FW                                | CUSIP: 3137FHRY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1707293 | PA      | $1685825.54    | 0.13%             | 2038-04-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 559326 GN 11/31 FIXED 6                      | CUSIP: 36213NLF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        389 | PA      | $398.19        | 0.00%             | 2031-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 594845 GN 08/32 FIXED 7                      | CUSIP: 36201VZJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5852 | PA      | $5957.36       | 0.00%             | 2032-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618688 GN 10/36 FIXED 7                      | CUSIP: 36290VJ96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65738 | PA      | $69123.65      | 0.01%             | 2036-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL WN2175 FR 03/32 FIXED 3.05           | CUSIP: 3132XGMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1770805 | PA      | $1635342.65    | 0.12%             | 2032-03-01      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 602211 GN 03/33 FIXED 5.5                    | CUSIP: 36200JAL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        315 | PA      | $322.77        | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | 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        |     770322 | PA      | $715892.48     | 0.05%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002496 G2 10/27 FIXED 7                   | CUSIP: 36202CXZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        148 | PA      | $151.97        | 0.00%             | 2027-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005092 G2 06/41 FIXED 4                   | CUSIP: 36202FUR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        663 | PA      | $627.46        | 0.00%             | 2041-06-20      | Fixed         | 4.00%                 | 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        |     719032 | PA      | $751897.19     | 0.06%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5390 G2 08/48 FIXED 5                   | CUSIP: 36179T7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50079 | PA      | $49618.90      | 0.00%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI6475 G2 01/49 FIXED 4.5                 | CUSIP: 3617HGFQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36617 | PA      | $35723.54      | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004918 G2 01/41 FIXED 4                   | CUSIP: 36202FPB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1158 | PA      | $1096.46       | 0.00%             | 2041-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AD8811 G2 03/43 FIXED 3                   | CUSIP: 36180MYG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102055 | PA      | $93804.92      | 0.01%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785667 G2 10/51 FIXED 2.5                 | CUSIP: 3622ABFG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     568072 | PA      | $486129.57     | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q51769 FG 11/47 FIXED 3.5            | CUSIP: 3132XT6F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     285452 | PA      | $266109.26     | 0.02%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI0258 GN 06/44 FIXED 3.5                    | CUSIP: 36198KJB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     218121 | PA      | $204018.60     | 0.02%             | 2044-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31271 FG 01/36 FIXED 4.5            | CUSIP: 31281BMU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16276 | PA      | $16349.64      | 0.00%             | 2036-01-01      | 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        |     949818 | PA      | $935227.85     | 0.07%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31476 FG 12/37 FIXED 5              | CUSIP: 31281BT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4073 | PA      | $4176.90       | 0.00%             | 2037-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC0640 G2 08/47 FIXED 3.5                 | CUSIP: 3617B3V97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     316291 | PA      | $290668.39     | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 450609 GN 11/27 FIXED 7                      | CUSIP: 36208GR67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4239 | PA      | $4250.27       | 0.00%             | 2027-11-15      | Fixed         | 7.00%                 | 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        |     330799 | PA      | $325693.39     | 0.02%             | 2038-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN1152 FN 11/48 FIXED 4.5                    | CUSIP: 3140JHH63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     153306 | PA      | $151073.69     | 0.01%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 576441 GN 03/32 FIXED 6.5                    | CUSIP: 36200YLW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17400 | PA      | $18119.84      | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942283 FN 08/37 FIXED 6                      | CUSIP: 31413DJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6183 | PA      | $6519.40       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR3172 G2 12/62 FIXED 7                   | CUSIP: 3618AHQZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1217730 | PA      | $1250727.34    | 0.09%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4830 G2 11/47 FIXED 4.5                 | CUSIP: 36179TLK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     874175 | PA      | $854546.10     | 0.06%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782336 GN 05/38 FIXED 6                      | CUSIP: 36241KSZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19293 | PA      | $20095.62      | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8085 FR 07/53 FIXED 5.5            | CUSIP: 3133C86W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     409988 | PA      | $419280.05     | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 635320 GN 12/34 FIXED 5.5                    | CUSIP: 36291QYR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        185 | PA      | $187.67        | 0.00%             | 2034-12-15      | Fixed         | 5.50%                 | 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        |     230547 | PA      | $228190.78     | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H23 FA         | CUSIP: 38375B8G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74164 | PA      | $74845.90      | 0.01%             | 2063-09-20      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 551116 GN 08/31 FIXED 7                      | CUSIP: 36213DGZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1800 | PA      | $1872.94       | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 738895 GN 10/41 FIXED 4.5                    | CUSIP: 3620AS3C1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1134137 | PA      | $1123994.36    | 0.08%             | 2041-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS3768 FR 06/43 FIXED 3.5            | CUSIP: 3132A4FH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     670428 | PA      | $632750.66     | 0.05%             | 2043-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4274                                           | FREDDIE MAC FHR 4274 VS                                | CUSIP: 3137B5WB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     318169 | PA      | $299774.05     | 0.02%             | 2035-10-15      | Floating      | 0.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17813 FG 01/27 FIXED 3              | CUSIP: 3128PXVE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94941 | PA      | $94243.45      | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781328 GN 09/31 FIXED 7                      | CUSIP: 36225BPM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3623 | PA      | $3786.95       | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 635459 GN 03/36 FIXED 6                      | CUSIP: 36291Q5U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        506 | PA      | $522.34        | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0224A0<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1625000 | PA      | $-1528806.61   | -0.11%            | 2040-10-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 668388 FN 12/32 FIXED 5.5                    | CUSIP: 31391JRH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17520 | PA      | $17532.64      | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA5073 GN 07/42 FIXED 3.5                    | CUSIP: 36178CT60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13629 | PA      | $12748.00      | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CY2257 G2 12/61 FIXED 4                   | CUSIP: 3618G1QJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     175403 | PA      | $162959.77     | 0.01%             | 2061-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4182                                           | FREDDIE MAC FHR 4182 YA                                | CUSIP: 3137B12V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1833573 | PA      | $1787085.69    | 0.13%             | 2028-03-15      | Fixed         | 1.50%                 | 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        |    3610577 | PA      | $3567731.09    | 0.27%             | 2047-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 03/19/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6267533.53   | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/20/23-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $930379.56     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5157 FN 08/43 FIXED 4.5                    | CUSIP: 31418EWT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     348884 | PA      | $348122.91     | 0.03%             | 2043-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5711 G2 01/49 FIXED 4.5                 | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     659647 | PA      | $651700.89     | 0.05%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782928 GN 04/40 FIXED 5.5                    | CUSIP: 36241LHD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12856 | PA      | $13318.41      | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 10/25 0.00000                            | CUSIP: 912797NA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1610000 | PA      | $1604755.73    | 0.12%             | 2025-10-30      | None          | 0.00%                 | 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        |    5000000 | NC      | $0.05          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 564818 GN 09/31 FIXED 7.5                    | CUSIP: 36213UPB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12245 | PA      | $12653.79      | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | 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        |    1418191 | PA      | $1278350.75    | 0.10%             | 2053-05-27      | Variable      | 4.70%                 | 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        |  -12700000 | NC      | $-1.27         | -0.00%            |  |  |  | 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        |     379585 | PA      | $363190.67     | 0.03%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                  | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A         | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1740109 | PA      | $1593480.58    | 0.12%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 612430 GN 01/34 FIXED 5.5                    | CUSIP: 36202XLK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        762 | PA      | $788.87        | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AY2645 GN 02/47 FIXED 4.5                    | CUSIP: 36196R5E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129157 | PA      | $127278.93     | 0.01%             | 2047-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ4574 FN 11/26 FIXED 3                      | CUSIP: 3138AWCL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54499 | PA      | $54018.91      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | 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        |     217028 | PA      | $218298.45     | 0.02%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC1920 G2 09/47 FIXED 3.5                 | CUSIP: 3617B5DZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     699067 | PA      | $645859.66     | 0.05%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AK8796 G2 12/45 FIXED 3.75                | CUSIP: 36183SXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1641900 | PA      | $1533176.20    | 0.11%             | 2045-12-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004498 G2 07/39 FIXED 6                   | CUSIP: 36202E7K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1620 | PA      | $1698.66       | 0.00%             | 2039-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9441 FN 09/33 FIXED 5.07                   | CUSIP: 3140LLP39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     824208 | PA      | $856577.59     | 0.06%             | 2033-09-01      | Fixed         | 5.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4660 FN 07/42 FIXED 3                      | CUSIP: 31418EFA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1086760 | PA      | $1006093.84    | 0.08%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ3974 G2 09/62 FIXED 5                   | CUSIP: 3618A6MX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     232694 | PA      | $230752.95     | 0.02%             | 2062-09-20      | Fixed         | 5.00%                 | 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        |    2970853 | PA      | $2721742.03    | 0.20%             | 2046-09-29      | Fixed         | 4.25%                 | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 4627                                           | FREDDIE MAC FHR 4627 PH                                | CUSIP: 3137BSBG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3886337 | PA      | $3785390.34    | 0.28%             | 2044-05-15      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9M7A6 PIMCO FPPSWAPTION 4.44 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5600000 | NC      | $318396.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND               | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    1374985 | PA      | $13390977.80   | 1.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 737865 G2 07/33 FIXED 5.5                 | CUSIP: 3620ARW23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58461 | PA      | $58583.82      | 0.00%             | 2033-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0334 FN 01/59 FIXED 3.5                    | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3997939 | PA      | $3630617.95    | 0.27%             | 2059-01-01      | Fixed         | 3.50%                 | 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        |      25208 | PA      | $25370.61      | 0.00%             | 2043-05-20      | Fixed         | 4.50%                 | 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        |    1555072 | PA      | $1631402.22    | 0.12%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 595180 GN 11/32 FIXED 6                      | CUSIP: 36200AFV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        701 | PA      | $726.69        | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | 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        |    4984707 | PA      | $5156773.15    | 0.39%             | 2055-04-01      | Fixed         | 6.50%                 | 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        |    7400000 | PA      | $7170296.90    | 0.54%             | 2040-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U63001 FG 07/43 FIXED 3              | CUSIP: 3132JRKN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     725108 | PA      | $663053.17     | 0.05%             | 2043-07-01      | Fixed         | 3.00%                 | 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        |   18000000 | PA      | $16927405.56   | 1.27%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RB06 OTC ECAL FN 4.0 OCT25 94.1875 CALL           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -26000000 | NC      | $-87601.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO9393 G2 05/62 FIXED 4.5                 | CUSIP: 3617FMNJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60552 | PA      | $58230.66      | 0.00%             | 2062-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3369 G2 01/46 FIXED 4                   | CUSIP: 36179RW62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     392902 | PA      | $372035.09     | 0.03%             | 2046-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZK9295 FR 02/33 FIXED 3              | CUSIP: 3131XDKG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     244301 | PA      | $237053.20     | 0.02%             | 2033-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-126                                        | FANNIE MAE FNR 2010 126 LS                             | CUSIP: 31398SAS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2379240 | PA      | $158380.32     | 0.01%             | 2040-11-25      | Floating      | 0.53%                 | 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        |   28008775 | PA      | $28948486.86   | 2.17%             | 2053-11-01      | Fixed         | 6.00%                 | 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        |    1202574 | PA      | $1220496.85    | 0.09%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QB7854 FR 01/51 FIXED 2.5            | CUSIP: 3133AEWP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     583812 | PA      | $496699.69     | 0.04%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U91148 FG 03/43 FIXED 4              | CUSIP: 3132HBEV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     163812 | PA      | $159817.21     | 0.01%             | 2043-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CS4470 G2 08/53 FIXED 6                   | CUSIP: 3618AW6F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18203885 | PA      | $18983336.04   | 1.42%             | 2053-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 528149 GN 05/33 FIXED 5.5                    | CUSIP: 36212AWJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2381 | PA      | $2385.20       | 0.00%             | 2033-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618781 GN 01/37 FIXED 5.5                    | CUSIP: 36290VM68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5926 | PA      | $6192.44       | 0.00%             | 2037-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ0617 FN 08/30 FIXED 5.7                    | CUSIP: 3140NUVK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     929683 | PA      | $984024.19     | 0.07%             | 2030-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6209 G2 10/49 FIXED 3                   | CUSIP: 36179U3S9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     555695 | PA      | $490784.46     | 0.04%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004839 G2 12/38 FIXED 7                   | CUSIP: 36202FLU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10515 | PA      | $10786.26      | 0.00%             | 2038-12-20      | Fixed         | 7.00%                 | 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        |      36684 | PA      | $34997.68      | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 939477 FN 06/37 FIXED 5                      | CUSIP: 31413AFS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        861 | PA      | $877.06        | 0.00%             | 2037-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL6924 FN 01/45 FIXED VAR                    | CUSIP: 3138EPVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1039103 | PA      | $1016742.61    | 0.08%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 403384 G2 08/33 FIXED 6                   | CUSIP: 36205XCV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1084 | PA      | $1098.73       | 0.00%             | 2033-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 848812 FH 10/39 FLOATING VAR         | CUSIP: 31300LYH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     560940 | PA      | $581604.46     | 0.04%             | 2039-10-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z2A2 PIMCO FPPSWAPTION 4.46 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    9600000 | NC      | $559613.76     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK7606 FN 09/48 FIXED 4.5                    | CUSIP: 3140HMNY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2609182 | PA      | $2582282.41    | 0.19%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 771611 GN 10/41 FIXED 4.5                    | CUSIP: 36176PAL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2523 | PA      | $2478.24       | 0.00%             | 2041-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 799211 GN 04/42 FIXED 3.5                    | CUSIP: 36177UGV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21254 | PA      | $19953.07      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6029 G2 07/49 FIXED 3                   | CUSIP: 36179UVW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83300 | PA      | $73878.91      | 0.01%             | 2049-07-20      | Fixed         | 3.00%                 | 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        |   60700000 | PA      | $62344929.94   | 4.67%             | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603589 GN 04/33 FIXED 6                      | CUSIP: 36200KRJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16607 | PA      | $17375.13      | 0.00%             | 2033-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AA6149 G2 03/43 FIXED 3                   | CUSIP: 36178DZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161605 | PA      | $148940.15     | 0.01%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 742275 G2 08/39 FIXED 5.5                 | CUSIP: 3620AWT83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28698 | PA      | $29458.26      | 0.00%             | 2039-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004534 G2 09/39 FIXED 5.5                 | CUSIP: 36202FBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1482 | PA      | $1485.47       | 0.00%             | 2039-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 565165 GN 10/33 FIXED 6                      | CUSIP: 36213UZ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        249 | PA      | $253.20        | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DRSLF-2017-54A                                                    | DRYDEN SENIOR LOAN FUND DRSLF 2017 54A AR 144A         | CUSIP: 26244RAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1360754 | PA      | $1361435.80    | 0.10%             | 2029-10-19      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781719 GN 02/34 FIXED 6                      | CUSIP: 36225B4C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $487.97        | 0.00%             | 2034-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9140 G2 01/48 FIXED 3.5                 | CUSIP: 3617BREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     853413 | PA      | $789516.84     | 0.06%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995650 FN 10/38 FIXED VAR                    | CUSIP: 31416CBT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36100 | PA      | $36286.60      | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0302 G2 04/55 FIXED 2.5                 | CUSIP: 3618N5KQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3857019 | PA      | $3325666.10    | 0.25%             | 2055-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002699 G2 01/29 FIXED 6                   | CUSIP: 36202C7L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        259 | PA      | $266.23        | 0.00%             | 2029-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-163                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 163 GZ         | CUSIP: 38381AA55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1380023 | PA      | $1300747.75    | 0.10%             | 2048-11-20      | Fixed         | 4.00%                 | 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      | $-1055994.28   | -0.08%            |  |  |  | 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        |    1000000 | PA      | $1014023.32    | 0.08%             | 2033-08-01      | Fixed         | 4.58%                 | 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        |     479685 | PA      | $422652.82     | 0.03%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7571 FR 06/54 FIXED 6.5            | CUSIP: 3132DVMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2408963 | PA      | $2538666.28    | 0.19%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003347 G2 02/33 FIXED 6                   | CUSIP: 36202DWG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        289 | PA      | $299.27        | 0.00%             | 2033-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-29                                         | FANNIE MAE FNR 2013 29 CD                              | CUSIP: 3136ADLJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3686537 | PA      | $3593396.87    | 0.27%             | 2028-04-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN1108 G2 06/62 FIXED 4.5                 | CUSIP: 3617YYGR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     862393 | PA      | $829331.82     | 0.06%             | 2062-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781929 GN 06/35 FIXED 6                      | CUSIP: 36241KEA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2637 | PA      | $2745.00       | 0.00%             | 2035-06-15      | Fixed         | 6.00%                 | 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      | $-411157.29    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO9471 G2 06/62 FIXED 4.5                 | CUSIP: 3617FMQY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51790 | PA      | $49805.00      | 0.00%             | 2062-06-20      | Fixed         | 4.50%                 | 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        |     156321 | PA      | $154330.72     | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP9288 G2 09/62 FIXED 5                   | CUSIP: 3618A0J96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1185575 | PA      | $1175682.74    | 0.09%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3243 FN 02/50 FIXED VAR                    | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3444018 | PA      | $3185226.82    | 0.24%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 663852 GN 02/37 FIXED 5.5                    | CUSIP: 36294YQD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2858 | PA      | $2960.18       | 0.00%             | 2037-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781995 GN 10/35 FIXED 7.5                    | CUSIP: 36241KGC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        573 | PA      | $606.64        | 0.00%             | 2035-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 769429 G2 03/36 FIXED 5.5                 | CUSIP: 36176LSS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1718 | PA      | $1755.68       | 0.00%             | 2036-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1424 G2 11/50 FIXED 2.5                 | CUSIP: 3617U8SM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500896 | PA      | $2153359.75    | 0.16%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003931 G2 12/36 FIXED 6                   | CUSIP: 36202ELL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36739 | PA      | $38570.70      | 0.00%             | 2036-12-20      | Fixed         | 6.00%                 | 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        |    3034313 | PA      | $2915063.25    | 0.22%             | 2068-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ9833 G2 10/47 FIXED 3.5                 | CUSIP: 3617HX4S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     188159 | PA      | $174070.91     | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 616352 GN 04/34 FIXED 6                      | CUSIP: 36290SWM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80609 | PA      | $82559.54      | 0.01%             | 2034-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4771 G2 10/47 FIXED 4.5                 | CUSIP: 36179TJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     117124 | PA      | $114494.08     | 0.01%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM9938 G2 04/49 FIXED 4.5                 | CUSIP: 3617K2BF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     216519 | PA      | $210396.20     | 0.02%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783292 GN 12/40 FIXED 6                      | CUSIP: 36241LUR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42683 | PA      | $44971.22      | 0.00%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-637800.55    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U98VA0 PIMCO FPPSWAPTION 4.285 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $236463.24     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724247 GN 08/39 FIXED 5                      | CUSIP: 3620AATC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8551 | PA      | $8698.67       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W1                                      | FANNIEMAE WHOLE LOAN FNW 2002 W1 3A                    | CUSIP: 31392CMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     241699 | PA      | $233413.99     | 0.02%             | 2042-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 683960 GN 02/38 FIXED 6                      | CUSIP: 36295XZZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        272 | PA      | $280.30        | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG2414 G2 04/48 FIXED 4                   | CUSIP: 3617GLVF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28877 | PA      | $27321.84      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | 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        |      15918 | PA      | $15323.65      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | 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        |  -20500000 | PA      | $-18845988.05  | -1.41%            | 2040-10-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AT7573 G2 06/46 FIXED 3.5                 | CUSIP: 36194GMW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     605246 | PA      | $552461.59     | 0.04%             | 2046-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECURITIES X LTD / PREFERRED TERM SECURITIES X INC | PREFERRED TERM SECS X SR SECURED 144A 07/33 VAR        | CUSIP: 74040YAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      45743 | PA      | $45742.82      | 0.00%             | 2033-07-03      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676015 GN 08/38 FIXED 6.5                    | CUSIP: 36295PAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4117 | PA      | $4303.62       | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE2334 G2 11/47 FIXED 4.5                 | CUSIP: 3617BVSX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     424935 | PA      | $415259.04     | 0.03%             | 2047-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5212 FR 02/43 FIXED 4.5            | CUSIP: 3133KYYH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     624378 | PA      | $623915.66     | 0.05%             | 2043-02-01      | Fixed         | 4.50%                 | 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      | $211332.47     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 667682 GN 10/38 FIXED 6                      | CUSIP: 36295DXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7314 | PA      | $7630.45       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2021-104                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 104 IH         | CUSIP: 38382UJG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4436880 | PA      | $753770.89     | 0.06%             | 2051-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3898 FN 11/26 FIXED 3                      | CUSIP: 31417AKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128915 | PA      | $127876.00     | 0.01%             | 2026-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA I TBA 30 YR 5 SINGLE FAMILY MORTGAGE              | CUSIP: 01N0506A0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $6970537.42    | 0.52%             | 2054-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC1290 G2 08/47 FIXED 3.5                 | CUSIP: 3617B4NF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     863910 | PA      | $799231.97     | 0.06%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 786973 G2 09/53 FIXED 6                   | CUSIP: 3622ACT67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89939 | PA      | $92613.13      | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 490925 GN 11/28 FIXED 6                      | CUSIP: 36210FLE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        241 | PA      | $243.73        | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 787993 G2 06/55 FIXED 7                   | CUSIP: 3622ADXW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3143554 | PA      | $3186991.58    | 0.24%             | 2055-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB0228 G2 06/47 FIXED 3.5                 | CUSIP: 3617AQHD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     475538 | PA      | $439934.48     | 0.03%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| KKR CLO 36A LTD                                                   | KKR FINANCIAL CLO LTD KKR 36A AR 144A                  | CUSIP: 48255AAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3400000 | PA      | $3400064.80    | 0.25%             | 2034-10-15      | Floating      | 5.32%                 | 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        |   17500000 | NC      | $16544.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 516767 GN 10/29 FIXED 7.5                    | CUSIP: 36211MCC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19408 | PA      | $19652.37      | 0.00%             | 2029-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H17 HF         | CUSIP: 38380QMV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8065314 | PA      | $8216416.47    | 0.62%             | 2070-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB6744 GN 02/43 FIXED 3.5                    | CUSIP: 36178TP59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57179 | PA      | $53483.76      | 0.00%             | 2043-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W6                                      | FANNIEMAE WHOLE LOAN FNW 2002 W6 3A                    | CUSIP: 31392DG63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     865039 | PA      | $836051.14     | 0.06%             | 2042-01-25      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1411 G2 11/50 FIXED 3.5                 | CUSIP: 3617U8R82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     639004 | PA      | $589593.86     | 0.04%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-A                                         | CENTEX HOME EQUITY CXHE 2002 A AV                      | CUSIP: 152314EQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4378 | PA      | $4350.85       | 0.00%             | 2032-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD8130 G2 11/47 FIXED 3.5                 | CUSIP: 3617BQA73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     401156 | PA      | $371113.02     | 0.03%             | 2047-11-20      | Fixed         | 3.50%                 | 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        |     707599 | PA      | $623472.09     | 0.05%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 910155 FN 03/37 FIXED 6                      | CUSIP: 31411KE41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7551 | PA      | $7936.54       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4058 FN 06/53 FIXED 5                      | CUSIP: 3140NLQL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134458 | PA      | $135345.48     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257438 FN 10/48 FIXED 6                      | CUSIP: 31371N4X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        701 | PA      | $711.31        | 0.00%             | 2048-10-01      | Fixed         | 6.00%                 | 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        |    1013505 | PA      | $890113.51     | 0.07%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 531197 GN 06/30 FIXED 8.5                    | CUSIP: 36212EDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3972 | PA      | $3985.50       | 0.00%             | 2030-06-15      | Fixed         | 8.50%                 | 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        |      54044 | PA      | $51821.77      | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-7                                                 | FANNIE MAE FNR 2003 7 A2                               | CUSIP: 31392H2L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     449580 | PA      | $449580.05     | 0.03%             | 2042-05-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2010-14                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 14 CO          | CUSIP: 38376WBS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41015 | PA      | $34663.47      | 0.00%             | 2035-08-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4015 FN 06/53 FIXED 5                      | CUSIP: 3140NLN96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77130 | PA      | $77496.18      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | 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        |    9400000 | PA      | $9498286.31    | 0.71%             | 2039-10-15      | Fixed         | 5.00%                 | 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        |     396545 | PA      | $381803.38     | 0.03%             | 2048-01-01      | Fixed         | 4.00%                 | 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        |  275000000 | PA      | $227407466.00  | 17.03%            | 2055-11-20      | Fixed         | 2.00%                 | 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        |    1413560 | PA      | $1430321.15    | 0.11%             | 2073-05-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                                         | FANNIE MAE FNR 2019 62 SN                              | CUSIP: 3136B62S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     280266 | PA      | $38290.70      | 0.00%             | 2049-11-25      | Floating      | 1.53%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2004-35                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 35 BO          | CUSIP: 38374GPK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     210471 | PA      | $181855.19     | 0.01%             | 2034-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 433706 GN 04/28 FIXED 7                      | CUSIP: 36207JYB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4775 | PA      | $4791.70       | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | 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        |      95176 | PA      | $4523.94       | 0.00%             | 2045-12-20      | Floating      | 0.32%                 | 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        |      14469 | PA      | $13865.24      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4070 FN 06/53 FIXED 5                      | CUSIP: 3140NLQY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     205677 | PA      | $207563.97     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5434 FN 01/48 FLOATING VAR                 | CUSIP: 3140JABC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3351406 | PA      | $3301313.93    | 0.25%             | 2048-01-01      | Floating      | 3.15%                 | 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        |      98840 | PA      | $4080.15       | 0.00%             | 2045-08-20      | Floating      | 0.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG3358 FR 05/53 FIXED 5              | CUSIP: 3133C3WT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116306 | PA      | $116636.80     | 0.01%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 605695 GN 09/34 FIXED 6.5                    | CUSIP: 36200N3C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2553 | PA      | $2678.05       | 0.00%             | 2034-09-15      | Fixed         | 6.50%                 | 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        |     158573 | PA      | $166372.06     | 0.01%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BT1377 G2 02/50 FIXED 3                   | CUSIP: 3617MPQ68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1532163 | PA      | $1347507.88    | 0.10%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA1093 G2 06/47 FIXED 4.5                 | CUSIP: 3617ADGA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     292608 | PA      | $286285.17     | 0.02%             | 2047-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004245 G2 09/38 FIXED 6                   | CUSIP: 36202EWE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9401 | PA      | $10047.88      | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | 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        |  -21500000 | NC      | $-2401.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 411378 GN 02/26 FIXED 6.5                    | CUSIP: 36206G6P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        288 | PA      | $289.11        | 0.00%             | 2026-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 542852 GN 06/31 FIXED 6.5                    | CUSIP: 36212TBV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        895 | PA      | $924.94        | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 774325 GN 06/42 FIXED 3.5                    | CUSIP: 36176SA26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8863 | PA      | $8290.58       | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 705752 GN 01/39 FIXED 6                      | CUSIP: 36297ABV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        316 | PA      | $328.53        | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS3885 FN 11/51 FIXED VAR                    | CUSIP: 3140XKJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1726919 | PA      | $1519039.65    | 0.11%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 436019 GN 12/27 FIXED 7                      | CUSIP: 36207MK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2627 | PA      | $2641.73       | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9989 FN 07/28 FIXED 6.01                   | CUSIP: 3140LMC31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1139178 | PA      | $1190430.65    | 0.09%             | 2028-07-01      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003025 G2 01/31 FIXED 6.5                 | CUSIP: 36202DLE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        794 | PA      | $815.79        | 0.00%             | 2031-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 506886 GN 05/29 FIXED 7                      | CUSIP: 36211ACX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         88 | PA      | $88.63         | 0.00%             | 2029-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8501 FR 01/55 FIXED 7              | CUSIP: 3132DWNS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $419182.13     | 0.03%             | 2055-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003261 G2 07/32 FIXED 6.5                 | CUSIP: 36202DTS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4810 | PA      | $5023.65       | 0.00%             | 2032-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                               | MFRA TRUST MFRA 2020 NQM2 A1 144A                      | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1134202 | PA      | $1110792.95    | 0.08%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7183 FN 01/36 FLOATING VAR                 | CUSIP: 3138EP6V1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     156513 | PA      | $162223.04     | 0.01%             | 2036-01-01      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP7525 G2 09/62 FIXED 5                   | CUSIP: 3617FXLE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80534 | PA      | $79862.13      | 0.01%             | 2062-09-20      | Fixed         | 5.00%                 | 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        |    3611485 | PA      | $3736077.87    | 0.28%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/20/23-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $348546.36     | 0.03%             |  |  |  | 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        |     412247 | PA      | $421167.57     | 0.03%             | 2045-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97AA5 PIMCO FPPSWAPTION 4.265 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3600000 | NC      | $187128.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9048 G2 11/47 FIXED 3.5                 | CUSIP: 3617BRBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     532048 | PA      | $492207.51     | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 646486 GN 04/36 FIXED 5.5                    | CUSIP: 36292EF39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        866 | PA      | $886.82        | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL T62071 FG 08/46 FIXED 3              | CUSIP: 3128S3JQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     256032 | PA      | $226906.45     | 0.02%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004417 G2 04/39 FIXED 5                   | CUSIP: 36202E4A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        640 | PA      | $641.75        | 0.00%             | 2039-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 736771 G2 11/42 FIXED 3.15                | CUSIP: 3620AQQY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     247578 | PA      | $222713.37     | 0.02%             | 2042-11-20      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BK7861 G2 02/49 FIXED 4.5                 | CUSIP: 3617J8WW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1616783 | PA      | $1571049.57    | 0.12%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004691 G2 05/40 FIXED 4.5                 | CUSIP: 36202FF84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1954 | PA      | $1937.31       | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8N8A4 PIMCO FPPSWAPTION 4.073 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4200000 | NC      | $278386.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SECURITIES T-48                     | FHLMC STRUCTURED PASS THROUGH FSPC T 48 2A             | CUSIP: 31392UZ80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     428590 | PA      | $409487.21     | 0.03%             | 2033-07-25      | Variable      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U61264 FG 07/42 FIXED 4              | CUSIP: 3132GNQR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     315171 | PA      | $307131.03     | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | 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        |      82791 | PA      | $87024.92      | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 894154 G2 04/61 FLOATING VAR              | CUSIP: 3620E0KQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24986 | PA      | $24986.10      | 0.00%             | 2061-04-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN6483 G2 12/45 FIXED 3                   | CUSIP: 3617F6FY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1187602 | PA      | $1068652.83    | 0.08%             | 2045-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AZ1959 G2 04/47 FIXED 4                   | CUSIP: 36197EE85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     330502 | PA      | $304319.25     | 0.02%             | 2047-04-20      | 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        |     151191 | PA      | $8681.43       | 0.00%             | 2055-08-25      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO LTD 2015-1A                                     | PALMER SQUARE CLO LTD PLMRS 2015 1A A1A5 144A          | CUSIP: 69689ABU3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6360000 | PA      | $6366800.18    | 0.48%             | 2034-05-21      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5258 FR 06/53 FIXED 5              | CUSIP: 3133C5ZX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76109 | PA      | $76379.81      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 486516 GN 09/28 FIXED 6.5                    | CUSIP: 36210AN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         50 | PA      | $51.08         | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784010 GN 03/45 FIXED 4                      | CUSIP: 3622A2N32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     410390 | PA      | $400219.21     | 0.03%             | 2045-03-15      | Fixed         | 4.00%                 | 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        |       4369 | PA      | $4094.39       | 0.00%             | 2039-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677194 GN 06/38 FIXED 5.5                    | CUSIP: 36295QKF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6652 | PA      | $6926.34       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE7131 FN 02/47 FIXED 3.5                    | CUSIP: 3140FS4R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     784176 | PA      | $731681.11     | 0.05%             | 2047-02-01      | Fixed         | 3.50%                 | 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        |      20732 | PA      | $1121.54       | 0.00%             | 2044-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 464672 GN 01/28 FIXED 7                      | CUSIP: 36208YFM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        311 | PA      | $311.56        | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4940                                           | FREDDIE MAC FHR 4940 FE                                | CUSIP: 3137FQLW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     136363 | PA      | $133348.80     | 0.01%             | 2050-01-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5162 FR 06/42 FIXED 3              | CUSIP: 3133KYWX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5184735 | PA      | $4799889.00    | 0.36%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB8509 FR 01/36 FIXED 2              | CUSIP: 3132D6N22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42475 | PA      | $39171.65      | 0.00%             | 2036-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AM4671 FN 10/43 FIXED 5.32                   | CUSIP: 3138L5FM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     190034 | PA      | $196425.12     | 0.01%             | 2043-10-01      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 626967 GN 08/45 FIXED 3                      | CUSIP: 36291FQU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187839 | PA      | $169162.05     | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM3392 FN 01/48 FIXED VAR                    | CUSIP: 3140J7XW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132538 | PA      | $127858.59     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | 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        |      19472 | PA      | $18577.14      | 0.00%             | 2047-07-15      | Fixed         | 4.00%                 | 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        |     103099 | PA      | $6265.21       | 0.00%             | 2038-06-15      | Floating      | 2.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004796 G2 09/40 FIXED 4.5                 | CUSIP: 36202FKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6684 | PA      | $6575.23       | 0.00%             | 2040-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QB6642 FR 12/50 FIXED 1.5            | CUSIP: 3133ADLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132774 | PA      | $102535.44     | 0.01%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 484383 GN 09/28 FIXED 6                      | CUSIP: 36209XCU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        598 | PA      | $606.95        | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8091 FN 06/44 FIXED VAR                    | CUSIP: 3138EQ7D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     411807 | PA      | $401170.66     | 0.03%             | 2044-06-01      | Fixed         | 4.00%                 | 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        |      60792 | PA      | $59071.71      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 616069 GN 11/33 FIXED 6                      | CUSIP: 36290SMS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9092 | PA      | $9365.49       | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3597 G2 04/46 FIXED 3.5                 | CUSIP: 36179R7J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1215512 | PA      | $1132420.48    | 0.08%             | 2046-04-20      | Fixed         | 3.50%                 | 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        |     464389 | PA      | $475541.25     | 0.04%             | 2045-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546577 GN 10/33 FIXED 5.875                  | CUSIP: 36212XFS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74189 | PA      | $74721.40      | 0.01%             | 2033-10-15      | Fixed         | 5.88%                 | 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        |    1600000 | PA      | $1612366.05    | 0.12%             | 2033-04-01      | Fixed         | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002433 G2 05/27 FIXED 8                   | CUSIP: 36202CV26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1617 | PA      | $1631.23       | 0.00%             | 2027-05-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004459 G2 06/39 FIXED 5                   | CUSIP: 36202E5U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3259 | PA      | $3334.03       | 0.00%             | 2039-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5280 FR 06/53 FIXED 5              | CUSIP: 3133C52M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87274 | PA      | $87524.40      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RE6161 FR 07/55 FIXED 6.5            | CUSIP: 3133N3Z23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4061147 | PA      | $4142827.82    | 0.31%             | 2055-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003910 G2 10/36 FIXED 6                   | CUSIP: 36202EKX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $258.78        | 0.00%             | 2036-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2095 FN 07/48 FIXED 4.5                    | CUSIP: 3140Q9KH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2616396 | PA      | $2587693.60    | 0.19%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2008-34                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2008 34 OC          | CUSIP: 383742P64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49033 | PA      | $37408.38      | 0.00%             | 2037-06-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9994 FN 12/33 FIXED 5.87                   | CUSIP: 3140LMC80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1636177.80    | 0.12%             | 2033-12-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781070 GN 07/29 FIXED 8                      | CUSIP: 36225BFK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        134 | PA      | $137.18        | 0.00%             | 2029-07-15      | Fixed         | 8.00%                 | 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        |     199053 | PA      | $12298.44      | 0.00%             | 2044-07-25      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 659692 GN 10/36 FIXED 5.5                    | CUSIP: 36294T2Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2021 | PA      | $2077.84       | 0.00%             | 2036-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H12                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H12 FB         | CUSIP: 38380QDL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   63397264 | PA      | $64168289.00   | 4.80%             | 2070-07-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ1665 FN 12/47 FIXED 4                      | CUSIP: 3140H2Z76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     533073 | PA      | $512577.64     | 0.04%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 576520 GN 02/32 FIXED 6                      | CUSIP: 36200YPD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        440 | PA      | $460.07        | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | 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        | -190800000 | PA      | $-174292390.40 | -13.05%           | 2055-11-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546606 GN 08/34 FIXED 5.38                   | CUSIP: 36212XGP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37168 | PA      | $37802.30      | 0.00%             | 2034-08-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 648643 GN 12/35 FIXED 6                      | CUSIP: 36292GS89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        497 | PA      | $510.94        | 0.00%             | 2035-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY1782 FN 05/53 FIXED 6                      | CUSIP: 3140NH6U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     287042 | PA      | $294909.89     | 0.02%             | 2053-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 665193 GN 02/37 FIXED 5.5                    | CUSIP: 36295A7E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        412 | PA      | $430.58        | 0.00%             | 2037-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004220 G2 08/38 FIXED 5                   | CUSIP: 36202EVM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        745 | PA      | $765.08        | 0.00%             | 2038-08-20      | Fixed         | 5.00%                 | 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        |   12500000 | NC      | $0.13          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CY2462 G2 05/62 FIXED 4                   | CUSIP: 3618G1WX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94946 | PA      | $88212.18      | 0.01%             | 2062-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 653765 GN 03/36 FIXED 7                      | CUSIP: 36292NJJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42340 | PA      | $42977.10      | 0.00%             | 2036-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR3156 G2 12/62 FIXED 7                   | CUSIP: 3618AHQH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58516 | PA      | $60101.46      | 0.00%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 619466 GN 03/35 FIXED 6                      | CUSIP: 36290WFF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50500 | PA      | $52540.46      | 0.00%             | 2035-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004461 G2 06/39 FIXED 4.5                 | CUSIP: 36202E5W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50133 | PA      | $49697.10      | 0.00%             | 2039-06-20      | Fixed         | 4.50%                 | 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        |     116974 | PA      | $122795.67     | 0.01%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784283 GN 09/45 FIXED 3.5                    | CUSIP: 3622A2XL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     614278 | PA      | $575148.84     | 0.04%             | 2045-09-15      | Fixed         | 3.50%                 | 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        |     677461 | PA      | $631547.34     | 0.05%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9NOA5 PIMCO FPPSWAPTION 4.4 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    8100000 | NC      | $468273.15     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA83A9 PIMCO FPPSWAPTION 4.693 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5600000 | NC      | $371092.96     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-6                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 6 YI           | CUSIP: 38378PS66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     229224 | PA      | $7451.00       | 0.00%             | 2029-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CT7585 G2 08/62 FIXED 3.5                 | CUSIP: 3618BDNA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128701 | PA      | $115505.40     | 0.01%             | 2062-08-20      | Fixed         | 3.50%                 | 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        |        802 | PA      | $802.76        | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003840 G2 04/36 FIXED 5                   | CUSIP: 36202EHR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38660 | PA      | $39441.37      | 0.00%             | 2036-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8376 FN 05/46 FIXED VAR                    | CUSIP: 3138ETJW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     294414 | PA      | $277308.68     | 0.02%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 502730 GN 07/29 FIXED 6.5                    | CUSIP: 36210UPP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13628 | PA      | $13921.23      | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 704624 GN 07/39 FIXED 4.5                    | CUSIP: 36296XYV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     423734 | PA      | $426737.51     | 0.03%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 570662 GN 10/31 FIXED 7                      | CUSIP: 36200R5X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        650 | PA      | $654.46        | 0.00%             | 2031-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BS5536 G2 06/62 FIXED 4.5                 | CUSIP: 3617MGEH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87193 | PA      | $83850.76      | 0.01%             | 2062-06-20      | Fixed         | 4.50%                 | 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        |      68210 | PA      | $68650.91      | 0.01%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AN9707 G2 08/45 FIXED 3.5                 | CUSIP: 36187SYC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87378 | PA      | $77955.93      | 0.01%             | 2045-08-20      | Fixed         | 3.50%                 | 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        |  -12600000 | NC      | $-25022.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080821 G2 01/34 FLOATING VAR              | CUSIP: 36225C4F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62039 | PA      | $62520.33      | 0.00%             | 2034-01-20      | Floating      | 5.62%                 | 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        |    1616997 | PA      | $1704497.12    | 0.13%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546583 GN 01/34 FIXED 6.02                   | CUSIP: 36212XFY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27607 | PA      | $27646.88      | 0.00%             | 2034-01-15      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 787954 G2 02/55 FIXED 6                   | CUSIP: 3622ADWP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1382232 | PA      | $1401263.78    | 0.10%             | 2055-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 472957 GN 05/29 FIXED 6.5                    | CUSIP: 36209JME8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        468 | PA      | $476.80        | 0.00%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004194 G2 07/38 FIXED 5.5                 | CUSIP: 36202EUT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1242 | PA      | $1279.71       | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTG ASSOC 2006-26                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2006 26 PO          | CUSIP: 38374NDU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29754 | PA      | $24707.47      | 0.00%             | 2036-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003038 G2 02/31 FIXED 6                   | CUSIP: 36202DLT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        171 | PA      | $178.03        | 0.00%             | 2031-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003121 G2 08/31 FIXED 7                   | CUSIP: 36202DPE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $153.78        | 0.00%             | 2031-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 791069 GN 02/42 FIXED 3.5                    | CUSIP: 36177KFK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12714 | PA      | $11892.38      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XIV LTD 2018-2                                   | MARBLE POINT CLO LTD. MP14 2018 2A A12R 144A           | CUSIP: 56608KAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     388529 | PA      | $387935.18     | 0.03%             | 2032-01-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BT1990 G2 03/50 FIXED 3.5                 | CUSIP: 3617MQF76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129661 | PA      | $119473.52     | 0.01%             | 2050-03-20      | Fixed         | 3.50%                 | 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        |   18500000 | NC      | $1.85          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                  | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A          | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1154529 | PA      | $1115886.20    | 0.08%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 572126 GN 08/34 FIXED 5.5                    | CUSIP: 36200TSP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1090 | PA      | $1146.03       | 0.00%             | 2034-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 463079 GN 01/28 FIXED 7.5                    | CUSIP: 36208WM42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7269 | PA      | $7340.82       | 0.00%             | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BA0244 GN 04/47 FIXED 4                      | CUSIP: 3617ACHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     807972 | PA      | $770438.43     | 0.06%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-187                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 187 FQ         | CUSIP: 38382LD73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2234549 | PA      | $2080253.69    | 0.16%             | 2050-12-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9990 FN 11/33 FIXED 5.96                   | CUSIP: 3140LMC49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     537436 | PA      | $587184.56     | 0.04%             | 2033-11-01      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM7559 G2 12/61 FIXED 4.5                 | CUSIP: 3617YTMG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111131 | PA      | $106870.59     | 0.01%             | 2061-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0822 G2 03/28 FIXED 3                   | CUSIP: 36179M4F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40538 | PA      | $40036.13      | 0.00%             | 2028-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604471 GN 07/33 FIXED 5.5                    | CUSIP: 36200MQY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        300 | PA      | $307.81        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 447202 GN 06/27 FIXED 8                      | CUSIP: 36208CX77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         82 | PA      | $82.20         | 0.00%             | 2027-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5921 G2 05/49 FIXED 3.5                 | CUSIP: 36179USJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17117 | PA      | $15438.33      | 0.00%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U90133 FG 08/42 FIXED 4              | CUSIP: 3132H3EE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1284689 | PA      | $1254962.45    | 0.09%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ1891 G2 09/48 FIXED 5.5                 | CUSIP: 3617HPC44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26194 | PA      | $26258.38      | 0.00%             | 2048-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3899 FN 11/26 FIXED 3                      | CUSIP: 31417AKM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     158785 | PA      | $157558.72     | 0.01%             | 2026-11-01      | Fixed         | 3.00%                 | 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        |   18800000 | NC      | $2521.08       | 0.00%             |  |  |  | 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        |     118310 | PA      | $121008.10     | 0.01%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 561599 GN 09/31 FIXED 7                      | CUSIP: 36213Q3G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1859 | PA      | $1899.98       | 0.00%             | 2031-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV7503 FN 04/37 FIXED 2                      | CUSIP: 3140MMKR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1617517 | PA      | $1488116.39    | 0.11%             | 2037-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655661 GN 07/36 FIXED 6.5                    | CUSIP: 36294PMJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39631 | PA      | $41861.30      | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 700829 GN 10/38 FIXED 5.5                    | CUSIP: 36296TSS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        985 | PA      | $1013.01       | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN8477 GN 08/45 FIXED 3.5                    | CUSIP: 36186SM21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     215495 | PA      | $201558.84     | 0.02%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP4990 G2 01/50 FIXED 4.5                 | CUSIP: 3617FURK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1896011 | PA      | $1845773.98    | 0.14%             | 2050-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                  | FREDDIE MAC FHR 4839 WO                                | CUSIP: 3137FJK81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2864974 | PA      | $1868212.89    | 0.14%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2997 FN 05/32 FIXED 3                      | CUSIP: 31418CKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     587478 | PA      | $572289.91     | 0.04%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0620 G2 09/55 FIXED 4                   | CUSIP: 3618N5VN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $376356.06     | 0.03%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603586 GN 03/33 FIXED 6.5                    | CUSIP: 36200KRF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4355 | PA      | $4387.68       | 0.00%             | 2033-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB6814 GN 09/42 FIXED 3.5                    | CUSIP: 36178TSB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     366308 | PA      | $342866.29     | 0.03%             | 2042-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2833 FN 12/38 FIXED 4.5                    | CUSIP: 3140QAEF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     217682 | PA      | $219489.48     | 0.02%             | 2038-12-01      | Fixed         | 4.50%                 | 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        |    1405268 | PA      | $158261.40     | 0.01%             | 2044-11-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY1512 FN 06/53 FIXED 5                      | CUSIP: 3140NHVE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106324 | PA      | $107152.35     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | 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        |     902135 | PA      | $77468.36      | 0.01%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 439811 GN 01/27 FIXED 7.25                   | CUSIP: 36207RR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        642 | PA      | $641.94        | 0.00%             | 2027-01-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780618 GN 08/27 FIXED 8                      | CUSIP: 36225AVK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        163 | PA      | $164.16        | 0.00%             | 2027-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781997 GN 11/30 FIXED 8                      | CUSIP: 36241KGE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2466 | PA      | $2591.51       | 0.00%             | 2030-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N1                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N1 F 144A    | CUSIP: 14687DAG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     305040 | PA      | $303347.19     | 0.02%             | 2028-01-10      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2178                                                  | FREDDIE MAC FHR 2178 PI                                | CUSIP: 3133TLUJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        446 | PA      | $41.63         | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BS2690 G2 02/50 FIXED 3                   | CUSIP: 3617MC7B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     445874 | PA      | $391035.08     | 0.03%             | 2050-02-20      | Fixed         | 3.00%                 | 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        |      53425 | PA      | $52090.77      | 0.00%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8639 G2 02/53 FIXED 6                   | CUSIP: 36179XS49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2109334 | PA      | $2130462.91    | 0.16%             | 2053-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-36                                         | FANNIE MAE FNR 2018 36 SA                              | CUSIP: 3136B2DF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2433877 | PA      | $314016.42     | 0.02%             | 2048-06-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2007-28                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 28 BO          | CUSIP: 38375J8N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5278 | PA      | $4322.20       | 0.00%             | 2037-05-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1841 G2 04/44 FIXED 5                   | CUSIP: 36179QBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34145 | PA      | $34921.80      | 0.00%             | 2044-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2436 G2 12/44 FIXED 4                   | CUSIP: 36179QV57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     739601 | PA      | $700314.84     | 0.05%             | 2044-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH2185 FN 06/47 FIXED 4                      | CUSIP: 3140GQNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8952 | PA      | $8578.67       | 0.00%             | 2047-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745101 FN 04/32 FIXED VAR                    | CUSIP: 31403CX63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7802 | PA      | $7933.07       | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004697 G2 05/40 FIXED 5                   | CUSIP: 36202FGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3158378 | PA      | $3239993.33    | 0.24%             | 2040-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE1670 G2 06/48 FIXED 4                   | CUSIP: 3617BU2B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35114 | PA      | $34134.33      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18632 FG 02/32 FIXED 3              | CUSIP: 3128MMV26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     416502 | PA      | $406848.09     | 0.03%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782167 GN 06/37 FIXED 6                      | CUSIP: 36241KMQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        369 | PA      | $388.79        | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | 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        |      82753 | PA      | $83876.58      | 0.01%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 462690 GN 04/28 FIXED 7                      | CUSIP: 36208V7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1077 | PA      | $1083.59       | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD0384 G2 10/47 FIXED 3.5                 | CUSIP: 3617BFM90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105708 | PA      | $97334.96      | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 672391 GN 12/37 FIXED 6                      | CUSIP: 36295J7C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        583 | PA      | $614.16        | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | 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        |      22693 | PA      | $21817.95      | 0.00%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9V5A8 PIMCO FPPSWAPTION 4.64 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    7000000 | NC      | $366702.70     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0091 G2 05/42 FIXED 5                   | CUSIP: 36179MC40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75472 | PA      | $77466.16      | 0.01%             | 2042-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE1642 G2 01/48 FIXED 4                   | CUSIP: 3617BUZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134953 | PA      | $131187.58     | 0.01%             | 2048-01-20      | Fixed         | 4.00%                 | 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        |       8781 | PA      | $8459.43       | 0.00%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 751206 GN 10/40 FIXED 4.875                  | CUSIP: 36230KKT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45810 | PA      | $46464.06      | 0.00%             | 2040-10-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 636773 GN 10/34 FIXED 6                      | CUSIP: 36291SMW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88138 | PA      | $91763.76      | 0.01%             | 2034-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QU8224 FR 09/54 FIXED 6.5            | CUSIP: 3133JMD53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     704050 | PA      | $713892.70     | 0.05%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18652 FG 07/32 FIXED 3              | CUSIP: 3128MMWN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     790967 | PA      | $771789.18     | 0.06%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004164 G2 06/38 FIXED 6                   | CUSIP: 36202ETV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13624 | PA      | $13848.53      | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 389719 GN 09/32 FIXED 6                      | CUSIP: 36205F4C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1206 | PA      | $1229.67       | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                 | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94452 | PA      | $93369.95      | 0.01%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784673 G2 01/49 FIXED 5.5                 | CUSIP: 3622AACJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     421863 | PA      | $435560.29     | 0.03%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18666 FG 11/32 FIXED 3              | CUSIP: 3128MMW41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1475812 | PA      | $1438890.44    | 0.11%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA1636 GN 05/42 FIXED 3.5                    | CUSIP: 36177XY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     311395 | PA      | $291270.10     | 0.02%             | 2042-05-15      | Fixed         | 3.50%                 | 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        |    8100000 | PA      | $8034321.39    | 0.60%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 778943 GN 03/42 FIXED 3.5                    | CUSIP: 36176XEQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83087 | PA      | $78031.70      | 0.01%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697857 GN 02/39 FIXED 6                      | CUSIP: 36296QJA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5351 | PA      | $5528.38       | 0.00%             | 2039-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AK8789 G2 06/45 FIXED 3.75                | CUSIP: 36183SXS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     786143 | PA      | $735057.15     | 0.06%             | 2045-06-20      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 713471 GN 06/39 FIXED 4.5                    | CUSIP: 36297JT46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43547 | PA      | $43533.65      | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | 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        |      39759 | PA      | $2226.98       | 0.00%             | 2041-08-15      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1Q0184 FH 11/36 FLOATING VAR         | CUSIP: 3128S4FZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     238168 | PA      | $247603.20     | 0.02%             | 2036-11-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 485602 GN 07/31 FIXED 6.5                    | CUSIP: 36209YNT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        372 | PA      | $383.29        | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780864 GN 09/28 FIXED 6                      | CUSIP: 36225A5Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         45 | PA      | $45.73         | 0.00%             | 2028-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003819 G2 02/36 FIXED 5.5                 | CUSIP: 36202EG45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        940 | PA      | $972.66        | 0.00%             | 2036-02-20      | Fixed         | 5.50%                 | 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        |   19912384 | PA      | $20094830.59   | 1.50%             | 2054-04-01      | Fixed         | 5.50%                 | 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        |     644390 | PA      | $636715.32     | 0.05%             | 2037-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ3033 GN 06/45 FIXED 3.5                    | CUSIP: 36182XLN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93627 | PA      | $87574.54      | 0.01%             | 2045-06-15      | Fixed         | 3.50%                 | 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        |      56671 | PA      | $54512.63      | 0.00%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ4535 FN 11/26 FIXED 3                      | CUSIP: 3138AWBD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32861 | PA      | $32606.70      | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | 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        |      75050 | PA      | $73987.96      | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | 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        |     590115 | PA      | $608872.26     | 0.05%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003415 G2 07/33 FIXED 5.5                 | CUSIP: 36202DYL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107264 | PA      | $110203.64     | 0.01%             | 2033-07-20      | Fixed         | 5.50%                 | 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        |     244955 | PA      | $12236.91      | 0.00%             | 2055-04-25      | Floating      | 1.70%                 | 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        | -202643000 | PA      | $-190963155.98 | -14.30%           | 2055-11-13      | Fixed         | 4.00%                 | 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        |     152527 | PA      | $148555.94     | 0.01%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 675612 GN 10/38 FIXED 6                      | CUSIP: 36295NR90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2702 | PA      | $2805.63       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH0034 G2 05/48 FIXED 4.5                 | CUSIP: 3617GWBB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     814444 | PA      | $796692.39     | 0.06%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS7386 FN 12/29 FIXED 4.77                   | CUSIP: 3140LJF43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     674000 | PA      | $687194.74     | 0.05%             | 2029-12-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1152 G2 07/43 FIXED 4.5                 | CUSIP: 36179NH50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124902 | PA      | $122339.62     | 0.01%             | 2043-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8N9A3 PIMCO FPPSWAPTION 4.073 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4200000 | NC      | $193745.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698516 GN 10/38 FIXED 5.5                    | CUSIP: 36296RAR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $372.72        | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RC1860 FR 04/36 FIXED 2              | CUSIP: 3133L8B53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3835934 | PA      | $3545789.47    | 0.27%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7988 G2 04/52 FIXED 3                   | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11362545 | PA      | $10154481.33   | 0.76%             | 2052-04-20      | Fixed         | 3.00%                 | 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        |      39774 | PA      | $38655.81      | 0.00%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617223 GN 09/36 FIXED 7                      | CUSIP: 36290TVQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66823 | PA      | $70510.77      | 0.01%             | 2036-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS0209 FN 08/43 FIXED 3.5                    | CUSIP: 3138W9GT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        549 | PA      | $518.38        | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2937 FN 04/43 FIXED VAR                    | CUSIP: 3140XJHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3628818 | PA      | $3531281.34    | 0.26%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 477043 GN 06/30 FIXED 8                      | CUSIP: 36209N5C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        928 | PA      | $947.59        | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM4583 FN 09/42 FIXED VAR                    | CUSIP: 3140J9CV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     204100 | PA      | $193134.44     | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638426 GN 05/35 FIXED 5.53                   | CUSIP: 36291UHB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67291 | PA      | $69772.78      | 0.01%             | 2035-05-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3073 G2 09/30 FIXED 3                   | CUSIP: 36179RMW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     146716 | PA      | $141151.63     | 0.01%             | 2030-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q62642 FG 03/49 FIXED 3.5            | CUSIP: 3132VN5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67982 | PA      | $63037.58      | 0.00%             | 2049-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP8745 G2 07/62 FIXED 4.5                 | CUSIP: 3617FYWE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     534359 | PA      | $513875.54     | 0.04%             | 2062-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 535337 GN 09/30 FIXED 7.5                    | CUSIP: 36212JV60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        580 | PA      | $584.74        | 0.00%             | 2030-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711504 GN 04/40 FIXED 4.5                    | CUSIP: 36297GNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23916 | PA      | $24203.68      | 0.00%             | 2040-04-15      | Fixed         | 4.50%                 | 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        |     697512 | PA      | $695224.09     | 0.05%             | 2042-05-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3736 G2 06/46 FIXED 3.5                 | CUSIP: 36179SEH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     947735 | PA      | $882456.85     | 0.07%             | 2046-06-20      | Fixed         | 3.50%                 | 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        |   28000000 | PA      | $28478567.32   | 2.13%             | 2054-11-15      | Fixed         | 6.00%                 | 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        |      70050 | PA      | $5714.13       | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DB8068 G2 07/54 FIXED 6.5                 | CUSIP: 3618HA6D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     890587 | PA      | $913968.40     | 0.07%             | 2054-07-20      | Fixed         | 6.50%                 | 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        |  -13100000 | NC      | $-1.31         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA5067 GN 07/42 FIXED 3.5                    | CUSIP: 36178CTY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10082 | PA      | $9430.00       | 0.00%             | 2042-07-15      | Fixed         | 3.50%                 | 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        |      48550 | PA      | $46650.55      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR-2021-158                                                      | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 158 IV         | CUSIP: 38382X6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7370300 | PA      | $1074987.76    | 0.08%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB0208 G2 06/47 FIXED 3.5                 | CUSIP: 3617AQGR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     776121 | PA      | $718008.87     | 0.05%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784792 G2 08/49 FIXED 4.5                 | CUSIP: 3622AAF90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      90837 | PA      | $85602.99      | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | 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        |     231602 | PA      | $231481.14     | 0.02%             | 2071-03-20      | Floating      | 5.14%                 | 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        |      32027 | PA      | $30828.19      | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| KKR CLO 28 LTD 28A                                                | KKR FINANCIAL CLO LTD KKR 28A AR 144A                  | CUSIP: 48253WAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1806829.13    | 0.14%             | 2035-02-09      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5104                                           | FREDDIE MAC FHR 5104 UB                                | CUSIP: 3137H02A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6743546 | PA      | $5706173.90    | 0.43%             | 2044-12-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA3450 GN 07/42 FIXED 3                      | CUSIP: 36178AZP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19781 | PA      | $18124.70      | 0.00%             | 2042-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4457 G2 02/39 FIXED 6.5                 | CUSIP: 36179S5S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6608 | PA      | $7047.73       | 0.00%             | 2039-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ0963 FN 05/34 FIXED 5.41                   | CUSIP: 3140NVB97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9534944 | PA      | $10050019.91   | 0.75%             | 2034-05-01      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE 2004-46                                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2004 46 AO          | CUSIP: 38374G5Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33691 | PA      | $28227.61      | 0.00%             | 2034-06-20      | None          | 0.00%                 | 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        |     123186 | PA      | $123983.11     | 0.01%             | 2041-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG7328 FR 07/53 FIXED 5.5            | CUSIP: 3133C8D93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     402537 | PA      | $409728.89     | 0.03%             | 2053-07-01      | Fixed         | 5.50%                 | 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        |     700620 | PA      | $712882.03     | 0.05%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ3432 FN 02/48 FIXED 3.5                    | CUSIP: 3140H4Y65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     377525 | PA      | $348533.67     | 0.03%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784601 G2 03/48 FIXED 3.5                 | CUSIP: 3622AAAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1927855 | PA      | $1779330.40    | 0.13%             | 2048-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA7000 FR 03/52 FIXED 2.5            | CUSIP: 3133KNX57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     478600 | PA      | $407471.45     | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA1296 FN 08/51 FIXED VAR                    | CUSIP: 3140W1NN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4383865 | PA      | $4265559.59    | 0.32%             | 2051-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL E02997 FG 10/26 FIXED 3              | CUSIP: 31294MKJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18357 | PA      | $18220.73      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ4522 FN 10/26 FIXED 3                      | CUSIP: 3138AWAY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26890 | PA      | $26682.33      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | 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        |     214631 | PA      | $207228.53     | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | 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        |      73189 | PA      | $72305.28      | 0.01%             | 2049-01-01      | Fixed         | 4.50%                 | 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        |    5000000 | PA      | $5110544.15    | 0.38%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DM4280 G2 09/55 FIXED 7                   | CUSIP: 3618LTXH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1600000 | PA      | $1645723.73    | 0.12%             | 2055-09-20      | Fixed         | 7.00%                 | 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        |   26100000 | PA      | $26298321.63   | 1.97%             | 2054-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNR-2021-155                                                      | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 155 ID         | CUSIP: 38383AJX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4439106 | PA      | $752308.67     | 0.06%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4309 G2 03/47 FIXED 3                   | CUSIP: 36179SYE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89676 | PA      | $79648.60      | 0.01%             | 2047-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5166 FR 07/42 FIXED 3              | CUSIP: 3133KYW39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     600704 | PA      | $555758.88     | 0.04%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 755820 GN 11/40 FIXED 4.05                   | CUSIP: 36230QPD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111809 | PA      | $107045.43     | 0.01%             | 2040-11-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 788799 FH 05/31 FLOATING VAR         | CUSIP: 31295MX47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2791 | PA      | $2838.01       | 0.00%             | 2031-05-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BO7486 G2 08/49 FIXED 3                   | CUSIP: 3617KPJ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2607478 | PA      | $2293213.69    | 0.17%             | 2049-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603708 GN 05/33 FIXED 6                      | CUSIP: 36200KU96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23758 | PA      | $24926.09      | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2002-1                                | HOME EQUITY ASSET TRUST HEAT 2002 1 A4                 | CUSIP: 22541NAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2566 | PA      | $2396.95       | 0.00%             | 2032-11-25      | Floating      | 4.87%                 | 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        |     278270 | PA      | $280070.28     | 0.02%             | 2041-01-20      | Fixed         | 4.50%                 | 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        |    4535922 | PA      | $4750104.41    | 0.36%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG2154 G2 03/48 FIXED 4                   | CUSIP: 3617GLMB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25461 | PA      | $24750.70      | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 600008 GN 05/33 FIXED 5.25                   | CUSIP: 36200FR59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4170 | PA      | $4166.23       | 0.00%             | 2033-05-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004316 G2 12/38 FIXED 6                   | CUSIP: 36202EYM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     204983 | PA      | $215533.67     | 0.02%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 749776 GN 09/41 FIXED 3.5                    | CUSIP: 3620C56M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27294 | PA      | $25623.24      | 0.00%             | 2041-09-15      | Fixed         | 3.50%                 | 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        |      46041 | PA      | $2561.42       | 0.00%             | 2037-03-15      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 528391 GN 05/30 FIXED 7                      | CUSIP: 36212A7C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        735 | PA      | $742.36        | 0.00%             | 2030-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-23                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 23 KA          | CUSIP: 38379VRN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103633 | PA      | $102994.71     | 0.01%             | 2031-01-20      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5356 FR 06/53 FIXED 5              | CUSIP: 3133C55R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59122 | PA      | $59291.90      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781389 GN 01/32 FIXED 7.5                    | CUSIP: 36225BRJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6211 | PA      | $6533.70       | 0.00%             | 2032-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781516 GN 09/32 FIXED 6.5                    | CUSIP: 36225BVH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        901 | PA      | $949.74        | 0.00%             | 2032-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 783352 G2 03/41 FIXED 4.5                 | CUSIP: 36241LWM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     766923 | PA      | $756890.65     | 0.06%             | 2041-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785558 G2 07/51 FIXED 2.5                 | CUSIP: 3622ABB35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     135016 | PA      | $116346.62     | 0.01%             | 2051-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2971 FN 08/45 FIXED VAR                    | CUSIP: 3140X6JR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     577944 | PA      | $561185.27     | 0.04%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CV9576 G2 07/61 FIXED 4                   | CUSIP: 3618F6T97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     334846 | PA      | $311092.83     | 0.02%             | 2061-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004285 G2 11/38 FIXED 6                   | CUSIP: 36202EXN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36065 | PA      | $36463.73      | 0.00%             | 2038-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004449 G2 05/39 FIXED 6                   | CUSIP: 36202E5J4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        672 | PA      | $707.00        | 0.00%             | 2039-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2616                                                  | FREDDIE MAC FHR 2616 JS                                | CUSIP: 31393QTG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36630 | PA      | $603.98        | 0.00%             | 2027-02-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 586313 GN 12/34 FIXED 5.5                    | CUSIP: 36201LK29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        299 | PA      | $308.59        | 0.00%             | 2034-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 726380 GN 10/39 FIXED 4.5                    | CUSIP: 3620AC6R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6143 | PA      | $6113.14       | 0.00%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004071 G2 01/38 FIXED 5                   | CUSIP: 36202EQY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        705 | PA      | $722.29        | 0.00%             | 2038-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AP0335 FN 07/42 FIXED 3                      | CUSIP: 3138M3LR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1559 | PA      | $1448.03       | 0.00%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CG8392 G2 09/51 FIXED 3                   | CUSIP: 3617WNKD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     531887 | PA      | $468134.63     | 0.04%             | 2051-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-14                                                | FANNIE MAE FNR 2002 14 A3                              | CUSIP: 31392CAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     356717 | PA      | $360422.64     | 0.03%             | 2040-10-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE7249 GN 05/43 FIXED 4                      | CUSIP: 36181BBS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65296 | PA      | $62941.23      | 0.00%             | 2043-05-15      | Fixed         | 4.00%                 | 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        |      71437 | PA      | $68736.61      | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2633 FN 11/48 FIXED 4.5                    | CUSIP: 3140Q94T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1261876 | PA      | $1247641.53    | 0.09%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 582176 GN 06/32 FIXED 7.5                    | CUSIP: 36201FXD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9627 | PA      | $9828.16       | 0.00%             | 2032-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS7939 FR 01/33 FIXED 2.5            | CUSIP: 3132A8ZC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     191203 | PA      | $184236.92     | 0.01%             | 2033-01-01      | Fixed         | 2.50%                 | 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        |     135356 | PA      | $130314.18     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD2321 FR 02/52 FIXED 3              | CUSIP: 3132DPSJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1307952 | PA      | $1151042.10    | 0.09%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3105 G2 09/45 FIXED 3.5                 | CUSIP: 36179RNW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3593251 | PA      | $3349805.70    | 0.25%             | 2045-09-20      | Fixed         | 3.50%                 | 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        |    8095633 | PA      | $7259165.80    | 0.54%             | 2050-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 11/25 0.00000                            | CUSIP: 912797RM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     613000 | PA      | $610682.23     | 0.05%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8AUA7 PIMCO FPPSWAPTION 4.098 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2900000 | NC      | $190169.53     | 0.01%             |  |  |  | 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        |     143068 | PA      | $136769.04     | 0.01%             | 2053-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 699523 GN 11/38 FIXED 6.5                    | CUSIP: 36296SD44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23054 | PA      | $24446.11      | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI8200 G2 09/48 FIXED 4.5                 | CUSIP: 3617HJDD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     721242 | PA      | $700967.32     | 0.05%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8561 G2 01/53 FIXED 6                   | CUSIP: 36179XQN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1582462 | PA      | $1598313.24    | 0.12%             | 2053-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA2579 G2 05/47 FIXED 4.5                 | CUSIP: 3617AE2L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     220000 | PA      | $216130.56     | 0.02%             | 2047-05-20      | Fixed         | 4.50%                 | 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        |    2010919 | PA      | $2106553.39    | 0.16%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 561564 GN 08/31 FIXED 7                      | CUSIP: 36213QZ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        975 | PA      | $1009.70       | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 595940 GN 10/32 FIXED 5.5                    | CUSIP: 36200BBH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1952 | PA      | $1978.72       | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8743 FN 06/30 FIXED 4.68                   | CUSIP: 3140LKWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11282967 | PA      | $11490993.88   | 0.86%             | 2030-06-01      | Fixed         | 4.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 782156 G2 05/37 FIXED 5                   | CUSIP: 36241KMD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45801 | PA      | $46889.42      | 0.00%             | 2037-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0303 G2 04/55 FIXED 3                   | CUSIP: 3618N5KR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6592057 | PA      | $5903999.86    | 0.44%             | 2055-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG2455 G2 05/48 FIXED 4                   | CUSIP: 3617GLWQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35036 | PA      | $33149.05      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA5646 FR 07/51 FIXED 3              | CUSIP: 3133KMHX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11228436 | PA      | $9891903.80    | 0.74%             | 2051-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AY3790 G2 03/47 FIXED 4.5                 | CUSIP: 36196TF74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     174920 | PA      | $171477.70     | 0.01%             | 2047-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003582 G2 07/34 FIXED 5                   | CUSIP: 36202D6T3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        372 | PA      | $373.36        | 0.00%             | 2034-07-20      | Fixed         | 5.00%                 | 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        |     647745 | PA      | $679743.03     | 0.05%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 612228 GN 07/33 FIXED 5.5                    | CUSIP: 36202XD95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        911 | PA      | $916.75        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 747382 GN 07/40 FIXED 4.05                   | CUSIP: 3620C3J37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84435 | PA      | $80838.64      | 0.01%             | 2040-07-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AX5929 GN 02/47 FIXED 4.5                    | CUSIP: 36196HSS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     136351 | PA      | $134275.31     | 0.01%             | 2047-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 845233 FN 12/35 FIXED 5                      | CUSIP: 31408ABA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1783 | PA      | $1774.59       | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18644 FG 05/32 FIXED 3              | CUSIP: 3128MMWE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1449478 | PA      | $1414790.17    | 0.11%             | 2032-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AR2989 G2 04/46 FIXED 4.5                 | CUSIP: 36192XKA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28867 | PA      | $28225.65      | 0.00%             | 2046-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL E03003 FG 01/27 FIXED 3              | CUSIP: 31294MKQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202095 | PA      | $200610.81     | 0.02%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CK7653 G2 02/52 FIXED 3                   | CUSIP: 3617Y3QE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     745812 | PA      | $661924.74     | 0.05%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 12/25 0.00000                            | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3834000 | PA      | $3807466.17    | 0.29%             | 2025-12-04      | None          | 0.00%                 | 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        |      46256 | PA      | $46555.60      | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 760018 G2 01/39 FIXED 5.5                 | CUSIP: 36176ADX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28496 | PA      | $28951.08      | 0.00%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-116                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 116 DI         | CUSIP: 38375C5W6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     241522 | PA      | $4115.49       | 0.00%             | 2027-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 675733 G2 07/47 FIXED 3.5                 | CUSIP: 36295NV20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     220676 | PA      | $203884.77     | 0.02%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX3421 G2 04/47 FIXED 3.5                 | CUSIP: 36196EYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     456638 | PA      | $412299.89     | 0.03%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-H02                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H02 FY         | CUSIP: 38380QXB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9226616 | PA      | $9398283.67    | 0.70%             | 2071-01-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7818 G2 01/52 FIXED 3.5                 | CUSIP: 36179WVK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     519023 | PA      | $466382.53     | 0.03%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AK6887 GN 02/45 FIXED 3                      | CUSIP: 36183QUL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9239 | PA      | $8320.64       | 0.00%             | 2045-02-15      | Fixed         | 3.00%                 | 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        |     582130 | PA      | $33913.33      | 0.00%             | 2031-01-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 574388 GN 01/32 FIXED 6                      | CUSIP: 36200WCZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        111 | PA      | $112.25        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG8417 G2 05/48 FIXED 4                   | CUSIP: 3617GTK63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162206 | PA      | $153573.15     | 0.01%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB9690 G2 09/47 FIXED 3.5                 | CUSIP: 3617B1XT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     392073 | PA      | $362228.86     | 0.03%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AP6055 FN 07/28 FIXED 2                      | CUSIP: 3138M9WR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76543 | PA      | $74652.91      | 0.01%             | 2028-07-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785657 G2 10/51 FIXED 2.5                 | CUSIP: 3622ABE65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     571896 | PA      | $490648.16     | 0.04%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698330 GN 05/39 FIXED 5                      | CUSIP: 36296QY37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19830 | PA      | $20347.95      | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1907 FN 07/47 FIXED VAR                    | CUSIP: 3140XHDM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     723717 | PA      | $685250.88     | 0.05%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785707 G2 10/51 FIXED 3.5                 | CUSIP: 3622ABGQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11093726 | PA      | $9998466.00    | 0.75%             | 2051-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942320 FN 08/37 FIXED 6                      | CUSIP: 31413DK97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8142 | PA      | $8558.56       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4276 FN 01/27 FIXED 3                      | CUSIP: 31417AXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     167516 | PA      | $166113.11     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8K4A4 PIMCO SWAPTION 5.25 PUT USD 20260303         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   51000000 | NC      | $40.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004652 G2 03/40 FIXED 4.5                 | CUSIP: 36202FEZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5199 | PA      | $5154.29       | 0.00%             | 2040-03-20      | Fixed         | 4.50%                 | 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        |     169576 | PA      | $170109.86     | 0.01%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL4893 GN 02/45 FIXED 3                      | CUSIP: 36184BNJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12261 | PA      | $11041.85      | 0.00%             | 2045-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 580971 GN 02/32 FIXED 6                      | CUSIP: 36201EMU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        281 | PA      | $291.51        | 0.00%             | 2032-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR3245 G2 12/62 FIXED 7                   | CUSIP: 3618AHTA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     882164 | PA      | $906068.77     | 0.07%             | 2062-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9QYA7 PIMCO FPPSWAPTION 4.55875 PUT USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6500000 | NC      | $351927.55     | 0.03%             |  |  |  | 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        |     360837 | PA      | $355370.67     | 0.03%             | 2038-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-128                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 128 ZN         | CUSIP: 38378HP59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     551849 | PA      | $459676.99     | 0.03%             | 2042-02-20      | Fixed         | 4.00%                 | 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        |     260413 | PA      | $239260.19     | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 682899 GN 09/40 FIXED 6                      | CUSIP: 36295WUY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16752 | PA      | $17365.22      | 0.00%             | 2040-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1827 FN 05/33 FIXED 4                      | CUSIP: 3140Q9A52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     855349 | PA      | $855204.13     | 0.06%             | 2033-05-01      | Fixed         | 4.00%                 | 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        |   13800000 | PA      | $14367105.76   | 1.08%             | 2031-06-01      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM9640 FN 11/36 FIXED VAR                    | CUSIP: 3140XDWA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     254595 | PA      | $234776.09     | 0.02%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 650455 GN 12/35 FIXED 5.5                    | CUSIP: 36292JTL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        452 | PA      | $462.24        | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | 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        |     192894 | PA      | $185693.60     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD8801 GN 03/43 FIXED 3.5                    | CUSIP: 36180MX69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     256285 | PA      | $240203.13     | 0.02%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS3767 FR 07/43 FIXED 3.5            | CUSIP: 3132A4FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2197 | PA      | $2081.96       | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | 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        |     294239 | PA      | $309521.52     | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CS6270 G2 08/62 FIXED 4                   | CUSIP: 3618AY6F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     165114 | PA      | $154320.47     | 0.01%             | 2062-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 640960 GN 05/35 FIXED 5.5                    | CUSIP: 36291XB57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        798 | PA      | $811.94        | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0418 G2 04/55 FIXED 2.5                 | CUSIP: 3618N5PC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1896588 | PA      | $1637539.03    | 0.12%             | 2055-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002689 G2 12/28 FIXED 6.5                 | CUSIP: 36202C7A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        810 | PA      | $831.81        | 0.00%             | 2028-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4136                                           | FREDDIE MAC FHR 4136 IN                                | CUSIP: 3137AWHF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     199962 | PA      | $3949.94       | 0.00%             | 2027-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 664500 GN 12/37 FIXED 6                      | CUSIP: 36295AGH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        686 | PA      | $711.25        | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003795 G2 12/35 FIXED 5                   | CUSIP: 36202EGC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1036 | PA      | $1059.66       | 0.00%             | 2035-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0612 G2 09/55 FIXED 6.5                 | CUSIP: 3618N5VE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4764916 | PA      | $4830307.13    | 0.36%             | 2055-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 682907 GN 11/40 FIXED 6                      | CUSIP: 36295WU88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6598 | PA      | $6810.18       | 0.00%             | 2040-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004638 G2 02/40 FIXED 5.5                 | CUSIP: 36202FEK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36290 | PA      | $37537.04      | 0.00%             | 2040-02-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 433717 GN 04/28 FIXED 7                      | CUSIP: 36207JYN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        204 | PA      | $205.49        | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 680594 GN 12/37 FIXED 6                      | CUSIP: 36295UC74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        846 | PA      | $889.40        | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604723 GN 10/33 FIXED 6                      | CUSIP: 36200MYU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        351 | PA      | $361.28        | 0.00%             | 2033-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   12800000 | NC      | $771814.40     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM1522 G2 01/63 FIXED 3.5                 | CUSIP: 3617YLVP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     364489 | PA      | $327119.67     | 0.02%             | 2063-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 689942 GN 09/38 FIXED 6                      | CUSIP: 36296FP31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13905 | PA      | $14429.16      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 896002 FN 07/36 FIXED 6                      | CUSIP: 31410SNT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2661 | PA      | $2773.14       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DA5787 FN 01/54 FIXED 6                      | CUSIP: 3140A6ND4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26619 | PA      | $27300.38      | 0.00%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 779579 GN 10/41 FIXED 3.5                    | CUSIP: 36176X2L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56562 | PA      | $53012.88      | 0.00%             | 2041-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5548 FN 05/38 FLOATING VAR                 | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     531653 | PA      | $552006.05     | 0.04%             | 2038-05-01      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 755137 GN 01/41 FIXED 3.5                    | CUSIP: 36230PV64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3360 | PA      | $3155.09       | 0.00%             | 2041-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AX7752 G2 11/46 FIXED 3.5                 | CUSIP: 36196KTH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     225380 | PA      | $208507.75     | 0.02%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617254 GN 10/36 FIXED 6.5                    | CUSIP: 36290TWP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5707 | PA      | $5977.97       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 605621 G2 08/34 FIXED 6                   | CUSIP: 36200NYS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2842 | PA      | $2859.97       | 0.00%             | 2034-08-20      | Fixed         | 6.00%                 | 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        |  109000000 | PA      | $93863025.03   | 7.03%             | 2055-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ4914 FN 02/48 FIXED 4                      | CUSIP: 3140H6N88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6147 | PA      | $5910.10       | 0.00%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784018 G2 06/45 FIXED 4.5                 | CUSIP: 3622A2PB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     318505 | PA      | $312912.88     | 0.02%             | 2045-06-20      | Fixed         | 4.50%                 | 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        |    1744899 | PA      | $1589848.50    | 0.12%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA9016 G2 07/53 FIXED 5                   | CUSIP: 36179YAR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4282647 | PA      | $4273730.70    | 0.32%             | 2053-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4777 G2 10/47 FIXED 3                   | CUSIP: 36179TJW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74646 | PA      | $67669.57      | 0.01%             | 2047-10-20      | Fixed         | 3.00%                 | 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        |    2047499 | PA      | $1965048.81    | 0.15%             | 2042-11-24      | Floating      | 3.51%                 | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CK0946 G2 01/52 FIXED 2.5                 | CUSIP: 3617XVBP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     618897 | PA      | $525428.34     | 0.04%             | 2052-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-160                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 160 IG         | CUSIP: 38382KQ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24755880 | PA      | $2885416.68    | 0.22%             | 2050-10-20      | Fixed         | 2.00%                 | 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        |      56158 | PA      | $6400.30       | 0.00%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003986 G2 05/37 FIXED 6                   | CUSIP: 36202ENB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1609 | PA      | $1708.18       | 0.00%             | 2037-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7589 FN 10/45 FIXED VAR                    | CUSIP: 3138EQNF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25506 | PA      | $23992.77      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17848 FG 01/27 FIXED 3              | CUSIP: 3128PXWH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47544 | PA      | $47154.95      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 565069 GN 01/32 FIXED 6                      | CUSIP: 36213UW63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        203 | PA      | $204.81        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003932 G2 12/36 FIXED 6.5                 | CUSIP: 36202ELM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        449 | PA      | $474.72        | 0.00%             | 2036-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 597944 GN 11/32 FIXED 6                      | CUSIP: 36200DHV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        590 | PA      | $599.40        | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3742 G2 09/39 FIXED 6.5                 | CUSIP: 36179SEP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8150 | PA      | $8466.87       | 0.00%             | 2039-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003039 G2 02/31 FIXED 6.5                 | CUSIP: 36202DLU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        190 | PA      | $195.71        | 0.00%             | 2031-02-20      | Fixed         | 6.50%                 | 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        | -146150000 | PA      | $-147268345.65 | -11.03%           | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AW5244 GN 10/46 FIXED 4.5                    | CUSIP: 36195TZH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37991 | PA      | $37172.20      | 0.00%             | 2046-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2678 FN 01/52 FIXED VAR                    | CUSIP: 3140XH6Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6063271 | PA      | $5154443.05    | 0.39%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 776852 GN 08/42 FIXED 3.5                    | CUSIP: 36176UZR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7413 | PA      | $6930.63       | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784073 G2 11/45 FIXED 4                   | CUSIP: 3622A2Q21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4386587 | PA      | $4203427.51    | 0.31%             | 2045-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XXIII 2019-2A                                     | SOUND POINT CLO LTD SNDPT 2019 2A AR 144A              | CUSIP: 83614BAQ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $500875.00     | 0.04%             | 2034-07-15      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD0240 GN 04/43 FIXED 4                      | CUSIP: 36180BHR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     171066 | PA      | $162869.19     | 0.01%             | 2043-04-15      | Fixed         | 4.00%                 | 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        |    2900000 | PA      | $2913474.13    | 0.22%             | 2037-01-20      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA4844 GN 06/42 FIXED 3.5                    | CUSIP: 36178CLZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     123546 | PA      | $115562.72     | 0.01%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AU0736 GN 05/46 FIXED 3.5                    | CUSIP: 36194MY96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     480567 | PA      | $448279.66     | 0.03%             | 2046-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BR9006 G2 03/50 FIXED 3                   | CUSIP: 3617M8AF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1327157 | PA      | $1186120.12    | 0.09%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2859 G2 06/30 FIXED 3                   | CUSIP: 36179RE88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102002 | PA      | $99658.53      | 0.01%             | 2030-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RE6158 FR 02/55 FIXED 6.5            | CUSIP: 3133N3ZX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1482282 | PA      | $1510276.92    | 0.11%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ3955 G2 09/62 FIXED 5                   | CUSIP: 3618A6MC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     283598 | PA      | $281231.90     | 0.02%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD2437 GN 05/43 FIXED 3.5                    | CUSIP: 36180DV61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5687 | PA      | $5319.82       | 0.00%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 680575 GN 06/40 FIXED 6                      | CUSIP: 36295UCL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1083 | PA      | $1117.83       | 0.00%             | 2040-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3590 FN 02/39 FIXED 4                      | CUSIP: 31418C7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101621 | PA      | $99996.75      | 0.01%             | 2039-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 673207 GN 10/38 FIXED 6                      | CUSIP: 36295K3Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2177 | PA      | $2287.35       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZA6528 FR 04/49 FIXED 4              | CUSIP: 31329QHD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2512005 | PA      | $2412211.48    | 0.18%             | 2049-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 552699 GN 08/32 FIXED 6.5                    | CUSIP: 36213E7L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67700 | PA      | $70153.40      | 0.01%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CH7861 G2 01/52 FIXED 3                   | CUSIP: 3617X0WW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4881516 | PA      | $4410827.86    | 0.33%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655648 GN 04/36 FIXED 6.5                    | CUSIP: 36294PL50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37082 | PA      | $39168.23      | 0.00%             | 2036-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE8365 FN 06/48 FIXED 4.5                    | CUSIP: 3140FUJK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62833 | PA      | $61982.56      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0782 G2 02/43 FIXED 3                   | CUSIP: 36179M2P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5118638 | PA      | $4714327.59    | 0.35%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CITIGROUP REVERSE REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -474387495 | PA      | $-474897461.88 | -35.56%           |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784551 G2 11/46 FIXED 3                   | CUSIP: 3622A3BU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4304164 | PA      | $3898537.78    | 0.29%             | 2046-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 627038 G2 10/43 FIXED 3.5                 | CUSIP: 36291FS33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1702350 | PA      | $1570237.32    | 0.12%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 757039 GN 12/40 FIXED 4                      | CUSIP: 36230RZC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11921 | PA      | $11441.65      | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ2755 FN 05/48 FIXED 3.5                    | CUSIP: 3140H4BZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1025457 | PA      | $942893.38     | 0.07%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31417 FG 07/37 FIXED 5.5            | CUSIP: 31281BSE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25517 | PA      | $26512.54      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7090 FN 10/37 FLOATING VAR                 | CUSIP: 3138EP2Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     944328 | PA      | $980553.81     | 0.07%             | 2037-10-01      | Floating      | 6.36%                 | 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        |    2000000 | PA      | $2004125.18    | 0.15%             | 2033-06-01      | Fixed         | 4.44%                 | 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        |  130950000 | PA      | $123121299.60  | 9.22%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781402 GN 02/32 FIXED 7.5                    | CUSIP: 36225BRX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9047 | PA      | $9510.60       | 0.00%             | 2032-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 497372 GN 12/28 FIXED 8                      | CUSIP: 36210NQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        760 | PA      | $764.98        | 0.00%             | 2028-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 713677 GN 08/39 FIXED 4.875                  | CUSIP: 36297J2J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58171 | PA      | $58586.54      | 0.00%             | 2039-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 745526 G2 08/30 FIXED 4.5                 | CUSIP: 3620C1HB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56066 | PA      | $56143.88      | 0.00%             | 2030-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 600399 GN 05/34 FIXED 5.5                    | CUSIP: 36200F7L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1247 | PA      | $1278.68       | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO6478 G2 07/62 FIXED 4.5                 | CUSIP: 3617FJFT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     280339 | PA      | $269592.86     | 0.02%             | 2062-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 462605 GN 03/28 FIXED 7                      | CUSIP: 36208V3N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2093 | PA      | $2101.04       | 0.00%             | 2028-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003876 G2 07/36 FIXED 5                   | CUSIP: 36202EJV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2889 | PA      | $2954.76       | 0.00%             | 2036-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 708331 GN 02/39 FIXED 6                      | CUSIP: 36297C4Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1187 | PA      | $1227.42       | 0.00%             | 2039-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0900 FN 07/43 FIXED VAR                    | CUSIP: 3140XGAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8360951 | PA      | $7942472.61    | 0.59%             | 2043-07-01      | Fixed         | 3.50%                 | 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        |    2298277 | PA      | $2412877.41    | 0.18%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546623 GN 12/34 FIXED 5.82                   | CUSIP: 36212XG82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97939 | PA      | $102381.31     | 0.01%             | 2034-12-15      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781481 GN 01/32 FIXED 7.5                    | CUSIP: 36225BUE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4789 | PA      | $5021.49       | 0.00%             | 2032-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004880 G2 12/40 FIXED 4.5                 | CUSIP: 36202FM52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4985 | PA      | $4904.05       | 0.00%             | 2040-12-20      | Fixed         | 4.50%                 | 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        |   37600000 | NC      | $1361.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 439486 GN 01/27 FIXED 7.5                    | CUSIP: 36207RF34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2648 | PA      | $2662.97       | 0.00%             | 2027-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 467451 GN 01/29 FIXED 6.5                    | CUSIP: 36209CH41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        424 | PA      | $429.51        | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782106 GN 07/36 FIXED 6.5                    | CUSIP: 36241KKT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4453 | PA      | $4737.19       | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | 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        |     147937 | PA      | $6029.34       | 0.00%             | 2044-07-25      | Floating      | 1.45%                 | 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        |     113268 | PA      | $18693.20      | 0.00%             | 2048-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 473539 GN 04/28 FIXED 6.5                    | CUSIP: 36209KBG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5234 | PA      | $5346.15       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE4503 G2 12/47 FIXED 3.5                 | CUSIP: 3617BYAC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     481306 | PA      | $445260.28     | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5296 FN 03/54 FIXED 5.5                    | CUSIP: 31418E3E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10554814 | PA      | $10664565.70   | 0.80%             | 2054-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0102 FN 06/56 FIXED 3.5                    | CUSIP: 3140FXDG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2949577 | PA      | $2698947.64    | 0.20%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 739341 GN 10/41 FIXED 3.5                    | CUSIP: 3620ATLW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56399 | PA      | $52649.98      | 0.00%             | 2041-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-146                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 146 SB         | CUSIP: 38382KWK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1942101 | PA      | $288591.57     | 0.02%             | 2050-10-20      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 683868 GN 02/38 FIXED 6                      | CUSIP: 36295XW50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        282 | PA      | $293.61        | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CS5746 G2 02/63 FIXED 2.5                 | CUSIP: 3618AYL32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     424210 | PA      | $348114.26     | 0.03%             | 2063-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31276 FG 01/36 FIXED 4.5            | CUSIP: 31281BMZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20099 | PA      | $20212.41      | 0.00%             | 2036-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3060 FN 07/32 FIXED 3                      | CUSIP: 31418CMJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1183679 | PA      | $1153835.24    | 0.09%             | 2032-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H06                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H06 FB         | CUSIP: 38375BPW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        354 | PA      | $352.59        | 0.00%             | 2062-01-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CF4589 G2 06/43 FIXED 3                   | CUSIP: 3617W6C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2642183 | PA      | $2377757.29    | 0.18%             | 2043-06-20      | 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        |     100710 | PA      | $102912.40     | 0.01%             | 2045-08-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                      | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A            | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1827278 | PA      | $1830531.10    | 0.14%             | 2030-10-25      | Floating      | 5.51%                 | 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        |    9021103 | PA      | $8076138.22    | 0.60%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004028 G2 09/37 FIXED 6                   | CUSIP: 36202EPM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        571 | PA      | $600.33        | 0.00%             | 2037-09-20      | Fixed         | 6.00%                 | 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        |   79160000 | PA      | $78647473.04   | 5.89%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 493532 GN 09/29 FIXED 6                      | CUSIP: 36210JHH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        300 | PA      | $312.94        | 0.00%             | 2029-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BL2178 G2 02/49 FIXED 4.5                 | CUSIP: 3617JEM38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     662552 | PA      | $645940.57     | 0.05%             | 2049-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-189                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 189 IM         | CUSIP: 38382MGJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20582955 | PA      | $3317892.03    | 0.25%             | 2050-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC4732 G2 10/47 FIXED 3.5                 | CUSIP: 3617B8HH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     137683 | PA      | $126777.46     | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | 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        |     455237 | PA      | $74660.58      | 0.01%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BR8988 G2 12/49 FIXED 3                   | CUSIP: 3617M76Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     340175 | PA      | $304644.25     | 0.02%             | 2049-12-20      | Fixed         | 3.00%                 | 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        |     757709 | PA      | $795140.09     | 0.06%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603592 GN 04/33 FIXED 6.5                    | CUSIP: 36200KRM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34351 | PA      | $34485.00      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603710 GN 05/33 FIXED 6.5                    | CUSIP: 36200KVB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8953 | PA      | $9176.34       | 0.00%             | 2033-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY2125 FN 06/53 FIXED 5                      | CUSIP: 3140NJLF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162705 | PA      | $163971.93     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG9019 FR 08/53 FIXED 5              | CUSIP: 3133CAAU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     890918 | PA      | $893724.73     | 0.07%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 593228 GN 09/32 FIXED 7                      | CUSIP: 36201UA53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11548 | PA      | $11715.45      | 0.00%             | 2032-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SC0086 FR 10/40 FIXED 2.5            | CUSIP: 3132D9CX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7746784 | PA      | $7016219.56    | 0.53%             | 2040-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004085 G2 02/38 FIXED 6                   | CUSIP: 36202ERE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2838 | PA      | $2983.76       | 0.00%             | 2038-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 462422 GN 12/27 FIXED 7.5                    | CUSIP: 36208VVP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         10 | PA      | $10.00         | 0.00%             | 2027-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 564919 GN 10/31 FIXED 7.5                    | CUSIP: 36213USG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3225 | PA      | $3246.34       | 0.00%             | 2031-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA6967 GN 08/42 FIXED 3.5                    | CUSIP: 36178EW47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29287 | PA      | $27393.66      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8492 FR 08/53 FIXED 5              | CUSIP: 3133C9NH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1219258 | PA      | $1223099.63    | 0.09%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780588 GN 06/27 FIXED 7                      | CUSIP: 36225AUM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.25         | 0.00%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U93SA5 PIMCO FPPSWAPTION 4.31 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $208229.19     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 11/25 0.00000                            | CUSIP: 912797RN9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     925000 | PA      | $920691.36     | 0.07%             | 2025-11-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 462737 GN 05/28 FIXED 6.5                    | CUSIP: 36208WBE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $139.14        | 0.00%             | 2028-05-15      | Fixed         | 6.50%                 | 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        |   22745333 | PA      | $22968914.26   | 1.72%             | 2054-08-01      | 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        |   10211920 | PA      | $10101464.81   | 0.76%             | 2034-10-25      | Fixed         | 4.23%                 | 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        |    3700000 | PA      | $3714297.39    | 0.28%             | 2037-04-20      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-71                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 71 WS          | CUSIP: 38378TAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     421432 | PA      | $209491.07     | 0.02%             | 2043-05-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS4975 FN 06/37 FIXED VAR                    | CUSIP: 3140XLQ50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202552 | PA      | $186486.20     | 0.01%             | 2037-06-01      | Fixed         | 2.00%                 | 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        |    1151562 | PA      | $1135745.85    | 0.09%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781607 GN 03/33 FIXED 6                      | CUSIP: 36225BYC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        807 | PA      | $843.64        | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL2144 GN 02/45 FIXED 4                      | CUSIP: 36183XLZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27358 | PA      | $26372.46      | 0.00%             | 2045-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU7598 FN 09/43 FIXED 3                      | CUSIP: 3138X7NQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23954 | PA      | $21959.40      | 0.00%             | 2043-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0321 G2 08/42 FIXED 5                   | CUSIP: 36179MLA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     255999 | PA      | $262759.51     | 0.02%             | 2042-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546625 GN 12/34 FIXED 5.68                   | CUSIP: 36212XHA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110794 | PA      | $116038.71     | 0.01%             | 2034-12-15      | Fixed         | 5.68%                 | 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        |    8923777 | PA      | $8202665.61    | 0.61%             | 2053-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U93RA6 PIMCO FPPSWAPTION 4.31 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $233961.78     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS3285 FN 09/39 FIXED 3.5                    | CUSIP: 3138WCUK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77451 | PA      | $74258.91      | 0.01%             | 2039-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 464451 GN 01/29 FIXED 6                      | CUSIP: 36208X5L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        465 | PA      | $470.16        | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002563 G2 03/28 FIXED 6.5                 | CUSIP: 36202CZ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        421 | PA      | $432.14        | 0.00%             | 2028-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BV9175 G2 09/49 FIXED 4                   | CUSIP: 3617NPFQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     293086 | PA      | $264812.06     | 0.02%             | 2049-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724182 GN 08/39 FIXED 5.5                    | CUSIP: 3620AARB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53688 | PA      | $55813.82      | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | 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        |  -17000000 | NC      | $-1.70         | -0.00%            |  |  |  | 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        |      73744 | PA      | $70705.99      | 0.01%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AO4573 GN 08/45 FIXED 3.5                    | CUSIP: 3617A5CJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107370 | PA      | $100426.72     | 0.01%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 552313 GN 01/32 FIXED 6                      | CUSIP: 36213ESA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $165.50        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 759339 G2 02/41 FIXED 4.5                 | CUSIP: 36230ULU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     537408 | PA      | $526996.86     | 0.04%             | 2041-02-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA0398 GN 06/42 FIXED 4                      | CUSIP: 36177WNP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     994151 | PA      | $945613.59     | 0.07%             | 2042-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9V6A7 PIMCO FPPSWAPTION 4.64 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   14000000 | NC      | $901674.20     | 0.07%             |  |  |  | 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        |     309938 | PA      | $1987.04       | 0.00%             | 2043-02-25      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005230 G2 11/41 FIXED 4                   | CUSIP: 36202FY34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1205 | PA      | $1141.42       | 0.00%             | 2041-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781842 GN 12/30 FIXED 8                      | CUSIP: 36241KBK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3610 | PA      | $3771.12       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | 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        |      41402 | PA      | $39805.43      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF4832 G2 04/48 FIXED 4                   | CUSIP: 3617GBLM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72166 | PA      | $68266.55      | 0.01%             | 2048-04-20      | 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        |     182902 | PA      | $8830.10       | 0.00%             | 2045-11-20      | Floating      | 0.34%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 596696 GN 11/32 FIXED 6.5                    | CUSIP: 36200B3D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1109 | PA      | $1131.83       | 0.00%             | 2032-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BS7499 G2 02/50 FIXED 3                   | CUSIP: 3617MJKL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1910531 | PA      | $1680262.06    | 0.13%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY8503 FN 08/53 FIXED 5.5                    | CUSIP: 3140NRNV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     894186 | PA      | $909008.96     | 0.07%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17232 FG 11/26 FIXED 3              | CUSIP: 3128PXA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100758 | PA      | $100049.80     | 0.01%             | 2026-11-01      | Fixed         | 3.00%                 | 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        |   10400000 | NC      | $105270.88     | 0.01%             |  |  |  | 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        |       5069 | PA      | $4835.90       | 0.00%             | 2047-08-15      | Fixed         | 4.00%                 | 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        |   10400000 | NC      | $171783.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 552317 GN 01/32 FIXED 6                      | CUSIP: 36213ESE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        321 | PA      | $333.65        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 448340 GN 04/31 FIXED 8                      | CUSIP: 36208EBH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12094 | PA      | $12130.50      | 0.00%             | 2031-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 763417 GN 05/31 FIXED 4.5                    | CUSIP: 36176D4A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76332 | PA      | $76566.73      | 0.01%             | 2031-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 793047 GN 02/42 FIXED 4                      | CUSIP: 36177ML59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9372 | PA      | $9033.80       | 0.00%             | 2042-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNR-2021-23                                                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 23 GI          | CUSIP: 38382NVV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9944067 | PA      | $1178973.53    | 0.09%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP6913 G2 08/61 FIXED 3.5                 | CUSIP: 3617FWVE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161501 | PA      | $144950.70     | 0.01%             | 2061-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3663 G2 05/46 FIXED 3.5                 | CUSIP: 36179SB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1618994 | PA      | $1508151.87    | 0.11%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN1098 G2 06/62 FIXED 4.5                 | CUSIP: 3617YYGF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     349396 | PA      | $336002.08     | 0.03%             | 2062-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AW6985 FN 07/34 FIXED 4                      | CUSIP: 3138XWXP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     303471 | PA      | $298526.10     | 0.02%             | 2034-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 719229 GN 07/40 FIXED 4.5                    | CUSIP: 3620A5A66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2488 | PA      | $2478.47       | 0.00%             | 2040-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 434985 GN 12/30 FIXED 8.5                    | CUSIP: 36207LF29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        542 | PA      | $545.62        | 0.00%             | 2030-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784346 G2 07/47 FIXED 3.5                 | CUSIP: 3622A2ZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     790474 | PA      | $731014.23     | 0.05%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0698 G2 01/43 FIXED 3                   | CUSIP: 36179MX39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3606143 | PA      | $3322792.28    | 0.25%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BC2612 FN 10/46 FIXED 3                      | CUSIP: 3140EW3W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70485 | PA      | $64019.83      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD8952 FN 11/46 FIXED 3                      | CUSIP: 3140FG5N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     245541 | PA      | $221655.59     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0427 FN 02/37 FIXED VAR                    | CUSIP: 3140XFPM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     302240 | PA      | $278152.48     | 0.02%             | 2037-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 757044 GN 12/40 FIXED 4                      | CUSIP: 36230RZH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8310 | PA      | $8031.18       | 0.00%             | 2040-12-15      | 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        |   17000000 | NC      | $196242.90     | 0.01%             |  |  |  | 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        |  -43400000 | NC      | $-4.34         | -0.00%            |  |  |  | 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        |   -7900000 | NC      | $-0.79         | -0.00%            |  |  |  | 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        |    6000000 | PA      | $6282740.82    | 0.47%             | 2054-11-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 743209 GN 04/40 FIXED 4.05                   | CUSIP: 3620AXVA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35326 | PA      | $35105.99      | 0.00%             | 2040-04-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD1970 G2 10/47 FIXED 3.5                 | CUSIP: 3617BHFK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110966 | PA      | $102244.56     | 0.01%             | 2047-10-20      | Fixed         | 3.50%                 | 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     | 0.01%             | 2044-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ6392 FN 11/26 FIXED 3                      | CUSIP: 3138AYC64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6235 | PA      | $6173.21       | 0.00%             | 2026-11-01      | Fixed         | 3.00%                 | 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        |    2387663 | PA      | $2504112.72    | 0.19%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 743298 GN 05/40 FIXED 4.05                   | CUSIP: 3620AXX37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     138882 | PA      | $133036.69     | 0.01%             | 2040-05-15      | Fixed         | 4.05%                 | 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        |     542441 | PA      | $555467.71     | 0.04%             | 2045-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1130 G2 07/28 FIXED 3                   | CUSIP: 36179NHF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52029 | PA      | $51346.87      | 0.00%             | 2028-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4287 FN 11/40 FIXED VAR                    | CUSIP: 3138ELXR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     293738 | PA      | $309699.60     | 0.02%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 840291 FH 11/41 FLOATING VAR         | CUSIP: 31347AKC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     538692 | PA      | $562826.51     | 0.04%             | 2041-11-01      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2513 G2 01/45 FIXED 4.5                 | CUSIP: 36179QYJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21841 | PA      | $21531.87      | 0.00%             | 2045-01-20      | 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        |     358281 | PA      | $375883.20     | 0.03%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004337 G2 01/39 FIXED 6                   | CUSIP: 36202EZA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29056 | PA      | $29647.86      | 0.00%             | 2039-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638221 GN 12/34 FIXED 6                      | CUSIP: 36291UAW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14913 | PA      | $15392.89      | 0.00%             | 2034-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697489 GN 09/38 FIXED 6                      | CUSIP: 36296P2W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        508 | PA      | $530.45        | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AK0730 FN 02/42 FLOATING VAR                 | CUSIP: 3138E4Y47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55917 | PA      | $57651.92      | 0.00%             | 2042-02-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB5640 GN 11/42 FIXED 3.5                    | CUSIP: 36178SHR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27058 | PA      | $25248.62      | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 755473 GN 09/40 FIXED 4.05                   | CUSIP: 36230QCJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50825 | PA      | $48694.87      | 0.00%             | 2040-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8AVA6 PIMCO FPPSWAPTION 4.098 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2900000 | NC      | $135835.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004311 G2 12/38 FIXED 6.5                 | CUSIP: 36202EYG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        530 | PA      | $529.56        | 0.00%             | 2038-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782448 GN 10/38 FIXED 6                      | CUSIP: 36241KWH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23343 | PA      | $24607.82      | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 548264 GN 01/32 FIXED 6                      | CUSIP: 36213AB94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        268 | PA      | $275.13        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785762 G2 11/51 FIXED 2.5                 | CUSIP: 3622ABJF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     140530 | PA      | $120564.48     | 0.01%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 486881 GN 02/29 FIXED 7                      | CUSIP: 36210A2N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        312 | PA      | $314.50        | 0.00%             | 2029-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 520485 GN 12/35 FIXED 5.5                    | CUSIP: 36211RF20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1937 | PA      | $1936.52       | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003638 G2 11/34 FIXED 6                   | CUSIP: 36202EBF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        468 | PA      | $490.13        | 0.00%             | 2034-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BO0365 G2 08/49 FIXED 4.5                 | CUSIP: 3617KFMN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     658720 | PA      | $640206.38     | 0.05%             | 2049-08-20      | Fixed         | 4.50%                 | 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        |     282532 | PA      | $187956.18     | 0.01%             | 2045-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 542027 GN 05/32 FIXED 6.5                    | CUSIP: 36212SD86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1213 | PA      | $1218.92       | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ6054 FN 12/26 FIXED 3                      | CUSIP: 3138AXWQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52093 | PA      | $51633.75      | 0.00%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                                  | FREDDIE MAC FHR 4839 UO                                | CUSIP: 3137FJJY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     596979 | PA      | $383524.96     | 0.03%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3310 G2 12/45 FIXED 3.5                 | CUSIP: 36179RVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7464959 | PA      | $6948017.26    | 0.52%             | 2045-12-20      | Fixed         | 3.50%                 | 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        |   17500000 | NC      | $0.18          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO5772 G2 07/62 FIXED 4.5                 | CUSIP: 3617FHMV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59135 | PA      | $56867.85      | 0.00%             | 2062-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN9802 G2 05/48 FIXED 3                   | CUSIP: 3617F93K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7349897 | PA      | $6541073.33    | 0.49%             | 2048-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5653 G2 12/48 FIXED 5                   | CUSIP: 36179UH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     349195 | PA      | $354321.94     | 0.03%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ2604 G2 09/48 FIXED 4                   | CUSIP: 3617HP3M4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     245664 | PA      | $231960.39     | 0.02%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546587 GN 04/34 FIXED 5.82                   | CUSIP: 36212XF42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22799 | PA      | $23228.97      | 0.00%             | 2034-04-15      | Fixed         | 5.82%                 | 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        |     256239 | PA      | $238407.31     | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM9966 FN 08/43 FIXED VAR                    | CUSIP: 3140XECC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21262069 | PA      | $20118810.06   | 1.51%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BR9416 GN 02/50 FIXED 3.5                    | CUSIP: 3617M8N93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     710410 | PA      | $651070.00     | 0.05%             | 2050-02-15      | Fixed         | 3.50%                 | 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        |   19358709 | PA      | $19472855.31   | 1.46%             | 2073-03-20      | Floating      | 5.39%                 | 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        |      42554 | PA      | $40935.64      | 0.00%             | 2047-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17826 FG 01/27 FIXED 3              | CUSIP: 3128PXVT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121222 | PA      | $120331.38     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 754138 GN 07/41 FIXED 4.5                    | CUSIP: 36230NS30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        790 | PA      | $780.46        | 0.00%             | 2041-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 514855 GN 06/30 FIXED 8                      | CUSIP: 36211J5Q6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1135 | PA      | $1155.41       | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | 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        |       9691 | PA      | $9245.74       | 0.00%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004447 G2 05/39 FIXED 5                   | CUSIP: 36202E5G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51891 | PA      | $53103.23      | 0.00%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004310 G2 12/38 FIXED 6                   | CUSIP: 36202EYF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15764 | PA      | $15930.55      | 0.00%             | 2038-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 513701 GN 06/29 FIXED 7.5                    | CUSIP: 36211HU25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        348 | PA      | $356.06        | 0.00%             | 2029-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE5651 G2 07/48 FIXED 4.5                 | CUSIP: 3617G0H45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     718760 | PA      | $707399.02     | 0.05%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 628130 GN 05/34 FIXED 5.5                    | CUSIP: 36291GY34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        994 | PA      | $998.91        | 0.00%             | 2034-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17900000 | NC      | $932353.72     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003897 G2 09/36 FIXED 5                   | CUSIP: 36202EKJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8780 | PA      | $8988.92       | 0.00%             | 2036-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 628389 G2 03/35 FIXED 5.5                 | CUSIP: 36291HC28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        449 | PA      | $463.40        | 0.00%             | 2035-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR3341 G2 11/62 FIXED 7                   | CUSIP: 3618AHWA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82017 | PA      | $84239.41      | 0.01%             | 2062-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1427 G2 11/50 FIXED 2.5                 | CUSIP: 3617U8SQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1614602 | PA      | $1374259.05    | 0.10%             | 2050-11-20      | Fixed         | 2.50%                 | 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        |   20000000 | NC      | $2.00          | 0.00%             |  |  |  | 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        |     176938 | PA      | $9255.14       | 0.00%             | 2043-06-20      | Floating      | 0.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BO5356 FN 12/49 FIXED 3                      | CUSIP: 3140K05S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     368531 | PA      | $328996.15     | 0.02%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5084 FR 06/53 FIXED 5              | CUSIP: 3133C5UH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108359 | PA      | $109039.16     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AA5970 G2 01/43 FIXED 3                   | CUSIP: 36178DT35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     323736 | PA      | $297365.72     | 0.02%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 720075 GN 06/39 FIXED 4.5                    | CUSIP: 3620A56L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     176358 | PA      | $176303.85     | 0.01%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5703 G2 01/49 FIXED 5.5                 | CUSIP: 36179UKQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     312881 | PA      | $302664.71     | 0.02%             | 2049-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1412 G2 11/50 FIXED 3.5                 | CUSIP: 3617U8R90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     774562 | PA      | $712379.34     | 0.05%             | 2050-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004113 G2 04/38 FIXED 5                   | CUSIP: 36202ESA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88327 | PA      | $90414.63      | 0.01%             | 2038-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN1124 G2 06/62 FIXED 4.5                 | CUSIP: 3617YYG91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114625 | PA      | $110231.10     | 0.01%             | 2062-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 709364 GN 08/39 FIXED 5.5                    | CUSIP: 36297EB95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4117 | PA      | $4221.54       | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 580936 GN 01/32 FIXED 7                      | CUSIP: 36201ELR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        615 | PA      | $621.31        | 0.00%             | 2032-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9B8A9 PIMCO FPPSWAPTION 4.43 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3800000 | NC      | $217714.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004260 G2 10/38 FIXED 6                   | CUSIP: 36202EWV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5836 | PA      | $6003.72       | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 745269 GN 06/40 FIXED 5                      | CUSIP: 3620C06E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4725 | PA      | $4797.55       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 726253 GN 10/42 FIXED 3.5                    | CUSIP: 3620ACZS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26103 | PA      | $24415.92      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 488894 GN 09/28 FIXED 7                      | CUSIP: 36210DC74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        163 | PA      | $163.82        | 0.00%             | 2028-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4656 G2 08/47 FIXED 5.5                 | CUSIP: 36179TE50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1034396 | PA      | $1044514.14    | 0.08%             | 2047-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AF0311 GN 08/43 FIXED 2.5                    | CUSIP: 36181FKY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128921 | PA      | $112340.77     | 0.01%             | 2043-08-15      | Fixed         | 2.50%                 | 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        |     991582 | PA      | $648866.74     | 0.05%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA2565 G2 05/47 FIXED 4.5                 | CUSIP: 3617AEZ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106054 | PA      | $103762.24     | 0.01%             | 2047-05-20      | Fixed         | 4.50%                 | 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      | $-878143.46    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 433571 GN 02/28 FIXED 7                      | CUSIP: 36207JT45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $53.31         | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AT0681 FN 03/43 FIXED 3                      | CUSIP: 3138WMXK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     212798 | PA      | $195855.34     | 0.01%             | 2043-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT0789 FR 10/48 FIXED 4              | CUSIP: 3132AC2W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7727131 | PA      | $7426011.80    | 0.56%             | 2048-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ1543 G2 09/48 FIXED 4                   | CUSIP: 3617HNWC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     993745 | PA      | $966016.90     | 0.07%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 651815 GN 05/36 FIXED 6                      | CUSIP: 36292LDU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        378 | PA      | $396.82        | 0.00%             | 2036-05-15      | Fixed         | 6.00%                 | 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        |     101195 | PA      | $97438.41      | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | 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        |     250348 | PA      | $239293.06     | 0.02%             | 2053-07-01      | Fixed         | 4.00%                 | 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        |     100000 | PA      | $101487.95     | 0.01%             | 2028-05-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4250 G2 02/47 FIXED 3                   | CUSIP: 36179SWK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     285225 | PA      | $253335.71     | 0.02%             | 2047-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003473 G2 11/33 FIXED 5.5                 | CUSIP: 36202D2E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1042 | PA      | $1068.14       | 0.00%             | 2033-11-20      | Fixed         | 5.50%                 | 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        |     182620 | PA      | $10245.27      | 0.00%             | 2042-06-20      | Floating      | 0.81%                 | 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        |     100000 | PA      | $101381.04     | 0.01%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY9962 FN 08/53 FIXED 5.5                    | CUSIP: 3140NTB84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     970434 | PA      | $987913.06     | 0.07%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003571 G2 06/34 FIXED 6.5                 | CUSIP: 36202D6G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        561 | PA      | $589.62        | 0.00%             | 2034-06-20      | Fixed         | 6.50%                 | 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        |     292946 | PA      | $276723.83     | 0.02%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U97WA1 PIMCO FPPSWAPTION 4.3075 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    7200000 | NC      | $383911.92     | 0.03%             |  |  |  | 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        |      45433 | PA      | $43698.12      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 774484 GN 09/41 FIXED 5                      | CUSIP: 36176SFZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29991 | PA      | $30372.69      | 0.00%             | 2041-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM1963 FN 02/45 FIXED VAR                    | CUSIP: 3140J6FD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     140678 | PA      | $132945.81     | 0.01%             | 2045-02-01      | Fixed         | 3.50%                 | 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        |   20200000 | NC      | $2.02          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 928169 FN 05/35 FIXED 5.5                    | CUSIP: 31412LFJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1551 | PA      | $1559.50       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 741977 G2 05/39 FIXED 5.5                 | CUSIP: 3620AWJW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114858 | PA      | $117739.74     | 0.01%             | 2039-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL V83307 FG 07/47 FIXED 3.5            | CUSIP: 3132L8U88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43212 | PA      | $40225.75      | 0.00%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 559461 GN 01/32 FIXED 6                      | CUSIP: 36213NQN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        302 | PA      | $313.32        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | 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        |    1187637 | PA      | $1217553.35    | 0.09%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM6188 FN 08/49 FLOATING VAR                 | CUSIP: 3140JA2W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     752623 | PA      | $785674.74     | 0.06%             | 2049-08-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2961 G2 07/45 FIXED 3.5                 | CUSIP: 36179RJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1433444 | PA      | $1336626.68    | 0.10%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785944 G2 02/52 FIXED 3                   | CUSIP: 3622ABP55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1110361 | PA      | $988874.49     | 0.07%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005240 G2 11/41 FIXED 6                   | CUSIP: 36202FZD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1601 | PA      | $1683.30       | 0.00%             | 2041-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 533517 GN 11/30 FIXED 8                      | CUSIP: 36212GVJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11026 | PA      | $11059.95      | 0.00%             | 2030-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 738348 G2 11/34 FIXED 5.5                 | CUSIP: 3620ASHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27119 | PA      | $27085.02      | 0.00%             | 2034-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM7303 GN 01/46 FIXED 3                      | CUSIP: 36184YDG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39556 | PA      | $35622.09      | 0.00%             | 2046-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4203                                           | FREDDIE MAC FHR 4203 DI                                | CUSIP: 3137B2CJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1659000 | PA      | $62663.09      | 0.00%             | 2033-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785565 G2 06/51 FIXED 2.5                 | CUSIP: 3622ABCA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     212300 | PA      | $181812.92     | 0.01%             | 2051-06-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH6574 FN 08/47 FIXED 4                      | CUSIP: 3140GVJU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39995 | PA      | $38486.87      | 0.00%             | 2047-08-01      | Fixed         | 4.00%                 | 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        |     572608 | PA      | $593259.06     | 0.04%             | 2045-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM9639 FN 11/36 FIXED VAR                    | CUSIP: 3140XDV94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12096631 | PA      | $11137169.81   | 0.83%             | 2036-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9M8A5 PIMCO FPPSWAPTION 4.44 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5600000 | NC      | $322650.16     | 0.02%             |  |  |  | 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        |    6446932 | PA      | $5764152.36    | 0.43%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 704105 GN 12/38 FIXED 7                      | CUSIP: 36296XGN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        164 | PA      | $171.47        | 0.00%             | 2038-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004015 G2 08/37 FIXED 5                   | CUSIP: 36202EN88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        432 | PA      | $442.25        | 0.00%             | 2037-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 591849 GN 01/33 FIXED 5.5                    | CUSIP: 36201SQA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        689 | PA      | $712.03        | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AS4344 G2 07/46 FIXED 3.5                 | CUSIP: 36193NZH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121890 | PA      | $111234.42     | 0.01%             | 2046-07-20      | Fixed         | 3.50%                 | 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        |     819306 | PA      | $818699.17     | 0.06%             | 2043-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BR6606 GN 02/50 FIXED 3                      | CUSIP: 3617M5KT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     348417 | PA      | $312026.21     | 0.02%             | 2050-02-15      | Fixed         | 3.00%                 | 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        |   40594817 | PA      | $41606142.64   | 3.12%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 466542 GN 02/29 FIXED 6.5                    | CUSIP: 36209BHT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $161.94        | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785789 G2 12/51 FIXED 2.5                 | CUSIP: 3622ABKA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     145660 | PA      | $124750.25     | 0.01%             | 2051-12-20      | Fixed         | 2.50%                 | 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        |     110966 | PA      | $111678.86     | 0.01%             | 2041-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2570 G2 05/48 FIXED 4                   | CUSIP: 3617G82B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33077 | PA      | $31295.79      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31138 FG 09/34 FIXED 5.5            | CUSIP: 31281BHP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4157 | PA      | $4245.77       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | 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        |    4233695 | PA      | $4258367.53    | 0.32%             | 2073-07-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 530983 GN 06/31 FIXED 6.5                    | CUSIP: 36212D2Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3128 | PA      | $3231.61       | 0.00%             | 2031-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546572 GN 10/33 FIXED 5.25                   | CUSIP: 36212XFM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147471 | PA      | $148423.37     | 0.01%             | 2033-10-15      | Fixed         | 5.25%                 | 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        |     353197 | PA      | $355482.14     | 0.03%             | 2041-03-20      | Fixed         | 4.50%                 | 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        |    1090641 | PA      | $1150123.72    | 0.09%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 734362 GN 03/42 FIXED 3.5                    | CUSIP: 3620AMZ39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56186 | PA      | $52768.95      | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | 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        |   15290000 | PA      | $15211310.93   | 1.14%             | 2054-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD2836 G2 01/48 FIXED 4                   | CUSIP: 3617BJEH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     896506 | PA      | $849889.01     | 0.06%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 590382 GN 08/32 FIXED 6.5                    | CUSIP: 36201Q2P7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        398 | PA      | $408.88        | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BRYANT PARK FUNDING 2024-22A LTD                                  | BRYANT PARK FUNDING LTD BRYPK 2024 22A A1 144A         | CUSIP: 11766CAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2009792.80    | 0.15%             | 2037-04-15      | Floating      | 5.94%                 | 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        |     373227 | PA      | $377277.46     | 0.03%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8813 G2 04/48 FIXED 4                   | CUSIP: 3617B0YJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     181183 | PA      | $170530.76     | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 458068 GN 03/29 FIXED 6                      | CUSIP: 36208QZ90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        779 | PA      | $789.00        | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI6217 G2 10/48 FIXED 5                   | CUSIP: 3617HF4A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50446 | PA      | $50304.58      | 0.00%             | 2048-10-20      | Fixed         | 5.00%                 | 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        |    5152190 | PA      | $4600332.08    | 0.34%             | 2055-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 605066 G2 03/34 FIXED 6                   | CUSIP: 36200NFF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8786 | PA      | $9059.93       | 0.00%             | 2034-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 487108 GN 04/29 FIXED 6                      | CUSIP: 36210BDM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        321 | PA      | $331.78        | 0.00%             | 2029-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-28                                         | FANNIE MAE FNR 2020 28 KS                              | CUSIP: 3136B9RE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1037160 | PA      | $61319.49      | 0.00%             | 2043-06-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE6527 G2 02/48 FIXED 3.5                 | CUSIP: 3617G1HC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     264394 | PA      | $244269.70     | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | 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        |    5074904 | PA      | $5326228.27    | 0.40%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 841056 FH 01/50 FLOATING VAR         | CUSIP: 31288QE55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     769132 | PA      | $758639.04     | 0.06%             | 2050-01-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 330                                            | FREDDIEMAC STRIP FHS 330 F4                            | CUSIP: 31351DDT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202346 | PA      | $200016.78     | 0.01%             | 2037-10-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 466949 GN 04/28 FIXED 6.5                    | CUSIP: 36209BWJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         58 | PA      | $58.81         | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-65                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 65 YI          | CUSIP: 38382E5Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     901737 | PA      | $132546.26     | 0.01%             | 2050-05-20      | Fixed         | 2.50%                 | 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        |     955290 | PA      | $955553.36     | 0.07%             | 2074-04-20      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AC4308 GN 01/46 FIXED 3                      | CUSIP: 36179DYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     275514 | PA      | $248112.02     | 0.02%             | 2046-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 778753 GN 01/42 FIXED 3.5                    | CUSIP: 36176W5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4278 | PA      | $4018.05       | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4306 FN 04/51 FIXED 2.5                    | CUSIP: 31418DYC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5638721 | PA      | $4789122.54    | 0.36%             | 2051-04-01      | Fixed         | 2.50%                 | 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        |    1996629 | PA      | $2009056.57    | 0.15%             | 2073-03-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 636501 GN 04/27 FIXED 6                      | CUSIP: 36291SDE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8521 | PA      | $8567.12       | 0.00%             | 2027-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BT1991 G2 03/50 FIXED 3.5                 | CUSIP: 3617MQF84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     715593 | PA      | $658922.67     | 0.05%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE1638 G2 12/47 FIXED 4                   | CUSIP: 3617BUZB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52468 | PA      | $51004.87      | 0.00%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5976 G2 06/49 FIXED 3.5                 | CUSIP: 36179UT93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     484334 | PA      | $436828.47     | 0.03%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2024-1A LTD                                       | APEX CREDIT CLO LLC APEXC 2024 1A A1 144A              | CUSIP: 03753AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    2000000 | PA      | $2010435.12    | 0.15%             | 2036-04-20      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8402 FR 02/54 FIXED 6              | CUSIP: 3132DWKP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2124292 | PA      | $2173945.64    | 0.16%             | 2054-02-01      | Fixed         | 6.00%                 | 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        |   17000000 | NC      | $29030.90      | 0.00%             |  |  |  | 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        |      51328 | PA      | $2264.78       | 0.00%             | 2046-10-25      | Floating      | 1.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003429 G2 08/33 FIXED 5.5                 | CUSIP: 36202DY21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1050 | PA      | $1076.66       | 0.00%             | 2033-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002590 G2 05/28 FIXED 6.5                 | CUSIP: 36202C2X0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        110 | PA      | $113.31        | 0.00%             | 2028-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AS6888 G2 03/46 FIXED 3.5                 | CUSIP: 36193SUM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     766319 | PA      | $708964.92     | 0.05%             | 2046-03-20      | 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        |    3300000 | PA      | $3348419.91    | 0.25%             | 2031-01-25      | Fixed         | 4.66%                 | 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      | $-124533.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BR9001 G2 03/50 FIXED 3                   | CUSIP: 3617M8AA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     203432 | PA      | $182121.57     | 0.01%             | 2050-03-20      | Fixed         | 3.00%                 | 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        |  -18800000 | NC      | $-2148.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 496465 GN 01/29 FIXED 6.5                    | CUSIP: 36210MQS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5693 | PA      | $5807.04       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5702 G2 01/49 FIXED 5                   | CUSIP: 36179UKP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74629 | PA      | $73942.47      | 0.01%             | 2049-01-20      | Fixed         | 5.00%                 | 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        |      79945 | PA      | $4341.38       | 0.00%             | 2038-02-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1282 G2 09/43 FIXED 5                   | CUSIP: 36179NM70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41145 | PA      | $41198.90      | 0.00%             | 2043-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9595 G2 11/47 FIXED 3.5                 | CUSIP: 3617BRUU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     748626 | PA      | $692582.81     | 0.05%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 555835 GN 07/31 FIXED 6                      | CUSIP: 36213JPU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        462 | PA      | $469.86        | 0.00%             | 2031-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003610 G2 09/34 FIXED 5.5                 | CUSIP: 36202EAK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        282 | PA      | $291.84        | 0.00%             | 2034-09-20      | Fixed         | 5.50%                 | 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        |     642095 | PA      | $636731.36     | 0.05%             | 2038-03-01      | Fixed         | 4.00%                 | 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        |   16700000 | NC      | $8800.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4712 G2 09/47 FIXED 4.5                 | CUSIP: 36179TGV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53972 | PA      | $52760.14      | 0.00%             | 2047-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BK4763 G2 11/48 FIXED 4.5                 | CUSIP: 3617J5JG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     151121 | PA      | $147827.24     | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785568 G2 08/51 FIXED 2.5                 | CUSIP: 3622ABCD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     412287 | PA      | $353715.02     | 0.03%             | 2051-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 429667 GN 11/33 FIXED 6                      | CUSIP: 36207EJL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        769 | PA      | $798.15        | 0.00%             | 2033-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN6663 GN 06/45 FIXED 3.5                    | CUSIP: 36186PML5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     214321 | PA      | $200466.48     | 0.02%             | 2045-06-15      | Fixed         | 3.50%                 | 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        |     104033 | PA      | $4289.20       | 0.00%             | 2045-09-25      | Floating      | 1.67%                 | 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        |   18400000 | NC      | $1.84          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR3346 G2 11/62 FIXED 7                   | CUSIP: 3618AHWF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126365 | PA      | $129789.70     | 0.01%             | 2062-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 785747 GN 07/49 FIXED 4.5                    | CUSIP: 3622ABHY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3408546 | PA      | $3354833.09    | 0.25%             | 2049-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 562352 GN 01/34 FIXED 5.5                    | CUSIP: 36213RWM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        492 | PA      | $497.60        | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 670160 GN 01/39 FIXED 6                      | CUSIP: 36295GQM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43864 | PA      | $45663.88      | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5806 G2 03/49 FIXED 3.5                 | CUSIP: 36179UNX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75279 | PA      | $67895.47      | 0.01%             | 2049-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AV3233 G2 11/46 FIXED 3.5                 | CUSIP: 36195DSW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     348000 | PA      | $321948.02     | 0.02%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 671330 GN 07/37 FIXED 6                      | CUSIP: 36295HY38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        373 | PA      | $384.83        | 0.00%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU6648 FN 08/28 FIXED 2                      | CUSIP: 3138X6L60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46970 | PA      | $45655.94      | 0.00%             | 2028-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004372 G2 02/39 FIXED 6.5                 | CUSIP: 36202E2D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        734 | PA      | $787.21        | 0.00%             | 2039-02-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 468615 GN 09/31 FIXED 7.5                    | CUSIP: 36209DSC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3772 | PA      | $3807.40       | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5403 G2 08/48 FIXED 6.5                 | CUSIP: 36179UAC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1550 | PA      | $1629.79       | 0.00%             | 2048-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q51096 FG 09/47 FIXED 3.5            | CUSIP: 3132XTGE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     245908 | PA      | $229411.16     | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 450142 GN 12/27 FIXED 7                      | CUSIP: 36208GBK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1924 | PA      | $1924.72       | 0.00%             | 2027-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A97631 FG 03/41 FIXED 5.5            | CUSIP: 312946PQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41335 | PA      | $42670.09      | 0.00%             | 2041-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 586780 GN 05/33 FIXED 6                      | CUSIP: 36201L2M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        600 | PA      | $611.89        | 0.00%             | 2033-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 550750 GN 12/35 FIXED 5.5                    | CUSIP: 36213CZP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5320 | PA      | $5511.76       | 0.00%             | 2035-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 570142 GN 12/31 FIXED 6                      | CUSIP: 36200RLX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        662 | PA      | $688.61        | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 634510 GN 09/38 FIXED 5.5                    | CUSIP: 36291P3T1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15688 | PA      | $16323.21      | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17900000 | NC      | $1162894.98    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF1310 G2 03/48 FIXED 4                   | CUSIP: 3617G7N35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46583 | PA      | $44367.46      | 0.00%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 722759 GN 08/39 FIXED 6                      | CUSIP: 3620A85U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18942 | PA      | $19542.54      | 0.00%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546621 GN 10/34 FIXED 5.87                   | CUSIP: 36212XG66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49783 | PA      | $52113.47      | 0.00%             | 2034-10-15      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL U91486 FG 05/43 FIXED 4              | CUSIP: 3132HBRF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     897653 | PA      | $877803.33     | 0.07%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 659146 GN 08/36 FIXED 7                      | CUSIP: 36294THX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17825 | PA      | $17930.34      | 0.00%             | 2036-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR2133 G2 05/61 FIXED 4                   | CUSIP: 3618AGLN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1078798 | PA      | $1002304.22    | 0.08%             | 2061-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 673009 GN 08/38 FIXED 6                      | CUSIP: 36295KVA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        628 | PA      | $661.74        | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782288 GN 12/37 FIXED 6.5                    | CUSIP: 36241KRH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10939 | PA      | $11635.80      | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 566503 GN 11/33 FIXED 5.5                    | CUSIP: 36213WKQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2766 | PA      | $2826.90       | 0.00%             | 2033-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 497343 GN 12/28 FIXED 6                      | CUSIP: 36210NP45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1642 | PA      | $1660.90       | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618687 GN 10/36 FIXED 7                      | CUSIP: 36290VJ88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34785 | PA      | $35420.11      | 0.00%             | 2036-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004648 G2 03/40 FIXED 4                   | CUSIP: 36202FEV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3758 | PA      | $3521.32       | 0.00%             | 2040-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5272 FN 02/54 FIXED 6                      | CUSIP: 31418E2E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     459899 | PA      | $471188.20     | 0.04%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 680512 GN 01/40 FIXED 6                      | CUSIP: 36295UAM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1276 | PA      | $1316.63       | 0.00%             | 2040-01-15      | Fixed         | 6.00%                 | 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        |    1469649 | PA      | $1357201.19    | 0.10%             | 2046-01-15      | Fixed         | 3.36%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 03/19/25-2Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-382116.10    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5534 G2 12/38 FIXED 7                   | CUSIP: 36179UEF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9492 | PA      | $9739.30       | 0.00%             | 2038-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 636507 GN 04/35 FIXED 6                      | CUSIP: 36291SDL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77455 | PA      | $81566.64      | 0.01%             | 2035-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 458930 GN 10/28 FIXED 6                      | CUSIP: 36208RY32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        124 | PA      | $126.02        | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-6                                   | JP MORGAN MORTGAGE TRUST JPMMT 2019 6 A11 144A         | CUSIP: 46651BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     518987 | PA      | $500290.44     | 0.04%             | 2049-12-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781345 GN 10/31 FIXED 6                      | CUSIP: 36225BP69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $74.88         | 0.00%             | 2031-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8447 FR 07/54 FIXED 6              | CUSIP: 3132DWL43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2952247 | PA      | $3020442.63    | 0.23%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5141 G2 04/48 FIXED 6                   | CUSIP: 36179TWA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96074 | PA      | $101019.62     | 0.01%             | 2048-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 082088 G2 06/38 FLOATING VAR              | CUSIP: 36225EKA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23995 | PA      | $24512.40      | 0.00%             | 2038-06-20      | Floating      | 5.62%                 | 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        |   97248190 | PA      | $88660608.84   | 6.64%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003569 G2 06/34 FIXED 5.5                 | CUSIP: 36202D6E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        351 | PA      | $362.89        | 0.00%             | 2034-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0063 FR 08/49 FIXED 3.5            | CUSIP: 3132DMB87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1249071 | PA      | $1156533.53    | 0.09%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N30139 FG 10/37 FIXED 5.5            | CUSIP: 31281AEL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2514 | PA      | $2511.72       | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0613 G2 09/55 FIXED 7                   | CUSIP: 3618N5VF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4111560 | PA      | $4145991.07    | 0.31%             | 2055-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3937 G2 09/46 FIXED 3.5                 | CUSIP: 36179SLS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     423069 | PA      | $393753.00     | 0.03%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 436760 GN 02/27 FIXED 7.5                    | CUSIP: 36207NE91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3430 | PA      | $3434.48       | 0.00%             | 2027-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004182 G2 07/38 FIXED 5.5                 | CUSIP: 36202EUF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12634 | PA      | $12627.12      | 0.00%             | 2038-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1922 G2 05/44 FIXED 5                   | CUSIP: 36179QD32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72421 | PA      | $74291.51      | 0.01%             | 2044-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB6965 G2 07/47 FIXED 3.5                 | CUSIP: 3617AXW26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     895000 | PA      | $824659.11     | 0.06%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003248 G2 06/32 FIXED 5.5                 | CUSIP: 36202DTD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        232 | PA      | $239.20        | 0.00%             | 2032-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE9991 GN 06/43 FIXED 2.5                    | CUSIP: 36181EC44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51306 | PA      | $44664.84      | 0.00%             | 2043-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780478 GN 12/26 FIXED 7                      | CUSIP: 36225AQ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.02         | 0.00%             | 2026-12-15      | Fixed         | 7.00%                 | 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        |      70652 | PA      | $66662.28      | 0.00%             | 2038-04-01      | Fixed         | 3.00%                 | 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        |     103240 | PA      | $15184.36      | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546602 GN 06/34 FIXED 5.52                   | CUSIP: 36212XGK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74036 | PA      | $76741.98      | 0.01%             | 2034-06-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY5374 FN 07/53 FIXED 6                      | CUSIP: 3140NM6L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     752886 | PA      | $782891.63     | 0.06%             | 2053-07-01      | Fixed         | 6.00%                 | 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        |    1457395 | PA      | $1526494.93    | 0.11%             | 2054-07-01      | Fixed         | 6.50%                 | 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        |   -1000000 | PA      | $-894941.49    | -0.07%            | 2040-10-16      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1447 G2 11/43 FIXED 3                   | CUSIP: 36179NTC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1161071 | PA      | $1065514.82    | 0.08%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                | FANNIE MAE FNR 2007 96 BF                              | CUSIP: 31396XXB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     553316 | PA      | $554076.53     | 0.04%             | 2037-10-25      | Floating      | 5.17%                 | 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        |      38899 | PA      | $1964.47       | 0.00%             | 2037-10-15      | Floating      | 1.65%                 | 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        |   -1900000 | PA      | $-1669175.97   | -0.12%            | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31313 FG 09/36 FIXED 5.5            | CUSIP: 31281BN63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10299 | PA      | $10705.05      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 558746 GN 07/31 FIXED 7                      | CUSIP: 36213MWF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8650 | PA      | $8752.88       | 0.00%             | 2031-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 548626 GN 11/32 FIXED 6                      | CUSIP: 36213APK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        591 | PA      | $591.64        | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL2252 GN 03/45 FIXED 4                      | CUSIP: 36183XQD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49687 | PA      | $47895.73      | 0.00%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H28                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H28 FA         | CUSIP: 38375BYE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2044 | PA      | $2046.51       | 0.00%             | 2062-09-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AP4977 G2 09/45 FIXED 3.5                 | CUSIP: 36188SQ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105913 | PA      | $97459.85      | 0.01%             | 2045-09-20      | Fixed         | 3.50%                 | 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        |     191656 | PA      | $202245.41     | 0.02%             | 2055-06-01      | Fixed         | 6.50%                 | 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        |   15096783 | PA      | $13505634.78   | 1.01%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18641 FG 04/32 FIXED 3              | CUSIP: 3128MMWB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2150721 | PA      | $2097863.34    | 0.16%             | 2032-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 612936 GN 07/33 FIXED 5.5                    | CUSIP: 36202X4V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3332 | PA      | $3452.05       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 607768 GN 03/33 FIXED 5.5                    | CUSIP: 36202SFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1056 | PA      | $1067.33       | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546616 GN 10/34 FIXED 5.93                   | CUSIP: 36212XGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36221 | PA      | $37772.32      | 0.00%             | 2034-10-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY0044 FN 05/53 FIXED 4.5                    | CUSIP: 3140NGBN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     452073 | PA      | $440481.93     | 0.03%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3802 G2 07/46 FIXED 3                   | CUSIP: 36179SGK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     904318 | PA      | $820012.09     | 0.06%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1060 G2 06/28 FIXED 3                   | CUSIP: 36179NE95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30973 | PA      | $30521.63      | 0.00%             | 2028-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003831 G2 03/36 FIXED 6                   | CUSIP: 36202EHG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1241 | PA      | $1300.77       | 0.00%             | 2036-03-20      | Fixed         | 6.00%                 | 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        |   60770000 | PA      | $58908450.21   | 4.41%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2009-115                               | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 115 IO         | CUSIP: 38376GCX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13675 | PA      | $0.26          | 0.00%             | 2051-11-16      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W8                                      | FANNIEMAE WHOLE LOAN FNW 2002 W8 A6                    | CUSIP: 31392DR38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     382517 | PA      | $378356.69     | 0.03%             | 2042-03-25      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 433705 GN 04/28 FIXED 6.5                    | CUSIP: 36207JYA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2102 | PA      | $2138.29       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 773221 GN 03/42 FIXED 3.5                    | CUSIP: 36176QYS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2180 | PA      | $2055.30       | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4783 G2 10/47 FIXED 6                   | CUSIP: 36179TJ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20848 | PA      | $21922.15      | 0.00%             | 2047-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9QXA8 PIMCO FPPSWAPTION 4.55875 CALL USD           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   13000000 | NC      | $800768.80     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ3933 G2 09/62 FIXED 5                   | CUSIP: 3618A6LN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     192457 | PA      | $190851.27     | 0.01%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AQ0081 G2 11/45 FIXED 3.5                 | CUSIP: 36189MCS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10885 | PA      | $10004.10      | 0.00%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA0179 GN 05/42 FIXED 3.25                   | CUSIP: 36177WFU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     258986 | PA      | $239868.70     | 0.02%             | 2042-05-15      | Fixed         | 3.25%                 | 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        |    2207422 | PA      | $1960040.42    | 0.15%             | 2046-12-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2010-46                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 46 OC          | CUSIP: 38376YAM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     191450 | PA      | $180511.20     | 0.01%             | 2035-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 737973 G2 01/40 FIXED 5.5                 | CUSIP: 3620AR2E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     211281 | PA      | $217413.06     | 0.02%             | 2040-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 565091 GN 06/32 FIXED 6.5                    | CUSIP: 36213UXU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1241 | PA      | $1283.96       | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N30991 FG 07/33 FIXED 5              | CUSIP: 31281BC40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4063 | PA      | $4087.53       | 0.00%             | 2033-07-01      | Fixed         | 5.00%                 | 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        |     215066 | PA      | $204941.19     | 0.02%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 737004 G2 04/36 FIXED 5.5                 | CUSIP: 3620AQX99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83714 | PA      | $84165.42      | 0.01%             | 2036-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH0033 G2 05/48 FIXED 4.5                 | CUSIP: 3617GWBA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1152179 | PA      | $1127822.93    | 0.08%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 786107 G2 03/52 FIXED 3                   | CUSIP: 3622ABU83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     143523 | PA      | $126980.58     | 0.01%             | 2052-03-20      | Fixed         | 3.00%                 | 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        |    1896135 | PA      | $1990715.18    | 0.15%             | 2054-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 693467 GN 06/38 FIXED 5.5                    | CUSIP: 36296KMQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6331 | PA      | $6573.65       | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G60344 FG 12/45 FIXED 4              | CUSIP: 31335ALZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3127357 | PA      | $3030264.89    | 0.23%             | 2045-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9995 FN 04/30 FIXED 6.66                   | CUSIP: 3140LMC98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1984588 | PA      | $2139727.50    | 0.16%             | 2030-04-01      | Fixed         | 6.66%                 | 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        |    1300000 | PA      | $1309974.54    | 0.10%             | 2036-10-20      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 798851 G2 01/43 FIXED 3.5                 | CUSIP: 36177TZR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     647880 | PA      | $593999.07     | 0.04%             | 2043-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18663 FG 10/32 FIXED 3              | CUSIP: 3128MMWZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     828151 | PA      | $808115.30     | 0.06%             | 2032-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 930917 FN 04/39 FIXED 4                      | CUSIP: 31412PG21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83941 | PA      | $83346.44      | 0.01%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003489 G2 12/33 FIXED 6                   | CUSIP: 36202D2W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        727 | PA      | $756.32        | 0.00%             | 2033-12-20      | Fixed         | 6.00%                 | 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        |    1262072 | PA      | $1293211.41    | 0.10%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004849 G2 11/40 FIXED 4                   | CUSIP: 36202FL61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49249 | PA      | $46636.85      | 0.00%             | 2040-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004193 G2 07/38 FIXED 5                   | CUSIP: 36202EUS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     338634 | PA      | $345495.08     | 0.03%             | 2038-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004224 G2 08/38 FIXED 7                   | CUSIP: 36202EVR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        638 | PA      | $672.41        | 0.00%             | 2038-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9EFA5 PIMCO FPPSWAPTION 4.52 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $235138.41     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004039 G2 10/37 FIXED 6                   | CUSIP: 36202EPY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28965 | PA      | $30455.05      | 0.00%             | 2037-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4643 FN 05/42 FIXED 3                      | CUSIP: 31418EER7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     608836 | PA      | $562501.24     | 0.04%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2903 FN 02/32 FIXED 3                      | CUSIP: 31418CGM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     411448 | PA      | $401509.72     | 0.03%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U5S7A7 PIMCO SWAPTION 5.5 PUT USD 20251017          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   39000000 | NC      | $3.90          | 0.00%             |  |  |  | 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        |     519191 | PA      | $349029.81     | 0.03%             | 2045-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5399 G2 08/48 FIXED 4.5                 | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     280998 | PA      | $278132.91     | 0.02%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9968 FN 11/33 FIXED 5.82                   | CUSIP: 3140LMCE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1230000 | PA      | $1336509.02    | 0.10%             | 2033-11-01      | Fixed         | 5.82%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H10                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H10 FA         | CUSIP: 38376RUH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     838385 | PA      | $841408.49     | 0.06%             | 2066-04-20      | Floating      | 5.35%                 | 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        |  -20800000 | PA      | $-16769648.69  | -1.26%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2151 G2 08/44 FIXED 5                   | CUSIP: 36179QL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     725953 | PA      | $743361.74     | 0.06%             | 2044-08-20      | Fixed         | 5.00%                 | 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      | $2906896.31    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 615672 GN 10/33 FIXED 6.5                    | CUSIP: 36290R6H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1634 | PA      | $1640.63       | 0.00%             | 2033-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784657 G2 01/49 FIXED 5                   | CUSIP: 3622AAB29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56362 | PA      | $55717.16      | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA1195 FN 01/55 FIXED VAR                    | CUSIP: 3140W1KH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3848612 | PA      | $3991895.70    | 0.30%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZA2860 FR 01/28 FIXED 2.5            | CUSIP: 31329LE99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24672 | PA      | $24302.01      | 0.00%             | 2028-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003443 G2 09/33 FIXED 5.5                 | CUSIP: 36202DZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69372 | PA      | $71127.34      | 0.01%             | 2033-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CL2892 G2 09/46 FIXED 3                   | CUSIP: 3617YAF94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1238141 | PA      | $1115339.63    | 0.08%             | 2046-09-20      | Fixed         | 3.00%                 | 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        |   18500000 | NC      | $1.85          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784020 G2 05/45 FIXED 4.5                 | CUSIP: 3622A2PD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     310756 | PA      | $305303.44     | 0.02%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BS2505 G2 01/50 FIXED 3                   | CUSIP: 3617MCYA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2189107 | PA      | $1925272.59    | 0.14%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 781923 FH 09/34 FLOATING VAR         | CUSIP: 31349TD40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     259697 | PA      | $267439.05     | 0.02%             | 2034-09-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003273 G2 08/32 FIXED 6                   | CUSIP: 36202DT68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        314 | PA      | $326.10        | 0.00%             | 2032-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN0932 FN 12/48 FIXED 4                      | CUSIP: 3140JHBA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     281543 | PA      | $270265.48     | 0.02%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV3789 FN 11/43 FIXED 5                      | CUSIP: 3138XFF75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2838 | PA      | $2884.57       | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782029 GN 01/36 FIXED 6                      | CUSIP: 36241KHE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        848 | PA      | $894.11        | 0.00%             | 2036-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785663 G2 10/51 FIXED 2.5                 | CUSIP: 3622ABFC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     339135 | PA      | $290956.23     | 0.02%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 595082 GN 10/32 FIXED 6                      | CUSIP: 36200ACT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        207 | PA      | $219.13        | 0.00%             | 2032-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003808 G2 01/36 FIXED 6                   | CUSIP: 36202EGR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     201993 | PA      | $211745.77     | 0.02%             | 2036-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4695 FN 07/42 FIXED 3                      | CUSIP: 31418EGD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     138814 | PA      | $128207.93     | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 571228 GN 10/31 FIXED 7                      | CUSIP: 36200SSR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        325 | PA      | $333.53        | 0.00%             | 2031-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 517282 GN 03/30 FIXED 7.5                    | CUSIP: 36211MUF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1908 | PA      | $1937.49       | 0.00%             | 2030-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 691752 GN 07/38 FIXED 5.5                    | CUSIP: 36296HQD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4301 | PA      | $4469.12       | 0.00%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 891588 G2 03/58 FLOATING VAR              | CUSIP: 36208AZN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     176639 | PA      | $177682.33     | 0.01%             | 2058-03-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DC7008 G2 07/54 FIXED 6.5                 | CUSIP: 3618HMYD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     582504 | PA      | $600626.36     | 0.04%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 466186 GN 04/31 FIXED 6.5                    | CUSIP: 36209A2T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        358 | PA      | $366.17        | 0.00%             | 2031-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H29                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H29 FA         | CUSIP: 38376RMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        478 | PA      | $479.57        | 0.00%             | 2065-10-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6465 G2 02/50 FIXED 3.5                 | CUSIP: 36179VFE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72653 | PA      | $65255.60      | 0.00%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                           | FREDDIE MAC FHR 4988 IL                                | CUSIP: 3137FUPG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20106138 | PA      | $3419581.59    | 0.26%             | 2050-06-25      | Fixed         | 3.00%                 | 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        |      42966 | PA      | $42513.80      | 0.00%             | 2033-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 647978 GN 08/35 FIXED 5.5                    | CUSIP: 36292F2K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        450 | PA      | $466.19        | 0.00%             | 2035-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1199 G2 08/28 FIXED 3                   | CUSIP: 36179NKL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105884 | PA      | $104573.87     | 0.01%             | 2028-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 607533 GN 06/34 FIXED 6.5                    | CUSIP: 36201Y4S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49739 | PA      | $52912.35      | 0.00%             | 2034-06-15      | Fixed         | 6.50%                 | 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        |   11069553 | PA      | $11176864.50   | 0.84%             | 2054-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 486960 GN 02/29 FIXED 6                      | CUSIP: 36210A5V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         25 | PA      | $24.70         | 0.00%             | 2029-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 699307 GN 10/38 FIXED 6                      | CUSIP: 36296R3Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        354 | PA      | $367.43        | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604142 GN 03/33 FIXED 5.5                    | CUSIP: 36200MEP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        726 | PA      | $744.74        | 0.00%             | 2033-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 775616 G2 11/41 FIXED 4.5                 | CUSIP: 36176TN95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19801 | PA      | $19501.16      | 0.00%             | 2041-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 658915 GN 08/36 FIXED 6.5                    | CUSIP: 36294TAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68491 | PA      | $71584.13      | 0.01%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BN8360 G2 08/49 FIXED 4                   | CUSIP: 3617KCJD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2900546 | PA      | $2730004.92    | 0.20%             | 2049-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9315 FN 09/47 FIXED 3.5                    | CUSIP: 3140GYK57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     233282 | PA      | $218721.49     | 0.02%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 644856 GN 06/35 FIXED 5                      | CUSIP: 36292CMD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7260 | PA      | $7287.91       | 0.00%             | 2035-06-15      | Fixed         | 5.00%                 | 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        |   17000000 | NC      | $52133.90      | 0.00%             |  |  |  | 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        |      34553 | PA      | $1934.66       | 0.00%             | 2037-05-15      | Floating      | 1.77%                 | 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        |     486493 | PA      | $487973.06     | 0.04%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AO9345 GN 12/45 FIXED 4.5                    | CUSIP: 3617AAL28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3350 | PA      | $3258.17       | 0.00%             | 2045-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5173 FR 08/42 FIXED 3              | CUSIP: 3133KYXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     206965 | PA      | $191169.39     | 0.01%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4718 G2 09/47 FIXED 3                   | CUSIP: 36179TG33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     266702 | PA      | $241670.00     | 0.02%             | 2047-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 738060 G2 10/33 FIXED 6.5                 | CUSIP: 3620AR5V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        935 | PA      | $956.28        | 0.00%             | 2033-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004398 G2 03/39 FIXED 5                   | CUSIP: 36202E3F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        511 | PA      | $524.49        | 0.00%             | 2039-03-20      | Fixed         | 5.00%                 | 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        |  -12600000 | NC      | $-26093.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q50235 FG 08/47 FIXED 4              | CUSIP: 3132XSHM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     954545 | PA      | $924418.69     | 0.07%             | 2047-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DM4041 G2 08/52 FIXED 7                   | CUSIP: 3618LTP29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     414247 | PA      | $419563.26     | 0.03%             | 2052-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 923823 FN 04/37 FIXED 6                      | CUSIP: 31412FLC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     212605 | PA      | $221563.90     | 0.02%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003306 G2 11/32 FIXED 5.5                 | CUSIP: 36202DU74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        361 | PA      | $375.58        | 0.00%             | 2032-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 701840 G2 11/35 FIXED 5.5                 | CUSIP: 36296UV98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4101 | PA      | $4039.89       | 0.00%             | 2035-11-20      | Fixed         | 5.50%                 | 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        |     192226 | PA      | $201348.38     | 0.02%             | 2053-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004670 G2 04/40 FIXED 4                   | CUSIP: 36202FFK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10301 | PA      | $9652.54       | 0.00%             | 2040-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6275 G2 11/49 FIXED 3.5                 | CUSIP: 36179U6L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1095695 | PA      | $985958.10     | 0.07%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17743 FG 01/27 FIXED 3              | CUSIP: 3128PXS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98110 | PA      | $97388.82      | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 568860 GN 12/31 FIXED 6                      | CUSIP: 36213Y5V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $53.52         | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3400 FN 06/48 FIXED 4.5                    | CUSIP: 31418CX66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84127 | PA      | $80379.25      | 0.01%             | 2048-06-01      | Fixed         | 4.50%                 | 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        |  174200000 | NC      | $17.42         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 678014 G2 04/48 FIXED 4                   | CUSIP: 36295RGX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34987 | PA      | $33032.56      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CW6584 G2 02/62 FIXED 4                   | CUSIP: 3618FFJ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107403 | PA      | $99784.01      | 0.01%             | 2062-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004767 G2 08/40 FIXED 4.5                 | CUSIP: 36202FJL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3708 | PA      | $3661.07       | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-114                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 114 HO         | CUSIP: 38377XJG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     272673 | PA      | $202167.98     | 0.02%             | 2040-12-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CF9201 G2 06/47 FIXED 3.5                 | CUSIP: 3617WBGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1188258 | PA      | $1084734.25    | 0.08%             | 2047-06-20      | Fixed         | 3.50%                 | 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        |    1136709 | PA      | $1027851.61    | 0.08%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 391690 GN 12/37 FIXED 5.5                    | CUSIP: 36205JC37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        673 | PA      | $692.27        | 0.00%             | 2037-12-15      | Fixed         | 5.50%                 | 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        |  -25000000 | PA      | $-21070209.00  | -1.58%            | 2055-11-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0537 G2 11/42 FIXED 5                   | CUSIP: 36179MS27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29648 | PA      | $30303.37      | 0.00%             | 2042-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546624 GN 12/34 FIXED 5.72                   | CUSIP: 36212XG90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45197 | PA      | $47115.77      | 0.00%             | 2034-12-15      | Fixed         | 5.72%                 | 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        |     167915 | PA      | $7600.94       | 0.00%             | 2042-06-20      | Floating      | 0.86%                 | 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        |      44474 | PA      | $42813.92      | 0.00%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BT1993 G2 03/50 FIXED 3.5                 | CUSIP: 3617MQGA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     354977 | PA      | $326427.75     | 0.02%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD0461 FR 11/50 FIXED 3              | CUSIP: 3132DMQN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14639339 | PA      | $12988967.23   | 0.97%             | 2050-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA8528 FN 01/51 FIXED 2.5                    | CUSIP: 3140QGPN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6112257 | PA      | $5162441.48    | 0.39%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA5594 G2 08/47 FIXED 3.5                 | CUSIP: 3617AJGB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     953960 | PA      | $882528.72     | 0.07%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE  ASSOCIATION GNR-2019-H11            | GOVERNMENT NATIONAL MORTGAGE A GNR 2019 H11 FM         | CUSIP: 38380LVB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     635229 | PA      | $635129.97     | 0.05%             | 2069-05-20      | Floating      | 5.07%                 | 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      | $-381190.11    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DC7032 G2 07/54 FIXED 6.5                 | CUSIP: 3618HMY52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1233203 | PA      | $1263291.55    | 0.09%             | 2054-07-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004649 G2 03/40 FIXED 4.5                 | CUSIP: 36202FEW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     157588 | PA      | $154008.65     | 0.01%             | 2040-03-20      | Fixed         | 4.50%                 | 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        |    3355115 | PA      | $3389829.50    | 0.25%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004949 G2 02/41 FIXED 4                   | CUSIP: 36202FQA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3512 | PA      | $3325.22       | 0.00%             | 2041-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY4071 FN 06/53 FIXED 5                      | CUSIP: 3140NLQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     224547 | PA      | $224851.99     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 673066 GN 09/38 FIXED 6                      | CUSIP: 36295KW33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52353 | PA      | $55189.28      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784896 G2 11/34 FIXED 3.5                 | CUSIP: 3622AAKH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     427605 | PA      | $421643.90     | 0.03%             | 2034-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004410 G2 04/39 FIXED 4                   | CUSIP: 36202E3T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35329 | PA      | $34001.85      | 0.00%             | 2039-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780650 GN 10/27 FIXED 6.5                    | CUSIP: 36225AWK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1032 | PA      | $1048.74       | 0.00%             | 2027-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV2568 FN 11/43 FIXED 4                      | CUSIP: 3138XD2A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2494361 | PA      | $2424221.20    | 0.18%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785314 G2 12/70 FLOATING VAR              | CUSIP: 3622AAYK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3272896 | PA      | $3351017.71    | 0.25%             | 2070-12-20      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 553080 GN 02/33 FIXED 5.5                    | CUSIP: 36213FM59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        873 | PA      | $905.12        | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | 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        |    1843000 | PA      | $1864793.60    | 0.14%             | 2033-06-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AU5890 G2 05/46 FIXED 3.5                 | CUSIP: 36194TRK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     288448 | PA      | $260441.17     | 0.02%             | 2046-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AS5790 G2 04/46 FIXED 3.5                 | CUSIP: 36193QNF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     394013 | PA      | $364524.01     | 0.03%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004515 G2 08/39 FIXED 6                   | CUSIP: 36202FAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        157 | PA      | $160.74        | 0.00%             | 2039-08-20      | Fixed         | 6.00%                 | 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        |    8229521 | PA      | $8357918.26    | 0.63%             | 2073-05-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3244 G2 11/45 FIXED 3.5                 | CUSIP: 36179RS91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7769671 | PA      | $7241652.75    | 0.54%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 723336 FN 09/33 FIXED 4.5                    | CUSIP: 31402ASZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10626 | PA      | $10513.88      | 0.00%             | 2033-09-01      | Fixed         | 4.50%                 | 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        |      31771 | PA      | $31461.52      | 0.00%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003444 G2 09/33 FIXED 6                   | CUSIP: 36202DZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        421 | PA      | $438.14        | 0.00%             | 2033-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BR8755 G2 02/50 FIXED 3                   | CUSIP: 3617M7WQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8175488 | PA      | $7240719.97    | 0.54%             | 2050-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002740 G2 04/29 FIXED 6                   | CUSIP: 36202DBH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $42.82         | 0.00%             | 2029-04-20      | Fixed         | 6.00%                 | 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        |    1036747 | PA      | $863572.96     | 0.06%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 543812 GN 02/31 FIXED 6                      | CUSIP: 36212UDR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        162 | PA      | $166.37        | 0.00%             | 2031-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-121                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 121 CI         | CUSIP: 38382VNB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3360814 | PA      | $574917.96     | 0.04%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003863 G2 06/36 FIXED 5                   | CUSIP: 36202EJG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2924 | PA      | $2990.80       | 0.00%             | 2036-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD7460 FN 11/40 FIXED 4                      | CUSIP: 31418VJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44274 | PA      | $43408.99      | 0.00%             | 2040-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004243 G2 09/38 FIXED 5                   | CUSIP: 36202EWC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2117 | PA      | $2171.70       | 0.00%             | 2038-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1425 G2 11/50 FIXED 2.5                 | CUSIP: 3617U8SN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1783231 | PA      | $1537068.37    | 0.12%             | 2050-11-20      | Fixed         | 2.50%                 | 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        |      79216 | PA      | $83178.38      | 0.01%             | 2054-02-01      | Fixed         | 6.50%                 | 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        |       5238 | PA      | $5257.96       | 0.00%             | 2038-08-20      | Fixed         | 5.50%                 | 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        |        751 | PA      | $789.69        | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                      | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A              | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2612704.95    | 0.20%             | 2037-04-15      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F0506A9<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -11750000 | PA      | $-11654725.48  | -0.87%            | 2055-10-14      | Fixed         | 5.00%                 | 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        |    2667536 | PA      | $2584830.67    | 0.19%             | 2069-01-20      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 561562 GN 08/31 FIXED 7                      | CUSIP: 36213QZ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $63.72         | 0.00%             | 2031-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780622 GN 08/27 FIXED 8                      | CUSIP: 36225AVP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        555 | PA      | $560.27        | 0.00%             | 2027-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1015 G2 05/43 FIXED 5                   | CUSIP: 36179NDU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     178803 | PA      | $183526.49     | 0.01%             | 2043-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 610179 GN 08/34 FIXED 6.5                    | CUSIP: 36202U2L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31885 | PA      | $33336.81      | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/18/25-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-394980.44    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780570 GN 05/27 FIXED 7                      | CUSIP: 36225AT34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $35.60         | 0.00%             | 2027-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 631113 GN 06/34 FIXED 6.5                    | CUSIP: 36291LDS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1786 | PA      | $1907.42       | 0.00%             | 2034-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638414 GN 02/35 FIXED 5.52                   | CUSIP: 36291UGX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41804 | PA      | $43333.44      | 0.00%             | 2035-02-15      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5694 FN 03/55 FIXED 6.5                    | CUSIP: 31418FKG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     722634 | PA      | $737167.95     | 0.06%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688021 GN 10/38 FIXED 6                      | CUSIP: 36296DLA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3951 | PA      | $4164.43       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 434079 GN 01/29 FIXED 6                      | CUSIP: 36207KFU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         20 | PA      | $20.56         | 0.00%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG5667 G2 06/48 FIXED 4                   | CUSIP: 3617GQJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48655 | PA      | $47297.19      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 602555 GN 03/36 FIXED 6                      | CUSIP: 36200JMC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2372 | PA      | $2492.10       | 0.00%             | 2036-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2444 FN 10/48 FIXED 4.5                    | CUSIP: 3140Q9WE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2660282 | PA      | $2628630.44    | 0.20%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-20                                         | FANNIE MAE FNR 2013 20 YZ                              | CUSIP: 3136ACVY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     784862 | PA      | $663313.67     | 0.05%             | 2043-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 602097 GN 01/33 FIXED 6                      | CUSIP: 36200H3E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        738 | PA      | $754.64        | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 764517 GN 06/41 FIXED 5                      | CUSIP: 36176FDW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20012 | PA      | $20310.09      | 0.00%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 389                                            | FREDDIEMAC STRIP FHS 389 C40                           | CUSIP: 31325YRU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18375100 | PA      | $2914593.87    | 0.22%             | 2052-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AQ7377 GN 12/45 FIXED 3                      | CUSIP: 36189YFS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     455346 | PA      | $410079.85     | 0.03%             | 2045-12-15      | 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        |     407817 | PA      | $53048.59      | 0.00%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AE8345 G2 05/44 FIXED 4                   | CUSIP: 36181CHW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82828 | PA      | $79753.13      | 0.01%             | 2044-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782314 GN 04/38 FIXED 5.5                    | CUSIP: 36241KSB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8905 | PA      | $9339.73       | 0.00%             | 2038-04-15      | Fixed         | 5.50%                 | 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        |      58511 | PA      | $57877.80      | 0.00%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CZ2594 G2 05/62 FIXED 4                   | CUSIP: 3618GD3B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2441734 | PA      | $2268518.53    | 0.17%             | 2062-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO7526 G2 05/62 FIXED 4.5                 | CUSIP: 3617FKLF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     243281 | PA      | $233955.12     | 0.02%             | 2062-05-20      | 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        |      60465 | PA      | $59554.63      | 0.00%             | 2041-03-20      | Fixed         | 4.50%                 | 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        |     215360 | PA      | $226446.36     | 0.02%             | 2055-03-01      | Fixed         | 6.50%                 | 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        |    3732919 | PA      | $3631980.47    | 0.27%             | 2047-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H16                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H16 HF         | CUSIP: 38380QKM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19387198 | PA      | $19685023.67   | 1.47%             | 2070-09-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ1871 G2 08/62 FIXED 5                   | CUSIP: 3618A4CG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100331 | PA      | $99493.99      | 0.01%             | 2062-08-20      | Fixed         | 5.00%                 | 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        |    3000000 | PA      | $3035213.97    | 0.23%             | 2032-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SB0571 FR 10/36 FIXED 2              | CUSIP: 3132CWT46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     194406 | PA      | $178985.82     | 0.01%             | 2036-10-01      | Fixed         | 2.00%                 | 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        |    5766918 | PA      | $6046472.32    | 0.45%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 579868 GN 12/31 FIXED 6                      | CUSIP: 36201DFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        429 | PA      | $439.20        | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 635198 G2 05/47 FIXED 3                   | CUSIP: 36291QUX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     856964 | PA      | $768026.78     | 0.06%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 552557 GN 05/32 FIXED 6                      | CUSIP: 36213EZW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        885 | PA      | $912.78        | 0.00%             | 2032-05-15      | Fixed         | 6.00%                 | 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        |     355000 | PA      | $363386.24     | 0.03%             | 2028-10-01      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003899 G2 09/36 FIXED 6                   | CUSIP: 36202EKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56688 | PA      | $59441.56      | 0.00%             | 2036-09-20      | Fixed         | 6.00%                 | 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        |      20876 | PA      | $975.49        | 0.00%             | 2037-10-15      | Floating      | 1.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003994 G2 06/37 FIXED 5                   | CUSIP: 36202ENK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41499 | PA      | $42453.42      | 0.00%             | 2037-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 737532 GN 10/40 FIXED 4                      | CUSIP: 3620ARLM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50642 | PA      | $48605.21      | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256675 FN 04/27 FIXED 5                      | CUSIP: 31371NCL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1136 | PA      | $1136.85       | 0.00%             | 2027-04-01      | Fixed         | 5.00%                 | 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        |      51868 | PA      | $52203.42      | 0.00%             | 2040-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE9367 G2 12/47 FIXED 3.5                 | CUSIP: 3617G4MQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     410732 | PA      | $379980.50     | 0.03%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 587223 GN 08/32 FIXED 6                      | CUSIP: 36201MLC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        544 | PA      | $574.65        | 0.00%             | 2032-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617189 GN 08/36 FIXED 6.5                    | CUSIP: 36290TUN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3536 | PA      | $3711.40       | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY2122 FN 06/53 FIXED 5                      | CUSIP: 3140NJLC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     194792 | PA      | $196020.45     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 583287 GN 06/32 FIXED 6.5                    | CUSIP: 36201G6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1485 | PA      | $1533.65       | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004286 G2 11/38 FIXED 6.5                 | CUSIP: 36202EXP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12387 | PA      | $12816.22      | 0.00%             | 2038-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618517 GN 09/33 FIXED 5.75                   | CUSIP: 36290VDW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5700 | PA      | $5834.48       | 0.00%             | 2033-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004364 G2 02/39 FIXED 6                   | CUSIP: 36202EZ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4784 | PA      | $4832.51       | 0.00%             | 2039-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4061 G2 11/46 FIXED 4.5                 | CUSIP: 36179SQN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10679 | PA      | $10439.62      | 0.00%             | 2046-11-20      | Fixed         | 4.50%                 | 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        |     518520 | PA      | $367537.53     | 0.03%             | 2036-01-26      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 742276 G2 01/39 FIXED 5.5                 | CUSIP: 3620AWT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     190966 | PA      | $194759.16     | 0.01%             | 2039-01-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785086 G2 06/50 FIXED 3.5                 | CUSIP: 3622AARF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     287968 | PA      | $259293.76     | 0.02%             | 2050-06-20      | Fixed         | 3.50%                 | 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        |     618822 | PA      | $36198.28      | 0.00%             | 2045-07-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004268 G2 10/38 FIXED 6                   | CUSIP: 36202EW54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1018 | PA      | $1070.10       | 0.00%             | 2038-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY9525 FN 08/53 FIXED 5                      | CUSIP: 3140NSSP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     680273 | PA      | $680617.03     | 0.05%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 680606 GN 12/37 FIXED 5.5                    | CUSIP: 36295UDK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3444 | PA      | $3535.17       | 0.00%             | 2037-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 563677 GN 11/32 FIXED 6                      | CUSIP: 36213TFS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        224 | PA      | $232.86        | 0.00%             | 2032-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 600124 GN 02/33 FIXED 6                      | CUSIP: 36200FVR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        537 | PA      | $550.96        | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | 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        |     133154 | PA      | $121536.88     | 0.01%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD8980 FN 11/46 FIXED 3                      | CUSIP: 3140FG6S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     269475 | PA      | $244463.69     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) DEC25 XCBT 20251231                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -113 | NC      | $-32203.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H14 FA         | CUSIP: 38376RVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161846 | PA      | $162284.34     | 0.01%             | 2066-06-20      | Floating      | 5.27%                 | 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        |      71890 | PA      | $72354.84      | 0.01%             | 2040-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA7001 FR 03/52 FIXED 2.5            | CUSIP: 3133KNX65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     470154 | PA      | $400409.50     | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA4216 FR 12/50 FIXED 2.5            | CUSIP: 3133KKVH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6091617 | PA      | $5182986.76    | 0.39%             | 2050-12-01      | Fixed         | 2.50%                 | 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        |     325252 | PA      | $18354.29      | 0.00%             | 2045-03-25      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 647458 GN 10/35 FIXED 6                      | CUSIP: 36292FJB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1109 | PA      | $1155.69       | 0.00%             | 2035-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724033 GN 11/39 FIXED 6                      | CUSIP: 3620AALN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1446 | PA      | $1485.15       | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 544524 GN 05/31 FIXED 6.5                    | CUSIP: 36212U4H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        507 | PA      | $524.73        | 0.00%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AK7336 GN 04/45 FIXED 3.5                    | CUSIP: 36183REH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     342222 | PA      | $320101.15     | 0.02%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 464761 GN 08/28 FIXED 7                      | CUSIP: 36208YJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        931 | PA      | $940.29        | 0.00%             | 2028-08-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CS6229 G2 07/62 FIXED 4                   | CUSIP: 3618AY4N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61815 | PA      | $57773.73      | 0.00%             | 2062-07-20      | Fixed         | 4.00%                 | 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        |   27400000 | NC      | $7521.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 738340 G2 09/38 FIXED 5.5                 | CUSIP: 3620ASHR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     218530 | PA      | $224872.15     | 0.02%             | 2038-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX3590 FN 06/41 FIXED 4.5                    | CUSIP: 3138Y47C7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     450538 | PA      | $438188.71     | 0.03%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 353917 GN 10/27 FIXED 7                      | CUSIP: 36203NDW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         11 | PA      | $10.95         | 0.00%             | 2027-10-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH5368 FN 08/47 FIXED 3.5                    | CUSIP: 3140GT6E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     167494 | PA      | $156705.21     | 0.01%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3343 FN 02/30 FIXED VAR                    | CUSIP: 3140X6WD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221019 | PA      | $217245.43     | 0.02%             | 2030-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BO4867 G2 04/49 FIXED 4.5                 | CUSIP: 3617KLMQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     732165 | PA      | $711451.90     | 0.05%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CH5381 G2 10/51 FIXED 2.5                 | CUSIP: 3617WW6S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1551292 | PA      | $1313147.30    | 0.10%             | 2051-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-23                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 23 IP          | CUSIP: 38378MAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1141179 | PA      | $120397.12     | 0.01%             | 2042-08-20      | Fixed         | 3.50%                 | 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        |      40922 | PA      | $9203.66       | 0.00%             | 2038-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2024-INV2                           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2024 INV2 A3B 144A | CUSIP: 17331WBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1694455 | PA      | $1724746.37    | 0.13%             | 2054-06-25      | Variable      | 6.50%                 | 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        |     237316 | PA      | $214265.06     | 0.02%             | 2048-02-20      | Fixed         | 3.50%                 | 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        |    2446581 | PA      | $2569542.62    | 0.19%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780717 GN 02/28 FIXED 7                      | CUSIP: 36225AYN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        296 | PA      | $301.49        | 0.00%             | 2028-02-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002675 G2 11/28 FIXED 7                   | CUSIP: 36202C6L2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        175 | PA      | $179.61        | 0.00%             | 2028-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 706773 GN 11/39 FIXED 4.5                    | CUSIP: 36297BFN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     550664 | PA      | $557285.73     | 0.04%             | 2039-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 596796 GN 12/32 FIXED 7                      | CUSIP: 36200B7H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        826 | PA      | $829.65        | 0.00%             | 2032-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 562384 GN 08/34 FIXED 6                      | CUSIP: 36213RXM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        808 | PA      | $840.65        | 0.00%             | 2034-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0406 FN 02/47 FIXED VAR                    | CUSIP: 3140XFNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     730461 | PA      | $670976.68     | 0.05%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5009 G2 02/48 FIXED 3                   | CUSIP: 36179TR64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102706 | PA      | $91219.91      | 0.01%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546582 GN 01/34 FIXED 6.075                  | CUSIP: 36212XFX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75662 | PA      | $76372.02      | 0.01%             | 2034-01-15      | Fixed         | 6.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5847 FN 09/55 FIXED 6.5                    | CUSIP: 31418FP92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6806162 | PA      | $6909799.62    | 0.52%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3188 FN 11/32 FIXED 3                      | CUSIP: 31418CRJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1039907 | PA      | $1013609.48    | 0.08%             | 2032-11-01      | Fixed         | 3.00%                 | 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        |      20951 | PA      | $20153.90      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2010-36                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2010 36 IO          | CUSIP: 38376GGH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2233107 | PA      | $22.33         | 0.00%             | 2052-01-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1423 G2 11/50 FIXED 2.5                 | CUSIP: 3617U8SL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1981821 | PA      | $1703326.45    | 0.13%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 750991 GN 09/40 FIXED 4.875                  | CUSIP: 36230KC41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115674 | PA      | $115062.24     | 0.01%             | 2040-09-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0253 G2 02/55 FIXED 2.5                 | CUSIP: 3618N5H77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2110008 | PA      | $1822641.77    | 0.14%             | 2055-02-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4893 G2 12/47 FIXED 5                   | CUSIP: 36179TNJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     432637 | PA      | $428661.55     | 0.03%             | 2047-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BC7705 G2 10/47 FIXED 4.5                 | CUSIP: 3617BBR29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154250 | PA      | $151312.00     | 0.01%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1988 FN 07/48 FIXED 4.5                    | CUSIP: 3140Q9F65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     550956 | PA      | $544417.16     | 0.04%             | 2048-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BF0169 FN 01/57 FIXED 3.5                    | CUSIP: 3140FXFK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2793032 | PA      | $2557090.67    | 0.19%             | 2057-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2527 FN 08/32 FIXED VAR                    | CUSIP: 3138EJYZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37885 | PA      | $36896.62      | 0.00%             | 2032-08-01      | Fixed         | 3.50%                 | 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        |      60407 | PA      | $58182.36      | 0.00%             | 2047-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 705724 GN 12/38 FIXED 6                      | CUSIP: 36297AAZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1092 | PA      | $1136.09       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | 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        |    1939501 | PA      | $1685539.48    | 0.13%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AF0310 GN 08/43 FIXED 2.5                    | CUSIP: 36181FKX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111540 | PA      | $97056.41      | 0.01%             | 2043-08-15      | Fixed         | 2.50%                 | 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    | 0.28%             | 2055-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH2087 FN 05/47 FIXED 4                      | CUSIP: 3140GQJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53410 | PA      | $50905.98      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 702082 GN 06/39 FIXED 4.5                    | CUSIP: 36296U6T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15154 | PA      | $14996.21      | 0.00%             | 2039-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 704660 GN 08/39 FIXED 4.5                    | CUSIP: 36296XZZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1579 | PA      | $1578.59       | 0.00%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942867 FN 08/37 FIXED 6                      | CUSIP: 31413D6C6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4740 | PA      | $4982.19       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784295 G2 03/47 FIXED 3.5                 | CUSIP: 3622A2XY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1504268 | PA      | $1388047.63    | 0.10%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ0031 G2 12/62 FIXED 7                   | CUSIP: 3618A2A83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51888 | PA      | $53294.13      | 0.00%             | 2062-12-20      | Fixed         | 7.00%                 | 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        |    1123273 | PA      | $1184416.88    | 0.09%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS0645 FN 10/43 FIXED 3.5                    | CUSIP: 3138W9WF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     820180 | PA      | $773916.89     | 0.06%             | 2043-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 764423 GN 04/41 FIXED 5                      | CUSIP: 36176FAY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3132 | PA      | $3178.73       | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | 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        |  -14900000 | NC      | $-6138.80      | -0.00%            |  |  |  | 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        |    1607107 | PA      | $204031.41     | 0.02%             | 2049-09-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5924 G2 05/49 FIXED 5                   | CUSIP: 36179USM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1869 | PA      | $1851.74       | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AO9088 GN 11/45 FIXED 4.5                    | CUSIP: 3617AACZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2698 | PA      | $2663.58       | 0.00%             | 2045-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2533 FN 06/48 FIXED VAR                    | CUSIP: 3140X5Y72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103298 | PA      | $99327.87      | 0.01%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4889 G2 12/47 FIXED 3                   | CUSIP: 36179TNE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102203 | PA      | $90773.83      | 0.01%             | 2047-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4240                                           | FREDDIE MAC FHR 4240 DI                                | CUSIP: 3137B3UJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1205572 | PA      | $194943.69     | 0.01%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI9884 GN 08/44 FIXED 4                      | CUSIP: 36198W6V2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43264 | PA      | $41372.22      | 0.00%             | 2044-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BW3079 FN 06/42 FIXED 3                      | CUSIP: 3140MUM56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27343 | PA      | $25166.91      | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 459501 GN 01/28 FIXED 7                      | CUSIP: 36208SNS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6633 | PA      | $6655.24       | 0.00%             | 2028-01-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VOYA CLO 2019-2A LTD                                              | VOYA CLO LTD VOYA 2019 2A AR 144A                      | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     849031 | PA      | $849648.66     | 0.06%             | 2032-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 579538 GN 03/32 FIXED 6                      | CUSIP: 36201CZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $143.91        | 0.00%             | 2032-03-15      | Fixed         | 6.00%                 | 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        |     384630 | PA      | $385693.10     | 0.03%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CM3478 G2 11/45 FIXED 3                   | CUSIP: 3617YN2K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1116331 | PA      | $1002326.68    | 0.08%             | 2045-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ6096 G2 10/62 FIXED 5                   | CUSIP: 3618A8XZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     867749 | PA      | $860508.67     | 0.06%             | 2062-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 476985 GN 03/29 FIXED 6                      | CUSIP: 36209N2S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        695 | PA      | $707.93        | 0.00%             | 2029-03-15      | Fixed         | 6.00%                 | 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        |    7915583 | PA      | $7532164.47    | 0.56%             | 2054-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 608956 GN 06/36 FIXED 6.5                    | CUSIP: 36202TQH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4235 | PA      | $4454.06       | 0.00%             | 2036-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 675215 GN 03/38 FIXED 7                      | CUSIP: 36295NDU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        379 | PA      | $384.55        | 0.00%             | 2038-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-69                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 69 FB          | CUSIP: 38379BJ33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5770863 | PA      | $5714658.78    | 0.43%             | 2036-06-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5206 FR 01/43 FIXED 4.5            | CUSIP: 3133KYYB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     406449 | PA      | $406022.18     | 0.03%             | 2043-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 783286 G2 12/40 FIXED 6                   | CUSIP: 36241LUK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2021 | PA      | $2142.35       | 0.00%             | 2040-12-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004710 G2 06/40 FIXED 5                   | CUSIP: 36202FGT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105193 | PA      | $105457.84     | 0.01%             | 2040-06-20      | Fixed         | 5.00%                 | 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        |     280217 | PA      | $273326.85     | 0.02%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZL2783 FR 03/42 FIXED 3.5            | CUSIP: 3131XJCU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2086 | PA      | $1987.19       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BT0861 GN 03/50 FIXED 3                      | CUSIP: 3617MN5W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     564150 | PA      | $505222.91     | 0.04%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784674 G2 04/48 FIXED 3.5                 | CUSIP: 3622AACK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     633189 | PA      | $586135.40     | 0.04%             | 2048-04-20      | Fixed         | 3.50%                 | 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        |   11244852 | PA      | $10105138.09   | 0.76%             | 2053-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3865 FN 11/41 FIXED 3.5                    | CUSIP: 31417AJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64482 | PA      | $61417.64      | 0.00%             | 2041-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781574 GN 03/33 FIXED 6                      | CUSIP: 36225BXB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        335 | PA      | $347.86        | 0.00%             | 2033-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 569552 GN 01/32 FIXED 6                      | CUSIP: 36200QWM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        225 | PA      | $231.32        | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U8WUA9 PIMCO SWAPTION 5.0 PUT USD 20251008          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  225000000 | NC      | $22.50         | 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        |   20000000 | NC      | $2.00          | 0.00%             |  |  |  | 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      | $631624.63     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CW6992 G2 09/53 FIXED 6                   | CUSIP: 3618FFXV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85387 | PA      | $88331.13      | 0.01%             | 2053-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711363 GN 04/34 FIXED 5.5                    | CUSIP: 36297GJG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        506 | PA      | $516.38        | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3413 FN 07/38 FIXED 4                      | CUSIP: 31418CYK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251731 | PA      | $247883.06     | 0.02%             | 2038-07-01      | Fixed         | 4.00%                 | 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        |     435227 | PA      | $441203.85     | 0.03%             | 2035-05-15      | Floating      | 0.35%                 | 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        |      60203 | PA      | $57910.04      | 0.00%             | 2047-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783177 GN 09/40 FIXED 4.5                    | CUSIP: 36241LQ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26670 | PA      | $26628.75      | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 786795 G2 07/53 FIXED 6                   | CUSIP: 3622ACNL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     169569 | PA      | $174610.79     | 0.01%             | 2053-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-19                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 19 IO          | CUSIP: 38378BDL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2452142 | PA      | $24.52         | 0.00%             | 2052-08-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AY5148 G2 09/38 FIXED 4                   | CUSIP: 36196UWH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     820801 | PA      | $805673.99     | 0.06%             | 2038-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6030 G2 07/49 FIXED 3.5                 | CUSIP: 36179UVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     488299 | PA      | $440401.99     | 0.03%             | 2049-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003080 G2 05/31 FIXED 6.5                 | CUSIP: 36202DM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        385 | PA      | $400.89        | 0.00%             | 2031-05-20      | Fixed         | 6.50%                 | 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        |   31000000 | NC      | $24105.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA3718 FN 06/49 FIXED 4                      | CUSIP: 3140QBDY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4387294 | PA      | $4210279.84    | 0.32%             | 2049-06-01      | Fixed         | 4.00%                 | 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        |    1741262 | PA      | $1745285.57    | 0.13%             | 2073-04-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5            | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7718 | PA      | $8033.85       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | 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        |     406654 | PA      | $415929.57     | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 706201 G2 04/39 FIXED 5.5                 | CUSIP: 36297ARW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1525 | PA      | $1572.37       | 0.00%             | 2039-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784445 G2 02/48 FIXED 3.5                 | CUSIP: 3622A25E8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2308796 | PA      | $2139532.26    | 0.16%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD0549 G2 08/48 FIXED 5                   | CUSIP: 3617BFTE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     840447 | PA      | $829796.48     | 0.06%             | 2048-08-20      | Fixed         | 5.00%                 | 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        |   37000000 | PA      | $37255129.80   | 2.79%             | 2054-11-15      | Fixed         | 5.50%                 | 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        |   12000000 | NC      | $0.12          | 0.00%             |  |  |  | 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        |     869813 | PA      | $777779.25     | 0.06%             | 2051-10-20      | Fixed         | 3.00%                 | 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        |        299 | PA      | $307.99        | 0.00%             | 2034-02-20      | Fixed         | 5.50%                 | 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        |       6928 | PA      | $6599.71       | 0.00%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4421 FN 06/31 FIXED 5.26                   | CUSIP: 3140NY4F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1219631 | PA      | $1272799.28    | 0.10%             | 2031-06-01      | Fixed         | 5.26%                 | 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        |    4805690 | PA      | $4852722.68    | 0.36%             | 2073-08-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0898 FN 10/41 FIXED 4.5                    | CUSIP: 31417Y7L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22637 | PA      | $21881.44      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | 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        |    5000000 | NC      | $5330.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003850 G2 05/36 FIXED 5                   | CUSIP: 36202EH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71818 | PA      | $73446.71      | 0.01%             | 2036-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 608205 GN 06/33 FIXED 5.5                    | CUSIP: 36202SU63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        761 | PA      | $778.14        | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | 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        |    3300000 | PA      | $3310888.61    | 0.25%             | 2037-01-15      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 471865 GN 04/28 FIXED 7                      | CUSIP: 36209HFE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        174 | PA      | $174.32        | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 673821 GN 09/38 FIXED 6                      | CUSIP: 36295LSJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3960 | PA      | $4144.95       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 681612 GN 11/38 FIXED 6                      | CUSIP: 36295VGV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39162 | PA      | $40747.88      | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5066 G2 03/48 FIXED 3                   | CUSIP: 36179TTX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     408877 | PA      | $363148.43     | 0.03%             | 2048-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782917 GN 04/40 FIXED 4.5                    | CUSIP: 36241LG26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     998733 | PA      | $996283.74     | 0.07%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BQ7066 G2 04/50 FIXED 3.5                 | CUSIP: 3617LRZ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     908702 | PA      | $825512.32     | 0.06%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 736782 G2 12/42 FIXED 3.15                | CUSIP: 3620AQRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129789 | PA      | $116949.87     | 0.01%             | 2042-12-20      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU5542 FN 08/33 FIXED 4                      | CUSIP: 3138X5EQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86323 | PA      | $85547.21      | 0.01%             | 2033-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2815 FN 05/35 FLOATING VAR                 | CUSIP: 3138EKDV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83780 | PA      | $86340.35      | 0.01%             | 2035-05-01      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BC9026 FN 11/46 FIXED 3                      | CUSIP: 3140F5A45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     709014 | PA      | $643380.56     | 0.05%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY1513 FN 06/53 FIXED 5                      | CUSIP: 3140NHVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     227344 | PA      | $227997.11     | 0.02%             | 2053-06-01      | Fixed         | 5.00%                 | 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        |      80297 | PA      | $79606.01      | 0.01%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AA6148 G2 03/43 FIXED 3                   | CUSIP: 36178DZM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     257515 | PA      | $232244.50     | 0.02%             | 2043-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RC1932 FR 04/36 FIXED 2              | CUSIP: 3133L8ED3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1931504 | PA      | $1780044.30    | 0.13%             | 2036-04-01      | Fixed         | 2.00%                 | 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        |      17515 | PA      | $17628.52      | 0.00%             | 2043-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782382 GN 08/38 FIXED 5.5                    | CUSIP: 36241KUF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12250 | PA      | $12791.59      | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 708139 GN 01/39 FIXED 6                      | CUSIP: 36297CV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3690 | PA      | $3859.83       | 0.00%             | 2039-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 714117 GN 08/39 FIXED 6                      | CUSIP: 36297KK67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1013 | PA      | $1042.38       | 0.00%             | 2039-08-15      | Fixed         | 6.00%                 | 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        |  -15500000 | NC      | $-61694.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3001 G2 08/30 FIXED 3                   | CUSIP: 36179RKN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43101 | PA      | $41736.24      | 0.00%             | 2030-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 473492 GN 04/28 FIXED 6.5                    | CUSIP: 36209J7D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1423 | PA      | $1444.06       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI3212 GN 05/44 FIXED 4                      | CUSIP: 36198PR93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132583 | PA      | $127015.24     | 0.01%             | 2044-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4451 G2 05/47 FIXED 3.5                 | CUSIP: 36179S5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2645928 | PA      | $2458165.25    | 0.18%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL8835 FN 01/42 FIXED VAR                    | CUSIP: 3138ETY91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1250088 | PA      | $1252627.73    | 0.09%             | 2042-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1422 G2 11/50 FIXED 2.5                 | CUSIP: 3617U8SK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2786697 | PA      | $2384767.10    | 0.18%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 615272 GN 07/33 FIXED 4.5                    | CUSIP: 36290RQZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        976 | PA      | $984.00        | 0.00%             | 2033-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD2806 G2 01/48 FIXED 4                   | CUSIP: 3617BJDK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     839547 | PA      | $795371.52     | 0.06%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY5041 FN 07/53 FIXED 4.5                    | CUSIP: 3140NMS73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     689175 | PA      | $671579.11     | 0.05%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9974 FN 11/28 FIXED 5.85                   | CUSIP: 3140LMCL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2303000 | PA      | $2419085.11    | 0.18%             | 2028-11-01      | Fixed         | 5.85%                 | 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     | 0.02%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 726341 GN 09/39 FIXED 5.5                    | CUSIP: 3620AC5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3022 | PA      | $3116.51       | 0.00%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FH         | CUSIP: 38380QJA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2453962 | PA      | $2484658.18    | 0.19%             | 2070-07-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 456866 GN 05/28 FIXED 7.5                    | CUSIP: 36208PQT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9755 | PA      | $9808.17       | 0.00%             | 2028-05-15      | Fixed         | 7.50%                 | 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        |     893111 | PA      | $941403.20     | 0.07%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 451999 GN 11/27 FIXED 8                      | CUSIP: 36208JDC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        219 | PA      | $219.70        | 0.00%             | 2027-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 548203 GN 02/32 FIXED 6.5                    | CUSIP: 36213AAC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        722 | PA      | $742.84        | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | 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        |      58476 | PA      | $58853.87      | 0.00%             | 2040-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 422327 G2 07/26 FIXED 6.7                 | CUSIP: 36206VD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1756 | PA      | $1754.85       | 0.00%             | 2026-07-20      | Fixed         | 6.70%                 | 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        |  263784614 | PA      | $269448198.92  | 20.17%            | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4479                                           | FREDDIE MAC FHR 4479 TI                                | CUSIP: 3137BJVZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     271679 | PA      | $12865.13      | 0.00%             | 2034-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 724675 GN 04/30 FIXED 4.5                    | CUSIP: 3620ABCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86241 | PA      | $86381.10      | 0.01%             | 2030-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-160                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 160 IO         | CUSIP: 38378USQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42588 | PA      | $4749.24       | 0.00%             | 2043-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH0035 G2 05/48 FIXED 4.5                 | CUSIP: 3617GWBC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1212260 | PA      | $1184645.47    | 0.09%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA5366 FN 02/47 FIXED 4                      | CUSIP: 3140QC6C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161550 | PA      | $157143.72     | 0.01%             | 2047-02-01      | Fixed         | 4.00%                 | 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        |    1225000 | PA      | $1235317.28    | 0.09%             | 2033-04-01      | Fixed         | 4.70%                 | 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        |   27226798 | PA      | $5608872.77    | 0.42%             | 2050-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003238 G2 05/32 FIXED 6                   | CUSIP: 36202DS36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        500 | PA      | $520.79        | 0.00%             | 2032-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 647070 G2 07/35 FIXED 5.5                 | CUSIP: 36292E2B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6617 | PA      | $6755.45       | 0.00%             | 2035-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA5610 G2 05/47 FIXED 3.5                 | CUSIP: 3617AJGT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     323432 | PA      | $299213.61     | 0.02%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 640156 GN 02/35 FIXED 5.5                    | CUSIP: 36291WE56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1622 | PA      | $1680.42       | 0.00%             | 2035-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2931 FN 03/32 FIXED 3                      | CUSIP: 31418CHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     399517 | PA      | $389297.14     | 0.03%             | 2032-03-01      | Fixed         | 3.00%                 | 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        |  -12600000 | NC      | $-25521.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC4497 FN 09/39 FIXED 4                      | CUSIP: 31417N7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1862 | PA      | $1834.73       | 0.00%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 614518 GN 06/33 FIXED 5.5                    | CUSIP: 36290QVK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        633 | PA      | $640.94        | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QC2713 FR 04/51 FIXED 1.5            | CUSIP: 3133AMAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74054 | PA      | $57606.30      | 0.00%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1910 FN 01/44 FIXED VAR                    | CUSIP: 3140XHDQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     271105 | PA      | $257871.44     | 0.02%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2756 G2 04/45 FIXED 4.5                 | CUSIP: 36179RBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5138183 | PA      | $5106973.76    | 0.38%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 737419 GN 09/40 FIXED 3.5                    | CUSIP: 3620ARG47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76001 | PA      | $71376.27      | 0.01%             | 2040-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9CWA0 PIMCO FPPSWAPTION 4.63 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3800000 | NC      | $243576.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2006-22                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2006 22 JO          | CUSIP: 38374M2X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     488617 | PA      | $411065.21     | 0.03%             | 2036-04-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 604481 GN 07/33 FIXED 6                      | CUSIP: 36200MRA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     153528 | PA      | $157103.15     | 0.01%             | 2033-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO6778 FN 06/42 FIXED 4                      | CUSIP: 3138LXQ85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     834401 | PA      | $811630.79     | 0.06%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN5170 G2 08/62 FIXED 4.5                 | CUSIP: 3617F4W74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     123768 | PA      | $119023.67     | 0.01%             | 2062-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4096                                           | FREDDIE MAC FHR 4096 PI                                | CUSIP: 3137ATCE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103473 | PA      | $1833.58       | 0.00%             | 2027-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5465 G2 09/48 FIXED 3.5                 | CUSIP: 36179UCA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     384958 | PA      | $357102.26     | 0.03%             | 2048-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES1                                     | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES1 A1A 144A    | CUSIP: 749424AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     360462 | PA      | $364384.49     | 0.03%             | 2044-02-25      | Fixed         | 6.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785821 G2 12/51 FIXED 2.5                 | CUSIP: 3622ABLA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     358520 | PA      | $307584.86     | 0.02%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DC1350 FN 08/54 FIXED 6.5                    | CUSIP: 3140ANQC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     923716 | PA      | $956224.15     | 0.07%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DC3280 FN 09/54 FIXED 6.5                    | CUSIP: 3140AQUE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     925704 | PA      | $958322.45     | 0.07%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782373 GN 07/38 FIXED 6.5                    | CUSIP: 36241KT65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4267 | PA      | $4518.02       | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 626938 GN 04/45 FIXED 4                      | CUSIP: 36291FPX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     216252 | PA      | $210857.75     | 0.02%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0497 FN 11/39 FIXED VAR                    | CUSIP: 31418MRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73344 | PA      | $76027.68      | 0.01%             | 2039-11-01      | Fixed         | 5.50%                 | 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        |     260622 | PA      | $254114.51     | 0.02%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 633715 GN 09/34 FIXED 6                      | CUSIP: 36291PAQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80202 | PA      | $82144.86      | 0.01%             | 2034-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9B7A0 PIMCO FPPSWAPTION 4.43 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3800000 | NC      | $216896.40     | 0.02%             |  |  |  | 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        |     984662 | PA      | $871644.70     | 0.07%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005246 G2 11/26 FIXED 3                   | CUSIP: 36202FZK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6963 | PA      | $6905.30       | 0.00%             | 2026-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ5449 GN 09/44 FIXED 3.5                    | CUSIP: 36183BBS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1785 | PA      | $1669.40       | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004049 G2 11/37 FIXED 6                   | CUSIP: 36202EQA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3426 | PA      | $3602.40       | 0.00%             | 2037-11-20      | Fixed         | 6.00%                 | 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        |     360979 | PA      | $32572.24      | 0.00%             | 2042-08-25      | Floating      | 1.68%                 | 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        |    6103479 | PA      | $5701225.91    | 0.43%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06500 FG 04/41 FIXED 4              | CUSIP: 3128M8RV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     123592 | PA      | $120620.14     | 0.01%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 463750 GN 04/28 FIXED 6.5                    | CUSIP: 36208XEX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        189 | PA      | $190.00        | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9NPA4 PIMCO FPPSWAPTION 4.4 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   16200000 | NC      | $912163.68     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3521 G2 03/46 FIXED 3.5                 | CUSIP: 36179R4E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2265520 | PA      | $2105524.51    | 0.16%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 498147 GN 12/29 FIXED 8.5                    | CUSIP: 36210PL44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         36 | PA      | $36.57         | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | 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        |   43400000 | NC      | $4.34          | 0.00%             |  |  |  | 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        |      26918 | PA      | $26245.97      | 0.00%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA3618 G2 06/47 FIXED 3.5                 | CUSIP: 3617AGAT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     347176 | PA      | $321177.90     | 0.02%             | 2047-06-20      | Fixed         | 3.50%                 | 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        |    3085584 | PA      | $3225415.23    | 0.24%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 743552 GN 07/40 FIXED 4.05                   | CUSIP: 3620AYBV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51088 | PA      | $48918.46      | 0.00%             | 2040-07-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 550151 GN 07/31 FIXED 8                      | CUSIP: 36213CEY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22842 | PA      | $22976.36      | 0.00%             | 2031-07-15      | Fixed         | 8.00%                 | 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        |    1000000 | PA      | $995922.29     | 0.07%             | 2026-02-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698452 GN 08/39 FIXED 4.5                    | CUSIP: 36296Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     346928 | PA      | $343999.94     | 0.03%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA2311 G2 05/47 FIXED 4.5                 | CUSIP: 3617AER81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1180557 | PA      | $1148120.19    | 0.09%             | 2047-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004471 G2 06/39 FIXED 6                   | CUSIP: 36202E6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        101 | PA      | $106.18        | 0.00%             | 2039-06-20      | Fixed         | 6.00%                 | 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        |   12500000 | NC      | $11697.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0626B2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -47150000 | PA      | $-48759034.77  | -3.65%            | 2054-11-15      | Fixed         | 6.50%                 | 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        |     191034 | PA      | $202324.79     | 0.02%             | 2055-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH8675 FN 10/47 FIXED 4                      | CUSIP: 3140GXT92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78241 | PA      | $75188.55      | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31480 FG 04/37 FIXED 5              | CUSIP: 31281BUD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11301 | PA      | $11611.67      | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI6874 GN 12/44 FIXED 3.5                    | CUSIP: 36198TT77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3182 | PA      | $2975.95       | 0.00%             | 2044-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004541 G2 09/39 FIXED 5                   | CUSIP: 36202FBJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1374 | PA      | $1428.96       | 0.00%             | 2039-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004369 G2 02/39 FIXED 5                   | CUSIP: 36202E2A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10945 | PA      | $11201.07      | 0.00%             | 2039-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4418 FN 09/36 FIXED 2                      | CUSIP: 31418D4C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25531 | PA      | $23543.70      | 0.00%             | 2036-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003106 G2 07/31 FIXED 6                   | CUSIP: 36202DNX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4045 | PA      | $4214.00       | 0.00%             | 2031-07-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 742244 GN 01/41 FIXED 4                      | CUSIP: 3620AWS92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7661 | PA      | $7395.02       | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5019 G2 02/48 FIXED 3.5                 | CUSIP: 36179TSG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     161656 | PA      | $150150.23     | 0.01%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL2205 FN 04/29 FIXED 3.045                  | CUSIP: 3140HTNX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     887419 | PA      | $860295.93     | 0.06%             | 2029-04-01      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005132 G2 07/41 FIXED 5.5                 | CUSIP: 36202FVZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2611 | PA      | $2609.73       | 0.00%             | 2041-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781356 GN 12/29 FIXED 6.5                    | CUSIP: 36225BQH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         26 | PA      | $26.26         | 0.00%             | 2029-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004342 G2 01/39 FIXED 5                   | CUSIP: 36202EZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122091 | PA      | $125016.41     | 0.01%             | 2039-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3090 FN 08/32 FIXED 3                      | CUSIP: 31418CNG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     516703 | PA      | $503553.68     | 0.04%             | 2032-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BS5195 GN 01/50 FIXED 3.5                    | CUSIP: 3617MFXY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53119 | PA      | $48659.52      | 0.00%             | 2050-01-15      | Fixed         | 3.50%                 | 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        |     223499 | PA      | $214882.94     | 0.02%             | 2048-02-01      | Fixed         | 4.00%                 | 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        |     124885 | PA      | $7305.45       | 0.00%             | 2036-11-15      | Floating      | 1.89%                 | 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        |      12329 | PA      | $12408.69      | 0.00%             | 2041-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ6293 G2 12/62 FIXED 7                   | CUSIP: 3618A87E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1097766 | PA      | $1123118.61    | 0.08%             | 2062-12-20      | Fixed         | 7.00%                 | 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        |   -7800000 | NC      | $-0.78         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE6330 G2 01/48 FIXED 3.5                 | CUSIP: 3617G1A73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     304369 | PA      | $281203.39     | 0.02%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-167                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2011 167 PO         | CUSIP: 38378ATQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     205318 | PA      | $181261.97     | 0.01%             | 2037-04-20      | None          | 0.00%                 | 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        |    1931769 | PA      | $2023937.09    | 0.15%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 736582 FN 09/28 FIXED 4.5                    | CUSIP: 31402SJ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6019 | PA      | $6012.32       | 0.00%             | 2028-09-01      | Fixed         | 4.50%                 | 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        |   39000000 | NC      | $3.90          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781459 GN 06/32 FIXED 6                      | CUSIP: 36225BTQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        775 | PA      | $808.02        | 0.00%             | 2032-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 470154 GN 03/29 FIXED 7                      | CUSIP: 36209FH77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        161 | PA      | $161.06        | 0.00%             | 2029-03-15      | Fixed         | 7.00%                 | 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        |    7791400 | PA      | $7627353.34    | 0.57%             | 2043-08-18      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5764 G2 02/49 FIXED 4.5                 | CUSIP: 36179UMM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1147946 | PA      | $1137602.70    | 0.09%             | 2049-02-20      | Fixed         | 4.50%                 | 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        |     383367 | PA      | $361613.81     | 0.03%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2338 FN 11/46 FIXED VAR                    | CUSIP: 3140XHS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3798767 | PA      | $3493781.19    | 0.26%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG8358 G2 06/48 FIXED 4                   | CUSIP: 3617GTJB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40335 | PA      | $38213.08      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4277 FN 01/27 FIXED 3                      | CUSIP: 31417AXF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82782 | PA      | $82088.28      | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 783202 GN 12/40 FIXED 4.5                    | CUSIP: 36241LRX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     304097 | PA      | $302531.82     | 0.02%             | 2040-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY8507 FN 08/53 FIXED 5.5                    | CUSIP: 3140NRNZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     928753 | PA      | $950605.03     | 0.07%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB7792 GN 11/42 FIXED 3.5                    | CUSIP: 36178UUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24797 | PA      | $23194.44      | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                           | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1        | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2376 | PA      | $2270.80       | 0.00%             | 2032-09-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FD         | CUSIP: 38380QHX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21566722 | PA      | $21826131.32   | 1.63%             | 2070-08-20      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CG8355 G2 08/51 FIXED 3                   | CUSIP: 3617WNH88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     868146 | PA      | $763544.73     | 0.06%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782405 GN 09/38 FIXED 5.5                    | CUSIP: 36241KU63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19865 | PA      | $20818.75      | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-99                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 99 DF          | CUSIP: 38379DDQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8287289 | PA      | $8201081.75    | 0.61%             | 2036-11-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8384 FR 12/53 FIXED 6              | CUSIP: 3132DWJ53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1414004 | PA      | $1448575.01    | 0.11%             | 2053-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AZ1638 GN 02/47 FIXED 4                      | CUSIP: 36197DZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     551665 | PA      | $526039.13     | 0.04%             | 2047-02-15      | 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        |    5885894 | PA      | $5917783.31    | 0.44%             | 2073-08-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2893 G2 06/48 FIXED 4                   | CUSIP: 3617G9GA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19447 | PA      | $18399.83      | 0.00%             | 2048-06-20      | Fixed         | 4.00%                 | 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        |    6351810 | PA      | $5792396.88    | 0.43%             | 2055-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG8338 FR 08/53 FIXED 5              | CUSIP: 3133C9HP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     717446 | PA      | $719705.91     | 0.05%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004019 G2 08/37 FIXED 7                   | CUSIP: 36202EPC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2348 | PA      | $2479.45       | 0.00%             | 2037-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL BQ7283 GN 11/49 FIXED 3.5                    | CUSIP: 3617LSCU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     352324 | PA      | $322881.18     | 0.02%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR3345 G2 10/62 FIXED 7                   | CUSIP: 3618AHWE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     103754 | PA      | $106149.79     | 0.01%             | 2062-10-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA0178 GN 05/42 FIXED 3.25                   | CUSIP: 36177WFT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     170380 | PA      | $158423.74     | 0.01%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AP0113 G2 10/45 FIXED 3.5                 | CUSIP: 36188KDS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     216427 | PA      | $198222.44     | 0.01%             | 2045-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003067 G2 04/31 FIXED 6                   | CUSIP: 36202DMQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        223 | PA      | $230.67        | 0.00%             | 2031-04-20      | Fixed         | 6.00%                 | 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        |   18800000 | NC      | $663.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 735692 GN 04/40 FIXED 4.5                    | CUSIP: 3620APKD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     228553 | PA      | $228482.24     | 0.02%             | 2040-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CO9464 G2 01/47 FIXED 3                   | CUSIP: 3617FMQR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     496711 | PA      | $445999.55     | 0.03%             | 2047-01-20      | Fixed         | 3.00%                 | 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        |     300834 | PA      | $316992.54     | 0.02%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AO6444 G2 08/45 FIXED 4.5                 | CUSIP: 3617A7ER8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     166170 | PA      | $163245.81     | 0.01%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 569687 GN 02/32 FIXED 7.5                    | CUSIP: 36200Q2U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        391 | PA      | $392.74        | 0.00%             | 2032-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 723526 GN 12/39 FIXED 4.5                    | CUSIP: 3620A9YX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59415 | PA      | $59341.48      | 0.00%             | 2039-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 755958 GN 01/41 FIXED 4                      | CUSIP: 36230QTP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2212 | PA      | $2138.07       | 0.00%             | 2041-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004239 G2 09/38 FIXED 6                   | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6503 | PA      | $6632.35       | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638685 GN 09/36 FIXED 6.5                    | CUSIP: 36291URE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46325 | PA      | $48932.68      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO 2022-1 LTD                                     | ROCKFORD TOWER CLO LTD ROCKT 2022 1A A1R 144A          | CUSIP: 77340JAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2108027.21    | 0.16%             | 2035-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 666411 GN 09/43 FIXED 4                      | CUSIP: 36295CKY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33822 | PA      | $32460.93      | 0.00%             | 2043-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5128 G2 04/48 FIXED 4.5                 | CUSIP: 36179TVV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47002 | PA      | $45946.44      | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN5750 GN 07/45 FIXED 3                      | CUSIP: 36186NL72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     603927 | PA      | $543881.19     | 0.04%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX2488 FN 10/44 FIXED 4                      | CUSIP: 3138Y3XS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     320068 | PA      | $313583.92     | 0.02%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005201 G2 10/41 FIXED 4                   | CUSIP: 36202FX68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1039 | PA      | $983.80        | 0.00%             | 2041-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BA9528 G2 07/47 FIXED 3.5                 | CUSIP: 3617ANSR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     857576 | PA      | $793354.59     | 0.06%             | 2047-07-20      | Fixed         | 3.50%                 | 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        |  269697810 | PA      | $240799584.48  | 18.03%            | 2055-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 588160 GN 01/33 FIXED 6                      | CUSIP: 36201NMH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        441 | PA      | $460.26        | 0.00%             | 2033-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5279 FR 06/53 FIXED 5              | CUSIP: 3133C52L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99520 | PA      | $99916.97      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 787213 G2 06/49 FIXED 3.5                 | CUSIP: 3622AC3W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19903070 | PA      | $18081195.26   | 1.35%             | 2049-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-1                                          | FANNIE MAE FNR 2019 1 HF                               | CUSIP: 3136B3ZE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159110 | PA      | $155432.87     | 0.01%             | 2049-02-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG5675 G2 07/48 FIXED 4                   | CUSIP: 3617GQJU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33440 | PA      | $32507.27      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | 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        |    1997432 | PA      | $2003395.67    | 0.15%             | 2028-02-01      | Variable      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 500075 GN 12/29 FIXED 8                      | CUSIP: 36210RQ45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        533 | PA      | $537.98        | 0.00%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0223 G2 07/42 FIXED 5                   | CUSIP: 36179MG87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     145122 | PA      | $148420.03     | 0.01%             | 2042-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CX0089 G2 04/62 FIXED 4                   | CUSIP: 3618FLC27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     289712 | PA      | $269158.33     | 0.02%             | 2062-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BQ7068 G2 04/50 FIXED 3                   | CUSIP: 3617LRZ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     779344 | PA      | $709004.63     | 0.05%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA1680 G2 02/44 FIXED 5                   | CUSIP: 36179N2M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45832 | PA      | $46875.21      | 0.00%             | 2044-02-20      | Fixed         | 5.00%                 | 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        |     982690 | PA      | $1009408.99    | 0.08%             | 2031-03-01      | Fixed         | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6210 G2 10/49 FIXED 3.5                 | CUSIP: 36179U3T7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102598 | PA      | $92322.46      | 0.01%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002741 G2 04/29 FIXED 6.5                 | CUSIP: 36202DBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4833 | PA      | $4964.93       | 0.00%             | 2029-04-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784041 GN 08/45 FIXED 4                      | CUSIP: 3622A2P22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     762287 | PA      | $729838.18     | 0.05%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 655652 GN 05/36 FIXED 6.5                    | CUSIP: 36294PL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44623 | PA      | $47134.50      | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 607650 GN 02/33 FIXED 6                      | CUSIP: 36202SBT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $145.89        | 0.00%             | 2033-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5097 FN 07/43 FIXED 4.5                    | CUSIP: 31418EUX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     476630 | PA      | $474520.24     | 0.04%             | 2043-07-01      | Fixed         | 4.50%                 | 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        |    1208042 | PA      | $1265370.41    | 0.09%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U96ZA0 PIMCO FPPSWAPTION 4.265 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3600000 | NC      | $220107.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780992 GN 12/28 FIXED 8                      | CUSIP: 36225BC55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        555 | PA      | $559.20        | 0.00%             | 2028-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2964 FN 04/32 FIXED 3                      | CUSIP: 31418CJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1970595 | PA      | $1920187.11    | 0.14%             | 2032-04-01      | Fixed         | 3.00%                 | 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        |     673377 | PA      | $688778.57     | 0.05%             | 2045-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784017 G2 07/45 FIXED 4.5                 | CUSIP: 3622A2PA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     297501 | PA      | $293575.40     | 0.02%             | 2045-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP1937 G2 09/62 FIXED 5                   | CUSIP: 3617FREJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83651 | PA      | $82952.68      | 0.01%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 12/25 0.00000                            | CUSIP: 912797RX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       3000 | PA      | $2975.84       | 0.00%             | 2025-12-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9OPA2 PIMCO FPPSWAPTION 4.4 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   15000000 | NC      | $844596.00     | 0.06%             |  |  |  | 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        |    1899393 | PA      | $1968251.78    | 0.15%             | 2045-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA8717 G2 03/53 FIXED 6.5                 | CUSIP: 36179XVJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1079753 | PA      | $1101203.27    | 0.08%             | 2053-03-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS1548 FN 04/52 FIXED VAR                    | CUSIP: 3140XGWJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     552270 | PA      | $470143.36     | 0.04%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 763891 G2 10/43 FIXED 3.5                 | CUSIP: 36176ENG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     423248 | PA      | $394709.26     | 0.03%             | 2043-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2407 G2 04/48 FIXED 4                   | CUSIP: 3617G8U84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35359 | PA      | $33454.85      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | 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        |    2433904 | PA      | $330857.10     | 0.02%             | 2050-11-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU8471 FN 09/28 FIXED 2                      | CUSIP: 3138X8MV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28187 | PA      | $27356.01      | 0.00%             | 2028-09-01      | Fixed         | 2.00%                 | 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        |     828000 | PA      | $827457.94     | 0.06%             | 2033-04-01      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002549 G2 02/28 FIXED 7.5                 | CUSIP: 36202CZN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        164 | PA      | $165.65        | 0.00%             | 2028-02-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004560 G2 10/39 FIXED 5.5                 | CUSIP: 36202FB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     305578 | PA      | $316082.09     | 0.02%             | 2039-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942980 FN 09/37 FIXED 6                      | CUSIP: 31413ECR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26059 | PA      | $27475.77      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ3981 G2 09/62 FIXED 5                   | CUSIP: 3618A6M65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     145489 | PA      | $144274.87     | 0.01%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003319 G2 12/32 FIXED 5                   | CUSIP: 36202DVL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        190 | PA      | $194.22        | 0.00%             | 2032-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004259 G2 10/38 FIXED 5.5                 | CUSIP: 36202EWU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $128.30        | 0.00%             | 2038-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9HJA4 PIMCO FPPSWAPTION 4.47 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3500000 | NC      | $196497.00     | 0.01%             |  |  |  | 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        |    1036342 | PA      | $907188.19     | 0.07%             | 2058-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 692118 GN 10/38 FIXED 6.5                    | CUSIP: 36296H4B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2323 | PA      | $2413.97       | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AS3013 G2 04/46 FIXED 3.5                 | CUSIP: 36193MK27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     323800 | PA      | $297571.84     | 0.02%             | 2046-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676842 GN 05/38 FIXED 5.5                    | CUSIP: 36295P5B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47948 | PA      | $50249.28      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BO1327 FN 08/49 FIXED 3                      | CUSIP: 3140JVPM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1905909 | PA      | $1679304.76    | 0.13%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 943996 FN 08/37 FIXED 6                      | CUSIP: 31413FGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1276 | PA      | $1317.59       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UABBA3 PIMCO SWAPTION 3.9055 PUT USD 202603         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   33600000 | NC      | $316686.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4267 G2 02/47 FIXED 6                   | CUSIP: 36179SW45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     701950 | PA      | $738053.45     | 0.06%             | 2047-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784433 G2 02/48 FIXED 3.5                 | CUSIP: 3622A24S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2490455 | PA      | $2304571.31    | 0.17%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784894 G2 02/48 FIXED 3.5                 | CUSIP: 3622AAKF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     975033 | PA      | $890023.16     | 0.07%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE9337 G2 12/47 FIXED 3.5                 | CUSIP: 3617G4LS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     210358 | PA      | $194619.32     | 0.01%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2614                                                  | FREDDIE MAC FHR 2614 WO                                | CUSIP: 31393QQ54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96825 | PA      | $85274.99      | 0.01%             | 2033-05-15      | None          | 0.00%                 | 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        |    3179432 | PA      | $543983.63     | 0.04%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4836                                                  | FREDDIE MAC FHR 4836 PO                                | CUSIP: 3137FJE21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1293673 | PA      | $805821.04     | 0.06%             | 2058-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD1625 GN 01/43 FIXED 3.5                    | CUSIP: 36180CYW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20584 | PA      | $19152.43      | 0.00%             | 2043-01-15      | Fixed         | 3.50%                 | 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        |     431037 | PA      | $442493.85     | 0.03%             | 2028-10-01      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 538299 GN 01/32 FIXED 6                      | CUSIP: 36212M7L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $51.30         | 0.00%             | 2032-01-15      | Fixed         | 6.00%                 | 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        |     212692 | PA      | $194918.32     | 0.01%             | 2049-10-15      | Fixed         | 3.50%                 | 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        |      49832 | PA      | $49779.68      | 0.00%             | 2043-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB0810 FN 06/51 FIXED 1.5                    | CUSIP: 3140QK3U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     157229 | PA      | $121301.38     | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | 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        |    7903834 | PA      | $8261547.33    | 0.62%             | 2054-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM0076 FN 03/50 FIXED VAR                    | CUSIP: 3140X3CN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4609720 | PA      | $4120077.79    | 0.31%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004240 G2 09/38 FIXED 6.5                 | CUSIP: 36202EV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65985 | PA      | $67878.23      | 0.01%             | 2038-09-20      | Fixed         | 6.50%                 | 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        |   17500000 | NC      | $16714.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BO7543 G2 09/49 FIXED 3.5                 | CUSIP: 3617KPLY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     475314 | PA      | $429140.75     | 0.03%             | 2049-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 751958 G2 06/36 FIXED 5.5                 | CUSIP: 36230LE70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13504 | PA      | $13637.85      | 0.00%             | 2036-06-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4010 FN 07/43 FIXED VAR                    | CUSIP: 3138ELN41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        358 | PA      | $337.83        | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | 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        |     968354 | PA      | $1016786.84    | 0.08%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 01/26 0.00000                            | CUSIP: 912797SG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3201000 | PA      | $3163346.89    | 0.24%             | 2026-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| TCW CLO 2024-1 LTD                                                | TCW LTD TCW 2024 1A A1 144A                            | CUSIP: 87252MAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1200000 | PA      | $1205641.90    | 0.09%             | 2037-01-16      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4632 FN 06/42 FIXED 3                      | CUSIP: 31418EEE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     584277 | PA      | $537555.04     | 0.04%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5089 FR 06/53 FIXED 5              | CUSIP: 3133C5UN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     181627 | PA      | $182323.98     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004261 G2 10/38 FIXED 6.5                 | CUSIP: 36202EWW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3587 | PA      | $3656.24       | 0.00%             | 2038-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BI6321 G2 11/48 FIXED 4.5                 | CUSIP: 3617HGAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100676 | PA      | $97537.96      | 0.01%             | 2048-11-20      | Fixed         | 4.50%                 | 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        |     384419 | PA      | $405362.75     | 0.03%             | 2055-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 471863 GN 04/28 FIXED 6.5                    | CUSIP: 36209HFC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1589 | PA      | $1615.85       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | 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        |     434480 | PA      | $434889.65     | 0.03%             | 2041-06-20      | Fixed         | 4.50%                 | 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        |      65503 | PA      | $62461.16      | 0.00%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A       | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6095488 | PA      | $5289835.39    | 0.40%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AR0791 G2 05/46 FIXED 3.5                 | CUSIP: 36192S2Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     670591 | PA      | $612110.17     | 0.05%             | 2046-05-20      | Fixed         | 3.50%                 | 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        |      55180 | PA      | $3745.97       | 0.00%             | 2036-08-15      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 01/26 0.00000                            | CUSIP: 912797SF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     924000 | PA      | $913807.60     | 0.07%             | 2026-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2730 FN 11/48 FIXED 4.5                    | CUSIP: 3140QAA83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2629391 | PA      | $2598107.67    | 0.19%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ2389 FN 11/34 FIXED 5.06                   | CUSIP: 3140NWUP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6527915 | PA      | $6776212.34    | 0.51%             | 2034-11-01      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 478967 GN 12/29 FIXED 8                      | CUSIP: 36209RCC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5337 | PA      | $5357.41       | 0.00%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8494 FR 01/55 FIXED 5.5            | CUSIP: 3132DWNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   96640968 | PA      | $97526514.90   | 7.30%             | 2055-01-01      | Fixed         | 5.50%                 | 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        |     812000 | PA      | $818843.76     | 0.06%             | 2033-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 784208 GN 07/46 FIXED 4                      | CUSIP: 3622A2U91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100071 | PA      | $1053214.25    | 0.08%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB0828 FN 04/54 FIXED 6                      | CUSIP: 3140A94N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4701269 | PA      | $4831784.80    | 0.36%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 701529 GN 02/38 FIXED 6.5                    | CUSIP: 36296ULJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5829 | PA      | $5871.69       | 0.00%             | 2038-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 607129 GN 04/34 FIXED 5.5                    | CUSIP: 36201YPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3254 | PA      | $3318.54       | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2008-1                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2008 1 PO           | CUSIP: 38375PCK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13970 | PA      | $11331.05      | 0.00%             | 2038-01-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-72                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 72 ID          | CUSIP: 38380WH28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3414907 | PA      | $646822.38     | 0.05%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 575824 GN 03/32 FIXED 6.5                    | CUSIP: 36200XVR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        229 | PA      | $233.67        | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BJ1539 G2 09/48 FIXED 4                   | CUSIP: 3617HNV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     301979 | PA      | $293552.56     | 0.02%             | 2048-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE5659 G2 04/48 FIXED 4                   | CUSIP: 3617G0JC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     287062 | PA      | $271630.70     | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 629278 GN 04/34 FIXED 6                      | CUSIP: 36291JCP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2793 | PA      | $2879.54       | 0.00%             | 2034-04-15      | Fixed         | 6.00%                 | 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        |    1273548 | PA      | $1333924.32    | 0.10%             | 2054-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 611895 GN 06/33 FIXED 5.5                    | CUSIP: 36202WXY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        351 | PA      | $357.86        | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | 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        |    4608683 | PA      | $4638495.92    | 0.35%             | 2041-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AV6718 FN 03/44 FIXED 3                      | CUSIP: 3138XJPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16216 | PA      | $14861.11      | 0.00%             | 2044-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 552566 GN 05/32 FIXED 6.5                    | CUSIP: 36213EZ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $122.94        | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/20/23-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-202024.51    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5180 FR 08/42 FIXED 3              | CUSIP: 3133KYXH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6833 | PA      | $6325.83       | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8678 FN 06/33 FIXED 4.59                   | CUSIP: 3140LKUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8060000 | PA      | $8144737.68    | 0.61%             | 2033-06-01      | Fixed         | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 574762 GN 09/34 FIXED 5.5                    | CUSIP: 36200WQP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3536 | PA      | $3558.35       | 0.00%             | 2034-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD0559 G2 09/48 FIXED 5                   | CUSIP: 3617BFTQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     258403 | PA      | $255128.77     | 0.02%             | 2048-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638425 GN 06/35 FIXED 5.475                  | CUSIP: 36291UHA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     105523 | PA      | $109556.85     | 0.01%             | 2035-06-15      | Fixed         | 5.47%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003187 G2 01/32 FIXED 6                   | CUSIP: 36202DRG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        227 | PA      | $236.16        | 0.00%             | 2032-01-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711380 GN 06/33 FIXED 5.5                    | CUSIP: 36297GJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1079 | PA      | $1094.00       | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | 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        |     105294 | PA      | $5190.18       | 0.00%             | 2046-04-25      | Floating      | 1.58%                 | 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        |     392000 | PA      | $402820.87     | 0.03%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS0909 FN 03/52 FIXED VAR                    | CUSIP: 3140XGAK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2922904 | PA      | $2699139.51    | 0.20%             | 2052-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CW6607 G2 05/62 FIXED 4                   | CUSIP: 3618FFKU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115818 | PA      | $107601.00     | 0.01%             | 2062-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG7748 FR 08/53 FIXED 5              | CUSIP: 3133C8TD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1119327 | PA      | $1122853.15    | 0.08%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 671333 GN 07/37 FIXED 6                      | CUSIP: 36295HY61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23768 | PA      | $24611.48      | 0.00%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ9940 GN 12/44 FIXED 3.5                    | CUSIP: 36183GBH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50793 | PA      | $47508.23      | 0.00%             | 2044-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U98WA9 PIMCO FPPSWAPTION 4.285 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $205176.27     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD0270 GN 05/43 FIXED 4                      | CUSIP: 36180BJP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122762 | PA      | $118333.00     | 0.01%             | 2043-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BD9974 G2 11/47 FIXED 3.5                 | CUSIP: 3617BSCK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     966086 | PA      | $893752.62     | 0.07%             | 2047-11-20      | Fixed         | 3.50%                 | 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        |       4640 | PA      | $4649.73       | 0.00%             | 2038-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H22                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H22 FH         | CUSIP: 38380QRY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13849662 | PA      | $14113077.18   | 1.06%             | 2070-12-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM4862 FN 11/50 FIXED VAR                    | CUSIP: 3140X8ML8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2593193 | PA      | $2190528.08    | 0.16%             | 2050-11-01      | Fixed         | 2.50%                 | 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        |    3515572 | PA      | $3451906.97    | 0.26%             | 2041-05-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 704098 GN 12/38 FIXED 6                      | CUSIP: 36296XGF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1262 | PA      | $1325.98       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9CVA1 PIMCO FPPSWAPTION 4.63 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3800000 | NC      | $199612.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CS5127 G2 01/62 FIXED 3.5                 | CUSIP: 3618AXVU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     751257 | PA      | $674237.23     | 0.05%             | 2062-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q61017 FG 01/49 FIXED 4              | CUSIP: 3132VMDX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1361085 | PA      | $1308815.56    | 0.10%             | 2049-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4892 G2 12/47 FIXED 4.5                 | CUSIP: 36179TNH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92677 | PA      | $90596.25      | 0.01%             | 2047-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AU5741 FN 08/28 FIXED 2                      | CUSIP: 3138X5LX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     120438 | PA      | $116938.43     | 0.01%             | 2028-08-01      | Fixed         | 2.00%                 | 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        |    4800000 | PA      | $4930451.86    | 0.37%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 785399 G2 03/51 FIXED 2.5                 | CUSIP: 3622AA3G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   37534297 | PA      | $32329872.81   | 2.42%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL1384 FN 02/29 FIXED 3.75                   | CUSIP: 3140HSRE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3685459 | PA      | $3658998.64    | 0.27%             | 2029-02-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CX4953 G2 06/56 FIXED 4                   | CUSIP: 3618FRQE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74325 | PA      | $69054.02      | 0.01%             | 2056-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CZ8792 G2 05/62 FIXED 4                   | CUSIP: 3618GLXV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     163173 | PA      | $151598.57     | 0.01%             | 2062-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CA1410 G2 11/50 FIXED 3.5                 | CUSIP: 3617U8R74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1489920 | PA      | $1368026.30    | 0.10%             | 2050-11-20      | Fixed         | 3.50%                 | 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        |  -65950000 | PA      | $-55572906.00  | -4.16%            | 2055-10-14      | Fixed         | 2.50%                 | 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        |    9844866 | PA      | $6544761.44    | 0.49%             | 2051-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6531 G2 03/50 FIXED 3                   | CUSIP: 36179VHG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1097879 | PA      | $963536.65     | 0.07%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7079 FN 07/35 FIXED VAR                    | CUSIP: 3138EP2M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1033774 | PA      | $1018493.64    | 0.08%             | 2035-07-01      | Fixed         | 4.00%                 | 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        |     428378 | PA      | $429727.39     | 0.03%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RE6160 FR 05/55 FIXED 6.5            | CUSIP: 3133N3ZZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     964624 | PA      | $984024.98     | 0.07%             | 2055-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004047 G2 11/37 FIXED 5                   | CUSIP: 36202EP86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10087 | PA      | $10306.65      | 0.00%             | 2037-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY8301 FN 08/53 FIXED 5                      | CUSIP: 3140NRGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     659368 | PA      | $661445.66     | 0.05%             | 2053-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3046 FN 03/52 FIXED 2.5                    | CUSIP: 3140QNL42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     407753 | PA      | $347697.79     | 0.03%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE2157 FN 03/41 FIXED 4                      | CUSIP: 31419CMF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6581 | PA      | $6404.27       | 0.00%             | 2041-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN1092 G2 07/62 FIXED 4.5                 | CUSIP: 3617YYF92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     955517 | PA      | $918887.26     | 0.07%             | 2062-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AS4938 GN 05/46 FIXED 3.5                    | CUSIP: 36193PPX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     305898 | PA      | $281014.63     | 0.02%             | 2046-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF8197 G2 04/48 FIXED 4                   | CUSIP: 3617GFDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20970 | PA      | $19737.15      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)DEC25 XCBT 20251219                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1691 | NC      | $1143035.73    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 511172 GN 01/30 FIXED 8.5                    | CUSIP: 36211E2D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        235 | PA      | $235.64        | 0.00%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DM6236 G2 09/55 FIXED 7                   | CUSIP: 3618LV4V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1280741 | PA      | $1317340.54    | 0.10%             | 2055-09-20      | Fixed         | 7.00%                 | 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        |    1778859 | PA      | $1863517.97    | 0.14%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RE6164 FR 09/55 FIXED 6.5            | CUSIP: 3133N3Z56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2488973 | PA      | $2542844.23    | 0.19%             | 2055-09-01      | Fixed         | 6.50%                 | 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        |      98355 | PA      | $90135.72      | 0.01%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 685946 GN 08/38 FIXED 6                      | CUSIP: 36296BBP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        898 | PA      | $934.16        | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005095 G2 06/41 FIXED 4.5                 | CUSIP: 36202FUU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6984 | PA      | $6870.43       | 0.00%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6600000 | NC      | $377574.78     | 0.03%             |  |  |  | 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        |      90578 | PA      | $5255.17       | 0.00%             | 2041-10-15      | Floating      | 2.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 647594 GN 08/36 FIXED 6.5                    | CUSIP: 36292FNK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52747 | PA      | $56115.10      | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | 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        |     131968 | PA      | $7394.71       | 0.00%             | 2038-11-15      | Floating      | 1.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA5652 G2 12/48 FIXED 4.5                 | CUSIP: 36179UH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4149378 | PA      | $4099380.73    | 0.31%             | 2048-12-20      | Fixed         | 4.50%                 | 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        |     778048 | PA      | $780944.55     | 0.06%             | 2028-04-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 12/25 0.00000                            | CUSIP: 912797RR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      66000 | PA      | $65557.84      | 0.00%             | 2025-12-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F0426B4<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -13977000 | PA      | $-13551881.30  | -1.01%            | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 671443 GN 07/37 FIXED 5.5                    | CUSIP: 36295H5C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1924 | PA      | $1992.75       | 0.00%             | 2037-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BE3071 G2 02/48 FIXED 3.5                 | CUSIP: 3617BWMU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1220622 | PA      | $1129222.07    | 0.08%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL N31490 FG 01/38 FIXED 5              | CUSIP: 31281BUP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3544 | PA      | $3639.47       | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BT1994 G2 03/50 FIXED 3.5                 | CUSIP: 3617MQGB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     851238 | PA      | $782248.82     | 0.06%             | 2050-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 417333 GN 03/26 FIXED 7                      | CUSIP: 36206PSW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         19 | PA      | $18.57         | 0.00%             | 2026-03-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6399 G2 01/50 FIXED 3                   | CUSIP: 36179VDC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     146835 | PA      | $130002.45     | 0.01%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL J17834 FG 01/27 FIXED 3              | CUSIP: 3128PXV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13276 | PA      | $13167.33      | 0.00%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4201 G2 10/39 FIXED 6                   | CUSIP: 36179SU21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4978 | PA      | $5233.63       | 0.00%             | 2039-10-20      | Fixed         | 6.00%                 | 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        |    8541996 | PA      | $7826823.36    | 0.59%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BC7289 FN 10/46 FIXED 3                      | CUSIP: 3140F3C30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67973 | PA      | $61680.48      | 0.00%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AA5482 G2 07/42 FIXED 3.5                 | CUSIP: 36178DCT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74715 | PA      | $68538.85      | 0.01%             | 2042-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0002 G2 04/27 FIXED 3                   | CUSIP: 36179MAB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19985 | PA      | $19793.18      | 0.00%             | 2027-04-20      | Fixed         | 3.00%                 | 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        |     285813 | PA      | $12777.27      | 0.00%             | 2045-09-20      | Floating      | 0.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 687728 GN 05/38 FIXED 6                      | CUSIP: 36296DA57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1410 | PA      | $1469.12       | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-33                                                | FANNIE MAE FNR 2002 33 A3                              | CUSIP: 31392DGW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1506628 | PA      | $1523918.46    | 0.11%             | 2031-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638415 GN 03/35 FIXED 5.57                   | CUSIP: 36291UGY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54560 | PA      | $54736.25      | 0.00%             | 2035-03-15      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS8678 FR 12/32 FIXED 2.5            | CUSIP: 3132A9UB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     495133 | PA      | $476048.43     | 0.04%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603517 GN 02/33 FIXED 6.5                    | CUSIP: 36200KPA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22321 | PA      | $22407.02      | 0.00%             | 2033-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003132 G2 09/31 FIXED 6                   | CUSIP: 36202DPR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3873 | PA      | $3993.55       | 0.00%             | 2031-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2002-83                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2002 83 IO          | CUSIP: 38373VT91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36658 | PA      | $0.25          | 0.00%             | 2042-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003557 G2 05/34 FIXED 6                   | CUSIP: 36202D5S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1511 | PA      | $1573.42       | 0.00%             | 2034-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CB5074 G2 03/51 FIXED 2.5                 | CUSIP: 3617UQT72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9718322 | PA      | $8226448.50    | 0.62%             | 2051-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677221 GN 08/38 FIXED 5.5                    | CUSIP: 36295QLA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        421 | PA      | $440.58        | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | 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        |      37557 | PA      | $35830.62      | 0.00%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6600000 | NC      | $377482.38     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RB5198 FR 12/42 FIXED 4.5            | CUSIP: 3133KYX38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     320890 | PA      | $320652.10     | 0.02%             | 2042-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CF9202 G2 06/51 FIXED 3.5                 | CUSIP: 3617WBGK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     701175 | PA      | $643340.72     | 0.05%             | 2051-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004145 G2 05/38 FIXED 6                   | CUSIP: 36202ETA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        319 | PA      | $334.91        | 0.00%             | 2038-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4837 G2 11/47 FIXED 3.5                 | CUSIP: 36179TLS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83318 | PA      | $77387.46      | 0.01%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 489575 GN 12/28 FIXED 6                      | CUSIP: 36210D2G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        140 | PA      | $143.35        | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | 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        |     419216 | PA      | $63178.69      | 0.00%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 603840 GN 12/32 FIXED 6                      | CUSIP: 36200KZD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        576 | PA      | $589.74        | 0.00%             | 2032-12-15      | Fixed         | 6.00%                 | 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        |   19323470 | PA      | $19427146.40   | 1.45%             | 2073-07-20      | Floating      | 5.29%                 | 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        |   13700034 | PA      | $13731341.69   | 1.03%             | 2051-01-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 005140 G2 08/41 FIXED 4.5                 | CUSIP: 36202FV94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6247947 | PA      | $6288371.88    | 0.47%             | 2041-08-20      | Fixed         | 4.50%                 | 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        |      21156 | PA      | $20251.82      | 0.00%             | 2035-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CP6892 G2 09/62 FIXED 5                   | CUSIP: 3617FWUR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     170173 | PA      | $168752.80     | 0.01%             | 2062-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004673 G2 04/40 FIXED 4.5                 | CUSIP: 36202FFN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4454 | PA      | $4381.19       | 0.00%             | 2040-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BH4510 G2 11/48 FIXED 4.5                 | CUSIP: 3617H2AK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     223953 | PA      | $219110.54     | 0.02%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4275 FN 01/27 FIXED 3                      | CUSIP: 31417AXD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149876 | PA      | $148620.91     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF4747 G2 03/48 FIXED 4                   | CUSIP: 3617GBHY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     167172 | PA      | $158138.83     | 0.01%             | 2048-03-20      | Fixed         | 4.00%                 | 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        |   34500000 | NC      | $0.35          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004216 G2 08/38 FIXED 6                   | CUSIP: 36202EVH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8532 | PA      | $8630.97       | 0.00%             | 2038-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004211 G2 08/38 FIXED 6.5                 | CUSIP: 36202EVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6087 | PA      | $6173.66       | 0.00%             | 2038-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 546615 GN 08/34 FIXED 5.97                   | CUSIP: 36212XGY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45513 | PA      | $47775.96      | 0.00%             | 2034-08-15      | Fixed         | 5.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781448 GN 05/32 FIXED 7                      | CUSIP: 36225BTD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        402 | PA      | $424.07        | 0.00%             | 2032-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AN5339 G2 02/39 FIXED 6                   | CUSIP: 36186J4Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1652305 | PA      | $1742372.62    | 0.13%             | 2039-02-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3474 FN 09/48 FIXED 4.5                    | CUSIP: 31418C2G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47639 | PA      | $45516.19      | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG6222 FR 06/53 FIXED 5              | CUSIP: 3133C64F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75421 | PA      | $75658.59      | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 488727 GN 03/29 FIXED 6.25                   | CUSIP: 36210C4L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14251 | PA      | $14423.33      | 0.00%             | 2029-03-15      | Fixed         | 6.25%                 | 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        |   12000000 | NC      | $0.12          | 0.00%             |  |  |  | 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        |  -15000000 | NC      | $-126159.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H27                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H27 FA         | CUSIP: 38383KHN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   20109143 | PA      | $20219517.99   | 1.51%             | 2073-11-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA3803 G2 07/46 FIXED 3.5                 | CUSIP: 36179SGL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     595664 | PA      | $550892.51     | 0.04%             | 2046-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM7616 FN 06/36 FIXED VAR                    | CUSIP: 3140XBPA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     495860 | PA      | $456054.13     | 0.03%             | 2036-06-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 004469 G2 06/39 FIXED 5                   | CUSIP: 36202E6E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     283270 | PA      | $290754.32     | 0.02%             | 2039-06-20      | Fixed         | 5.00%                 | 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        |     472244 | PA      | $496372.44     | 0.04%             | 2055-09-01      | Fixed         | 6.50%                 | 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        |     162110 | PA      | $167683.10     | 0.01%             | 2040-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 618681 GN 10/36 FIXED 6.5                    | CUSIP: 36290VJ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1319 | PA      | $1372.59       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688085 GN 11/38 FIXED 6                      | CUSIP: 36296DNA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15828 | PA      | $16685.61      | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6000000 | NC      | $335094.60     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA4116 G2 12/46 FIXED 3                   | CUSIP: 36179SSD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53176 | PA      | $47230.57      | 0.00%             | 2046-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 486597 GN 10/28 FIXED 6                      | CUSIP: 36210ARS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $89.01         | 0.00%             | 2028-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN5728 GN 06/45 FIXED 3                      | CUSIP: 36186NLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67475 | PA      | $61771.08      | 0.00%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CW6576 G2 05/62 FIXED 4                   | CUSIP: 3618FFJV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     240228 | PA      | $223185.61     | 0.02%             | 2062-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 670076 GN 06/37 FIXED 6                      | CUSIP: 36295GMZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        595 | PA      | $616.56        | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q60520 FG 12/48 FIXED 4              | CUSIP: 3132VLSJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186606 | PA      | $179707.50     | 0.01%             | 2048-12-01      | Fixed         | 4.00%                 | 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        |   47000000 | NC      | $4.70          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AL5360 G2 03/45 FIXED 3.5                 | CUSIP: 36184B5V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     652571 | PA      | $599728.13     | 0.04%             | 2045-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q59983 FG 11/48 FIXED 4.5            | CUSIP: 3132Y4CV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     709348 | PA      | $701780.41     | 0.05%             | 2048-11-01      | Fixed         | 4.50%                 | 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        |   -3100000 | NC      | $-0.93         | -0.00%            |  |  |  | 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        |     117244 | PA      | $8265.43       | 0.00%             | 2044-08-25      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 652605 GN 06/36 FIXED 6                      | CUSIP: 36292MAE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         78 | PA      | $79.78         | 0.00%             | 2036-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA7020 FR 03/52 FIXED 2.5            | CUSIP: 3133KNYR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     160518 | PA      | $136648.06     | 0.01%             | 2052-03-01      | Fixed         | 2.50%                 | 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        |   -7900000 | NC      | $-0.79         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4600000 | NC      | $304826.36     | 0.02%             |  |  |  | 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        |     712747 | PA      | $720121.58     | 0.05%             | 2054-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698329 GN 05/39 FIXED 4.5                    | CUSIP: 36296QY29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4097 | PA      | $4095.49       | 0.00%             | 2039-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 780583 GN 06/27 FIXED 9                      | CUSIP: 36225AUG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.43         | 0.00%             | 2027-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 982008 FN 05/38 FIXED 5.5                    | CUSIP: 31415BNZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47931 | PA      | $48128.16      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H16                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H16 FN         | CUSIP: 38380QLA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1657033 | PA      | $1686731.43    | 0.13%             | 2070-09-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM3229 FN 02/47 FIXED VAR                    | CUSIP: 3140X6ST9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5124322 | PA      | $4836921.49    | 0.36%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A    | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3827 | PA      | $3695.41       | 0.00%             | 2032-03-25      | Floating      | 5.06%                 | 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        |     390897 | PA      | $391315.95     | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CN5124 G2 08/62 FIXED 4.5                 | CUSIP: 3617F4VR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     378937 | PA      | $364410.76     | 0.03%             | 2062-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0615 FN 11/38 FIXED VAR                    | CUSIP: 31419AVH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10450 | PA      | $11017.62      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | 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        |     168067 | PA      | $160548.45     | 0.01%             | 2040-03-01      | Fixed         | 3.50%                 | 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        |    8700000 | PA      | $8689883.64    | 0.65%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0937 G2 04/43 FIXED 5                   | CUSIP: 36179NBE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28698 | PA      | $29456.02      | 0.00%             | 2043-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 644549 GN 07/35 FIXED 5.5                    | CUSIP: 36292CBS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        283 | PA      | $290.11        | 0.00%             | 2035-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CT4217 G2 08/61 FIXED 3.5                 | CUSIP: 3618B9VJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     274248 | PA      | $246131.14     | 0.02%             | 2061-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 779378 GN 06/42 FIXED 3                      | CUSIP: 36176XUB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2255142 | PA      | $2070098.53    | 0.15%             | 2042-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 657482 GN 12/36 FIXED 5.5                    | CUSIP: 36294RM71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2582 | PA      | $2686.68       | 0.00%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4068                                           | FREDDIE MAC FHR 4068 UF                                | CUSIP: 3137ARPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     518456 | PA      | $516554.40     | 0.04%             | 2042-06-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA7589 G2 09/51 FIXED 2.5                 | CUSIP: 36179WNE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   59085839 | PA      | $50928990.67   | 3.81%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL CL6201 GN 03/52 FIXED 4                      | CUSIP: 3617YD3J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     298462 | PA      | $282119.17     | 0.02%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-64                                         | FANNIE MAE FNR 2018 64 ET                              | CUSIP: 3136B22X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     404516 | PA      | $366675.76     | 0.03%             | 2048-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN8190 FN 05/49 FIXED 4                      | CUSIP: 3140JRC41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187061 | PA      | $178357.10     | 0.01%             | 2049-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 464766 GN 08/28 FIXED 7.5                    | CUSIP: 36208YJK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        404 | PA      | $406.88        | 0.00%             | 2028-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 520979 GN 09/30 FIXED 8.5                    | CUSIP: 36211RXG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        719 | PA      | $748.16        | 0.00%             | 2030-09-15      | Fixed         | 8.50%                 | 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        |   26000000 | NC      | $0.26          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BG6635 G2 04/48 FIXED 4                   | CUSIP: 3617GRLQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55045 | PA      | $51808.66      | 0.00%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CR4587 G2 08/60 FIXED 3.5                 | CUSIP: 3618AKCY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62491 | PA      | $56084.78      | 0.00%             | 2060-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 12/25 0.00000                            | CUSIP: 912797QY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2817000 | PA      | $2795638.14    | 0.21%             | 2025-12-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG6226 FR 06/53 FIXED 4.5            | CUSIP: 3133C64K2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     678768 | PA      | $661842.27     | 0.05%             | 2053-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 579672 GN 03/32 FIXED 6.5                    | CUSIP: 36201C6H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        600 | PA      | $626.22        | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | 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        |     504496 | PA      | $492504.33     | 0.04%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO9700 FN 07/42 FIXED 3.5                    | CUSIP: 3138M1X60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1050 | PA      | $994.66        | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB9465 FN 05/43 FIXED 3.5                    | CUSIP: 31417GQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6315 | PA      | $5960.37       | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB9461 FN 05/43 FIXED 3                      | CUSIP: 31417GQP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148511 | PA      | $136577.46     | 0.01%             | 2043-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6646 G2 05/50 FIXED 3                   | CUSIP: 36179VL32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     389935 | PA      | $345837.96     | 0.03%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 751109 GN 09/40 FIXED 4.05                   | CUSIP: 36230KGS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     246625 | PA      | $236530.45     | 0.02%             | 2040-09-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4600000 | NC      | $236069.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 595071 GN 10/32 FIXED 5.5                    | CUSIP: 36200ACG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4795 | PA      | $4917.48       | 0.00%             | 2032-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 686944 GN 06/38 FIXED 5.5                    | CUSIP: 36296CER7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        661 | PA      | $686.95        | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2828 G2 05/45 FIXED 4.5                 | CUSIP: 36179RD97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     366184 | PA      | $363131.00     | 0.03%             | 2045-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4280 FN 01/27 FIXED 3                      | CUSIP: 31417AXJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148969 | PA      | $147721.15     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZT1857 FR 03/49 FIXED 4.5            | CUSIP: 3132AEB21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     942450 | PA      | $932736.40     | 0.07%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL CE4252 GN 10/51 FIXED 4                      | CUSIP: 3617VSWM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     994810 | PA      | $940426.51     | 0.07%             | 2051-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2419 FN 02/50 FIXED VAR                    | CUSIP: 3140X5VM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8749657 | PA      | $7709341.85    | 0.58%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z1A3 PIMCO FPPSWAPTION 4.46 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    9600000 | NC      | $541654.08     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS9610 FN 09/38 FIXED 5.3                    | CUSIP: 3140LLVC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     918173 | PA      | $969405.39     | 0.07%             | 2038-09-01      | Fixed         | 5.30%                 | 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        |      90927 | PA      | $81612.38      | 0.01%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-111                                        | FANNIE MAE FNR 2012 111 HS                             | CUSIP: 3136A9HB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94229 | PA      | $65074.05      | 0.00%             | 2042-10-25      | Floating      | 0.00%                 | 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        | -276000000 | PA      | $-242480556.24 | -18.16%           | 2055-11-13      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 764981 GN 02/42 FIXED 3.5                    | CUSIP: 36176FUE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54829 | PA      | $51320.34      | 0.00%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZA5434 FR 05/48 FIXED 3.5            | CUSIP: 31329PBB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3686955 | PA      | $3422997.15    | 0.26%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9HKA2 PIMCO FPPSWAPTION 4.47 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3500000 | NC      | $205142.70     | 0.02%             |  |  |  | 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        |        481 | PA      | $506.19        | 0.00%             | 2039-04-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA1360 FN 03/48 FIXED 3.5                    | CUSIP: 3140Q8QN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1227791 | PA      | $1132173.83    | 0.08%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H30                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H30 FA         | CUSIP: 38376RKZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5079 | PA      | $5085.40       | 0.00%             | 2061-08-20      | Floating      | 5.15%                 | 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        |      76426 | PA      | $13236.81      | 0.00%             | 2043-08-25      | Fixed         | 3.50%                 | 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        |     347049 | PA      | $39697.93      | 0.00%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 752020 GN 06/41 FIXED 4.5                    | CUSIP: 36230LG52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1337 | PA      | $1325.42       | 0.00%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0025 G2 04/42 FIXED 5                   | CUSIP: 36179MA26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     342118 | PA      | $351160.01     | 0.03%             | 2042-04-20      | Fixed         | 5.00%                 | 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        |     119309 | PA      | $6588.40       | 0.00%             | 2045-01-25      | Floating      | 1.75%                 | 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        |      24900 | PA      | $23755.79      | 0.00%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BO9185 G2 08/49 FIXED 4.5                 | CUSIP: 3617KRF27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89909 | PA      | $87819.39      | 0.01%             | 2049-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2009-79                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 79 OK          | CUSIP: 38376CXX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30210 | PA      | $25310.56      | 0.00%             | 2037-11-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL6447 FN 01/26 FIXED VAR                    | CUSIP: 3138EPEV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         79 | PA      | $78.96         | 0.00%             | 2026-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 784707 G2 02/49 FIXED 5                   | CUSIP: 3622AADL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116915 | PA      | $113972.84     | 0.01%             | 2049-02-20      | 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        |     211179 | PA      | $214997.50     | 0.02%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 737255 G2 11/35 FIXED 5.5                 | CUSIP: 3620ARBY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51741 | PA      | $53354.53      | 0.00%             | 2035-11-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 465584 GN 04/28 FIXED 7                      | CUSIP: 36209AFZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        504 | PA      | $503.93        | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL DJ9049 G2 06/55 FIXED 7                   | CUSIP: 3618KWBS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2166752 | PA      | $2196652.50    | 0.16%             | 2055-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 753768 GN 10/40 FIXED 3.5                    | CUSIP: 36230NFH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     136949 | PA      | $128611.71     | 0.01%             | 2040-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 672629 GN 03/38 FIXED 6                      | CUSIP: 36295KHE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        380 | PA      | $402.27        | 0.00%             | 2038-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 575443 GN 12/31 FIXED 6                      | CUSIP: 36200XHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        686 | PA      | $713.44        | 0.00%             | 2031-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CF1730 G2 07/51 FIXED 3.5                 | CUSIP: 3617W24P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11440483 | PA      | $10301658.35   | 0.77%             | 2051-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 435073 GN 03/31 FIXED 8                      | CUSIP: 36207LJS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18218 | PA      | $18342.14      | 0.00%             | 2031-03-15      | Fixed         | 8.00%                 | 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        |    8250381 | PA      | $8429776.62    | 0.63%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CATHEDRAL LAKE VIII LTD                                           | CATHEDRAL LAKE LTD CATLK 2021 8A A1 144A               | CUSIP: 14919GAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $1003757.67    | 0.08%             | 2035-01-20      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2009-56                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 56 NO          | CUSIP: 38374VLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     225100 | PA      | $191773.25     | 0.01%             | 2039-07-20      | None          | 0.00%                 | 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        |    1367034 | PA      | $1434109.51    | 0.11%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 003624 G2 10/34 FIXED 5.5                 | CUSIP: 36202EAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     138889 | PA      | $143645.07     | 0.01%             | 2034-10-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6400 G2 01/50 FIXED 3.5                 | CUSIP: 36179VDD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38401 | PA      | $34556.46      | 0.00%             | 2050-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 659217 GN 09/36 FIXED 7                      | CUSIP: 36294TK61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86048 | PA      | $89378.17      | 0.01%             | 2036-09-15      | Fixed         | 7.00%                 | 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        |     491000 | PA      | $504553.69     | 0.04%             | 2028-10-01      | Fixed         | 5.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2477 FN 10/48 FIXED 4.5                    | CUSIP: 3140Q9XF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3067334 | PA      | $3032734.78    | 0.23%             | 2048-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AY8218 GN 01/47 FIXED 4                      | CUSIP: 36196YDX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107035 | PA      | $102063.04     | 0.01%             | 2047-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080376 G2 02/30 FLOATING VAR              | CUSIP: 36225CM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24538 | PA      | $24679.49      | 0.00%             | 2030-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0385 FN 09/40 FIXED VAR                    | CUSIP: 31419ANB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1025945 | PA      | $1002826.44    | 0.08%             | 2040-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL8208 GN 03/45 FIXED 3.5                    | CUSIP: 36184FDM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25950 | PA      | $24272.04      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL K00034 FG 05/37 FIXED 5.5            | CUSIP: 31301ABB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2048 | PA      | $2123.90       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | 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        |      22318 | PA      | $22441.43      | 0.00%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002728 G2 03/29 FIXED 6                   | CUSIP: 36202DA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        648 | PA      | $667.82        | 0.00%             | 2029-03-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN5764 GN 07/45 FIXED 4                      | CUSIP: 36186NMM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     470323 | PA      | $451038.42     | 0.03%             | 2045-07-15      | 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    | 0.15%             | 2071-08-20      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF2858 G2 05/48 FIXED 4                   | CUSIP: 3617G9E72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49709 | PA      | $47093.18      | 0.00%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 447213 GN 06/27 FIXED 7.5                    | CUSIP: 36208CYJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        132 | PA      | $132.53        | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BM8878 G2 07/49 FIXED 4.5                 | CUSIP: 3617K02K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     859499 | PA      | $835184.81     | 0.06%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 732484 GN 02/40 FIXED 6                      | CUSIP: 3620AKXM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25062 | PA      | $25787.52      | 0.00%             | 2040-02-15      | Fixed         | 6.00%                 | 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        |     733603 | PA      | $741193.08     | 0.06%             | 2054-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BX0428 FN 11/52 FIXED 6                      | CUSIP: 3140N4PN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     285667 | PA      | $296425.41     | 0.02%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA4256 FN 02/51 FIXED 2.5                    | CUSIP: 31418DWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1954645 | PA      | $1660075.05    | 0.12%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 617705 GN 09/37 FIXED 6                      | CUSIP: 36290UGN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        473 | PA      | $499.06        | 0.00%             | 2037-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H17 FG         | CUSIP: 38380QMP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7346614 | PA      | $7479414.46    | 0.56%             | 2070-10-20      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QG5085 FR 06/53 FIXED 5              | CUSIP: 3133C5UJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107460 | PA      | $108003.17     | 0.01%             | 2053-06-01      | Fixed         | 5.00%                 | 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        |    5607949 | PA      | $5630589.17    | 0.42%             | 2074-07-20      | Floating      | 5.29%                 | 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        |       4345 | PA      | $4138.40       | 0.00%             | 2047-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CQ0009 G2 11/62 FIXED 7                   | CUSIP: 3618A2AJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65128 | PA      | $66892.53      | 0.01%             | 2062-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 711175 GN 02/40 FIXED 4.5                    | CUSIP: 36297GCL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88041 | PA      | $87796.53      | 0.01%             | 2040-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL ZS8682 FR 01/33 FIXED 3              | CUSIP: 3132A9UF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     259755 | PA      | $252856.81     | 0.02%             | 2033-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA6081 G2 08/49 FIXED 3.5                 | CUSIP: 36179UXJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1118838 | PA      | $1009092.09    | 0.08%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 781683 GN 12/33 FIXED 6                      | CUSIP: 36225B2Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        421 | PA      | $435.32        | 0.00%             | 2033-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNR-2021-9                                                        | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 9 DI           | CUSIP: 38382ME88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21142165 | PA      | $3052059.71    | 0.23%             | 2051-01-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BF3074 G2 07/48 FIXED 4                   | CUSIP: 3617G9MX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5178 | PA      | $4899.46       | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 723339 GN 09/39 FIXED 5                      | CUSIP: 3620A9S44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2696 | PA      | $2758.61       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | 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        |   28300000 | NC      | $2.83          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 608671 GN 08/26 FIXED 6.5                    | CUSIP: 36202TFL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        193 | PA      | $195.30        | 0.00%             | 2026-08-15      | Fixed         | 6.50%                 | 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        |     624931 | PA      | $31404.28      | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   12800000 | NC      | $704704.00     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 469689 GN 11/28 FIXED 6                      | CUSIP: 36209EXS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $49.88         | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | 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        |    1764964 | PA      | $1169127.12    | 0.09%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 585052 GN 12/32 FIXED 5.5                    | CUSIP: 36201J5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26621 | PA      | $27192.98      | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA82A0 PIMCO FPPSWAPTION 4.693 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    5600000 | NC      | $287389.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676291 GN 12/37 FIXED 6                      | CUSIP: 36295PKC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         96 | PA      | $98.24         | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9EEA6 PIMCO FPPSWAPTION 4.52 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3900000 | NC      | $214440.33     | 0.02%             |  |  |  | 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        |      33308 | PA      | $32949.28      | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7271 FN 09/41 FLOATING VAR                 | CUSIP: 3138EQCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96535 | PA      | $99440.78      | 0.01%             | 2041-09-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9OQA1 PIMCO FPPSWAPTION 4.4 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    7500000 | NC      | $433586.25     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 002116 G2 11/25 FIXED 7                   | CUSIP: 36202CK51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          1 | PA      | $1.42          | 0.00%             | 2025-11-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE0537 FN 11/46 FIXED 3                      | CUSIP: 3140FKS35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     272211 | PA      | $247012.00     | 0.02%             | 2046-11-01      | Fixed         | 3.00%                 | 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        |  -23000000 | NC      | $-2.30         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 473458 GN 04/28 FIXED 6.5                    | CUSIP: 36209J5T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3022 | PA      | $3071.31       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 770741 G2 06/41 FIXED 4.5                 | CUSIP: 36176NBJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87410 | PA      | $85716.31      | 0.01%             | 2041-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782522 GN 12/38 FIXED 7                      | CUSIP: 36241KYT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2391 | PA      | $2499.12       | 0.00%             | 2038-12-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5295 FN 03/54 FIXED 6                      | CUSIP: 31418E3D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     444171 | PA      | $455012.97     | 0.03%             | 2054-03-01      | Fixed         | 6.00%                 | 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        |     270722 | PA      | $271574.90     | 0.02%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BB8650 G2 08/47 FIXED 3.5                 | CUSIP: 3617B0TF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     266857 | PA      | $246878.90     | 0.02%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL AJ6287 G2 09/44 FIXED 4                   | CUSIP: 36183B6Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122030 | PA      | $117499.24     | 0.01%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2021-214                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 214 HI         | CUSIP: 38383FCZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2846171 | PA      | $368746.75     | 0.03%             | 2051-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6000000 | NC      | $354755.40     | 0.03%             |  |  |  | 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        |     222274 | PA      | $11827.54      | 0.00%             | 2054-08-25      | Floating      | 1.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BS8943 FN 12/31 FIXED 5.41                   | CUSIP: 3140LK5D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     814000 | PA      | $856200.34     | 0.06%             | 2031-12-01      | Fixed         | 5.41%                 | 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        |    5931092 | PA      | $5929002.20    | 0.44%             | 2074-02-20      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890407 FN 02/42 FIXED VAR                    | CUSIP: 31410LGQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     944747 | PA      | $920341.39     | 0.07%             | 2042-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-10                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 10 LI          | CUSIP: 38379TXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     875783 | PA      | $126658.19     | 0.01%             | 2046-01-20      | Fixed         | 3.50%                 | 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        |  -10800000 | PA      | $-10346745.49  | -0.77%            | 2040-10-16      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA0395 G2 09/42 FIXED 5                   | CUSIP: 36179MNL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6900 | PA      | $7080.89       | 0.00%             | 2042-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 439558 GN 05/27 FIXED 7.5                    | CUSIP: 36207RJB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         91 | PA      | $92.02         | 0.00%             | 2027-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL CS9266 G2 01/62 FIXED 3.5                 | CUSIP: 3618B3JK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128320 | PA      | $115163.27     | 0.01%             | 2062-01-20      | Fixed         | 3.50%                 | 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        |     336058 | PA      | $355195.94     | 0.03%             | 2055-07-01      | Fixed         | 6.50%                 | 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      | $-314862.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782973 GN 11/35 FIXED 5.5                    | CUSIP: 36241LJS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3141 | PA      | $3263.33       | 0.00%             | 2035-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BY2537 FN 06/53 FIXED 5                      | CUSIP: 3140NJZB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64297 | PA      | $64644.84      | 0.00%             | 2053-06-01      | Fixed         | 5.00%                 | 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        |       9645 | PA      | $9370.59       | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | 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        |     752377 | PA      | $790006.67     | 0.06%             | 2055-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BL1389 FN 01/29 FIXED 3.82                   | CUSIP: 3140HSRK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     731909 | PA      | $728397.19     | 0.05%             | 2029-01-01      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB4487 FN 02/27 FIXED 3                      | CUSIP: 31417A6Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121448 | PA      | $120394.74     | 0.01%             | 2027-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL BZ4383 G2 01/52 FIXED 3                   | CUSIP: 3617QY2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22767024 | PA      | $20121362.38   | 1.51%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS9462 FN 04/47 FIXED 3.5                    | CUSIP: 3138WKQQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6100011 | PA      | $5726360.88    | 0.43%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                          | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A    | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3652340 | PA      | $3269593.00    | 0.24%             | 2042-05-25      | Floating      | 4.11%                 | 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        |      56518 | PA      | $2708.60       | 0.00%             | 2033-02-15      | Fixed         | 3.00%                 | 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