# EDGAR Filing Document

**Accession Number:** 0000764624
**File Stem:** 0001752724-25-203541
**Filing Date:** 2025-8
**Character Count:** 215997
**Document Hash:** 6deb9f2725df225838950aabc4e52e20
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-203541.hdr.sgml**: 20250826

**ACCESSION NUMBER**: 0001752724-25-203541

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250826

**DATE AS OF CHANGE**: 20250826

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** LEGG MASON PARTNERS INCOME TRUST
- **CENTRAL INDEX KEY:** 0000764624

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** MD
- **FISCAL YEAR END:** 0731

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04254
- **FILM NUMBER:** 251253240

**BUSINESS ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018
- **BUSINESS PHONE:** 1-877-721-1926

**MAIL ADDRESS:**
- **STREET 1:** LEGG MASON & CO., LLC
- **STREET 2:** 620 EIGHTH AVENUE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10018

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** LEGG MASON PARTNERS INCOME FUNDS
- **DATE OF NAME CHANGE:** 20060407

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SMITH BARNEY INCOME FUNDS
- **DATE OF NAME CHANGE:** 19941228

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SMITH BARNEY SHEARSON INCOME FUNDS
- **DATE OF NAME CHANGE:** 19931015

## Series and Classes Contracts Data

### Western Asset Mortgage Total Return Fund (Series ID: S000016649)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000046506 | Class A      | SGVAX           |
| C000046508 | Class C1     | SGSLX           |
| C000046509 | Class I      | SGSYX           |
| C000046510 | Class 1      | SGVSX           |
| C000088509 | Class C      | LWMSX           |
| C000118880 | Class IS     | LMBSX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Legg Mason Partners Income Trust

- **b. Investment Company Act file number:** 811-04254

- **c. CIK number of Registrant:** 0000764624

- **d. LEI of Registrant:** 549300Y1U2UCLTK83X35

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

  - **Street Address 1:** 620 Eighth Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10018

  - **Telephone number:** 1-877-656-3863

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

- **a. Name of Series:** Western Asset Mortgage Total Return Fund

- **b. EDGAR series identifier (if any):** S000016649

- **c. LEI of Series:** 549300GQXDFRVF4XT215

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-06-30

**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:** $519858844.28

**Total Liabilities:** $156515102.86

**Net Assets:** $363343741.42

**Stand-by Commitments:** $154044765.57

**Cash Not Reported:** $2166068.66

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 92.78000000 | **1-Year:** 19440.06000000 | **5-Year:** 148142.97000000 | **10-Year:** 58288.02000000 | **30-Year:** 3358.17000000

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

- **3-Month:** 128.15000000 | **1-Year:** 4683.64000000 | **5-Year:** 14209.74000000 | **10-Year:** 5523.62000000 | **30-Year:** 708.09000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000088509 | -0.13%               | -0.63%               | 1.68%                |
| Class ID C000046506 | -0.08%               | -0.58%               | 1.73%                |
| Class ID C000046510 | -0.06%               | -0.55%               | 1.75%                |
| Class ID C000046509 | -0.05%               | -0.67%               | 1.87%                |
| Class ID C000046508 | -0.14%               | -0.64%               | 1.67%                |
| Class ID C000118880 | -0.04%               | -0.54%               | 1.76%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-2845541.75             | $1462190.81                                |
| Month 2  | $-2035217.34             | $-1614356.83                               |
| Month 3  | $-511528.59              | $6018880.06                                |

**Designated Index Information**

- **Index Name:** Bloomberg US Mortgage Backed Securities

- **Index Identifier:** NA

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137BDBZ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2618038 | PA      | $2115946.36   | 0.58%             | 2044-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38376G5V8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2320537 | PA      | $23.21        | 0.00%             | 2046-09-16      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11800000 | PA      | $11288539.03  | 3.11%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Co                          | Structured Asset Securities Corp Mortgage Loan Trust 2006-ARS1        | CUSIP: 86358LAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1350030 | PA      | $25203.30     | 0.01%             | 2036-02-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371JL36<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       689 | PA      | $708.31       | 0.00%             | 2030-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1         | CUSIP: 35563PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7192995 | PA      | $831490.77    | 0.23%             | 2055-09-25      | Variable      | 1.45%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 5YR NOTE (CBT)                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       163 | NC      | $83764.07     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H8UB5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25451269 | PA      | $447120.26    | 0.12%             | 2032-07-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                          | SoFi Professional Loan Program 2020-ATrust                            | CUSIP: 83406TAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3200000 | PA      | $2741664.96   | 0.75%             | 2046-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H4C73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14662726 | PA      | $395551.96    | 0.11%             | 2031-10-25      | Variable      | 0.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31385H2H4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       506 | PA      | $505.19       | 0.00%             | 2030-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mor                          | Credit Suisse First Boston Mortgage Securities Corp                   | CUSIP: 22540VQ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102443 | PA      | $108415.15    | 0.03%             | 2032-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379EHN5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    423664 | PA      | $50816.30     | 0.01%             | 2044-08-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FTZS9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1215839 | PA      | $75965.15     | 0.02%             | 2030-04-25      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H53L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4400000 | PA      | $3002227.80   | 0.83%             | 2042-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38375KW40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271821 | PA      | $17392.65     | 0.00%             | 2037-07-20      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622AB4Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    160826 | PA      | $159226.12    | 0.04%             | 2052-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179UPD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184559 | PA      | $188078.73    | 0.05%             | 2049-03-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FWHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1079549 | PA      | $61482.50     | 0.02%             | 2030-07-25      | Variable      | 1.52%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38376TX56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    463938 | PA      | $2480.68      | 0.00%             | 2034-11-16      | Floating      | 1.67%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BMY69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6912219 | PA      | $5070041.69   | 1.40%             | 2042-06-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Hartwick Park CLO, Ltd.                                 | Hartwick Park CLO Ltd                                                 | CUSIP: 417402AE4<br>LEI: 2549003E1ZAWJG55NM75 | Long             | ABS-CBDO         | CORP              | JE        |    590000 | PA      | $578958.33    | 0.16%             | 2037-01-20      | Floating      | 9.12%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FG2G1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1129944 | PA      | $191050.55    | 0.05%             | 2041-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2024-R01                          | CUSIP: 20753UAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1036399.70   | 0.29%             | 2044-01-25      | Floating      | 8.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179USX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130661 | PA      | $132998.04    | 0.04%             | 2049-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SESAC Finance, LLC                                      | Sesac Finance LLC                                                     | CUSIP: 78396YAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1382500 | PA      | $1411763.79   | 0.39%             | 2054-01-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617Q6VQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1227393 | PA      | $1072392.88   | 0.30%             | 2050-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381HDN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    800000 | PA      | $414367.60    | 0.11%             | 2063-10-16      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380JKP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1363505 | PA      | $52467.14     | 0.01%             | 2060-03-16      | Variable      | 0.62%                 | No            |                  2 | On Loan: No      |
| ONNI Commercial Mortgage Trust                          | ONNI Commerical Mortgage Trust 2024-APT                               | CUSIP: 682939AG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1241967.00   | 0.34%             | 2039-07-15      | Variable      | 7.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BCD80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    926800 | PA      | $147044.26    | 0.04%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378TZT0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1273542 | PA      | $38249.04     | 0.01%             | 2041-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                           | Sierra Timeshare 2024-1 Receivables Funding LLC                       | CUSIP: 826935AD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    725841 | PA      | $740844.71    | 0.20%             | 2043-01-20      | Fixed         | 8.02%                 | No            |                  2 | On Loan: No      |
| LITHIA MOTORS INC                                       | Lithia Motors Inc                                                     | CUSIP: 536797AF0<br>LEI: SE8N1EZEHPZQBCBVKD53 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $951554.65    | 0.26%             | 2031-01-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Conseco Financial Corp                                  | Conseco Finance Corp                                                  | CUSIP: 393505UW0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184476 | PA      | $186929.10    | 0.05%             | 2029-02-15      | Variable      | 7.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140KYDF8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140075 | PA      | $118600.82    | 0.03%             | 2051-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F050676<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6300000 | PA      | $6174847.60   | 1.70%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3138WTZS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1966852 | PA      | $1900114.33   | 0.52%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGVA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    976662 | PA      | $148718.09    | 0.04%             | 2049-04-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2025-DNA1                               | CUSIP: 35564NGA5<br>LEI: 529900WZAMS87JCAOC53 | Long             | ABS-MBS          | CORP              | US        |    920000 | PA      | $920552.92    | 0.25%             | 2045-01-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Western Asset Premier Institutional Government Reserves | Western Asset Premier Institutional Government Reserves               | CUSIP: 52470G494<br>LEI: 549300WB3XRN9YTWFB76 | Long             | STIV             | RF                | US        |   6288529 | NS      | $6288528.65   | 1.73%             |  |  |  | No            |                  1 | On Loan: No      |
| Credit Suisse Mortgage Trust                            | CSMC 2017-RPL3 Trust                                                  | CUSIP: 12651YAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1194405 | PA      | $1166890.85   | 0.32%             | 2057-08-01      | Variable      | 4.47%                 | No            |                  2 | On Loan: No      |
| Pear LLC                                                | PEAR 2021-1 LLC                                                       | CUSIP: 70472TAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    423265 | PA      | $419897.76    | 0.12%             | 2034-01-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382X6W0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4547009 | PA      | $687351.77    | 0.19%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381H8H7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2875540 | PA      | $2164506.01   | 0.60%             | 2064-06-16      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36207LFG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1088 | PA      | $1110.32      | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B0UH7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3454766 | PA      | $695001.79    | 0.19%             | 2048-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B5UN3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1566632 | PA      | $188223.51    | 0.05%             | 2049-08-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXFC1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3008201 | PA      | $3042580.24   | 0.84%             | 2045-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MetroNet Infrastructure Issuer                          | MetroNet Infrastructure Issuer LLC                                    | CUSIP: 59170JAG3<br>LEI: 5493000BIROCAEATAQ61 | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1227412.20   | 0.34%             | 2054-04-20      | Fixed         | 6.23%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31384VNK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       674 | PA      | $675.83       | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36225BHH4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       240 | PA      | $245.36       | 0.00%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| MSWF Commercial Mortgage Trust                          | MSWF Commercial Mortgage Trust 2023-1                                 | CUSIP: 55376CBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1939000 | PA      | $1417262.41   | 0.39%             | 2056-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Castlelake Aircraft Securitiza                          | Castlelake Aircraft Structured Trust 2021-1                           | CUSIP: 14856GAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    126372 | PA      | $124554.52    | 0.03%             | 2046-01-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                          | Bayview Opportunity Master Fund VII 2024-EDU1 LLC                     | CUSIP: 07336PAD6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1458830 | PA      | $1488585.70   | 0.41%             | 2047-06-25      | Floating      | 7.06%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FCYW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29557 | PA      | $3858.27      | 0.00%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H3WN8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4796432 | PA      | $675725.65    | 0.19%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137ARUW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     84155 | PA      | $941.64       | 0.00%             | 2027-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F060675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  15800000 | PA      | $16057209.62  | 4.42%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622AAZZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    297826 | PA      | $239109.49    | 0.07%             | 2051-03-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F032674<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3900000 | PA      | $3511715.03   | 0.97%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SUNRUN VULCAN ISSUER LLC                                | Sunrun Vulcan Issuer 2021-1 LLC                                       | CUSIP: 86773QAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    665303 | PA      | $599277.68    | 0.16%             | 2052-01-30      | Fixed         | 2.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31385H7C0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1963 | PA      | $1969.55      | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31386HMR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       162 | PA      | $161.96       | 0.00%             | 2031-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2023-1                                                          | CUSIP: 75973HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1390908 | PA      | $1357431.30   | 0.37%             | 2058-11-20      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383YKD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5846249 | PA      | $4117674.23   | 1.13%             | 2064-08-16      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ABU83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    514480 | PA      | $453182.55    | 0.12%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 31424U8E9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4041283 | PA      | $939511.11    | 0.26%             | 2053-10-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133AGRE1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67490 | PA      | $54751.28     | 0.02%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| MULTIFAMILY CONNECTICUT AVENUE                          | Multifamily Connecticut Avenue Securities Trust 2020-01               | CUSIP: 62548QAF8<br>LEI: 5493002KQF9IH3CTQZ40 | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2352778.20   | 0.65%             | 2050-03-25      | Floating      | 11.92%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380LU50<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    675092 | PA      | $674561.04    | 0.19%             | 2070-01-20      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MKP78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62661 | PA      | $52780.03     | 0.01%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H022671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4700000 | PA      | $3993833.84   | 1.10%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382MTZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    654114 | PA      | $649625.53    | 0.18%             | 2051-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2024-RTL1                         | CUSIP: 64831PAB1<br>LEI: 213800CVLC5IFCJL6C96 | Long             | ABS-MBS          | CORP              | US        |   1250000 | PA      | $1261727.50   | 0.35%             | 2039-03-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179WDG0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    425310 | PA      | $338007.50    | 0.09%             | 2051-04-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| J.G. Wentworth XLI LLC                                  | J.G. Wentworth XLI LLC                                                | CUSIP: 46651TAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1634331 | PA      | $1443467.01   | 0.40%             | 2074-10-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| MFRA Trust                                              | MFA 2024-RTL3 Trust                                                   | CUSIP: 59319PAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1177151.98   | 0.32%             | 2039-11-25      | Variable      | 5.91%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136A35F4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18021 | PA      | $18466.10     | 0.01%             | 2039-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ZF NA CAPITAL                                           | ZF North America Capital Inc                                          | CUSIP: 98877DAG0<br>LEI: 529900JYGMS9CW9IQX78 | Long             | DBT              | CORP              | US        |    650000 | PA      | $601270.11    | 0.17%             | 2032-04-23      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2024-2                                                          | CUSIP: 75975DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    929630 | PA      | $900300.37    | 0.25%             | 2060-11-20      | Fixed         | 8.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382HYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5643130 | PA      | $842021.59    | 0.23%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Capital Automotive Reit                                 | CARS-DB7 LP                                                           | CUSIP: 12510HAS9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1182825 | PA      | $1191668.04   | 0.33%             | 2053-09-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                            | Huntington Bank Auto Credit-Linked Notes Series 2025-1                | CUSIP: 446438TA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1004349 | PA      | $1005138.98   | 0.28%             | 2033-03-21      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617Q0FZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    950194 | PA      | $888004.30    | 0.24%             | 2050-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                             | Extended Stay America Trust 2021-ESH                                  | CUSIP: 30227FAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1286592 | PA      | $1288799.92   | 0.35%             | 2038-07-15      | Floating      | 8.13%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136A6X74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    801693 | PA      | $103185.16    | 0.03%             | 2042-07-25      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| Pear LLC                                                | Pear 2024-1 LLC                                                       | CUSIP: 704933AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    692321 | PA      | $698595.06    | 0.19%             | 2036-02-15      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31368HKV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       761 | PA      | $786.58       | 0.00%             | 2030-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXTS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    761192 | PA      | $605378.93    | 0.17%             | 2061-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New York Mortgage Trust                                 | NYMT Loan Trust Series 2024-BPL1                                      | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $1006432.70   | 0.28%             | 2029-02-25      | Variable      | 7.15%                 | No            |                  2 | On Loan: No      |
| ExteNet Systems                                         | ExteNet Issuer LLC                                                    | CUSIP: 30227XAJ0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $1015550.10   | 0.28%             | 2054-07-25      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H030674<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4600000 | PA      | $4069490.23   | 1.12%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2021-R01                          | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1190000 | PA      | $1243404.34   | 0.34%             | 2041-10-25      | Floating      | 10.31%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H1RF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6570716 | PA      | $938186.48    | 0.26%             | 2048-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Balboa Bay Loan Funding Ltd                             | Balboa Bay Loan Funding 2024-2 Ltd                                    | CUSIP: 05765BAA7<br>LEI: 254900FG1DS8PNX30R63 | Long             | ABS-CBDO         | CORP              | KY        |    790000 | PA      | $800290.78    | 0.22%             | 2038-01-20      | Floating      | 10.07%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622A3CN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1065136 | PA      | $992783.63    | 0.27%             | 2047-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381E2F4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1920782 | PA      | $779013.99    | 0.21%             | 2063-10-16      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BCAY6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    136207 | PA      | $23366.82     | 0.01%             | 2050-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H24R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7077973 | PA      | $1030721.27   | 0.28%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MKK99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    503743 | PA      | $470851.49    | 0.13%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-HQA3                                     | CUSIP: 35564XBE0<br>LEI: 549300EUJICRX5L38Y52 | Long             | ABS-MBS          | CORP              | US        |    860000 | PA      | $975117.19    | 0.27%             | 2049-09-25      | Floating      | 11.92%                | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132DN5A7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2739792 | PA      | $2712052.07   | 0.75%             | 2052-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BMP Trust                                               | BMP 2024-MF23                                                         | CUSIP: 05593JAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1420000 | PA      | $1419522.17   | 0.39%             | 2041-06-15      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178WDN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    135241 | PA      | $122617.07    | 0.03%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| TWO HARBORS INV CORP                                    | Two Harbors Investment Corp                                           | CUSIP: 90187BAB7<br>LEI: 549300ZUIBT6KH4HU823 | Long             | DBT              | CORP              | US        |   1600000 | PA      | $1573600.00   | 0.43%             | 2026-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FTYH4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4974831 | PA      | $1161373.22   | 0.32%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H050672<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6700000 | PA      | $6582480.12   | 1.81%             | 2055-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617VKGV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     62278 | PA      | $52438.23     | 0.01%             | 2051-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B45U8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2442771 | PA      | $1728089.58   | 0.48%             | 2049-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381ATU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1794972 | PA      | $211847.32    | 0.06%             | 2048-10-20      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136B9NK9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  40197703 | PA      | $758184.95    | 0.21%             | 2032-04-25      | Variable      | 0.54%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FL2N3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  39677908 | PA      | $1148512.75   | 0.32%             | 2034-01-25      | Variable      | 0.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371HVD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1411 | PA      | $1437.92      | 0.00%             | 2029-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137AYYC9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    701674 | PA      | $31250.09     | 0.01%             | 2033-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F6P92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    122854 | PA      | $17050.55     | 0.00%             | 2050-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380L7G2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6899180 | PA      | $284815.38    | 0.08%             | 2070-04-01      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FUWV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1944653 | PA      | $285247.19    | 0.08%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FUXW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  10009245 | PA      | $1496513.26   | 0.41%             | 2050-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H3EX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  11372451 | PA      | $294432.76    | 0.08%             | 2031-08-25      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179UH70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    228175 | PA      | $232846.84    | 0.06%             | 2048-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                             | RAAC Series 2007-SP1 Trust                                            | CUSIP: 74978AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1027465 | PA      | $799537.29    | 0.22%             | 2037-03-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FUZK3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4312568 | PA      | $462594.89    | 0.13%             | 2035-05-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H73R2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  17059892 | PA      | $304647.02    | 0.08%             | 2032-03-25      | Variable      | 0.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380PWC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4429013 | PA      | $260171.76    | 0.07%             | 2060-05-16      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                    | CUSIP: 31352DC24<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    166207 | PA      | $8994.91      | 0.00%             | 2038-02-15      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H020675<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2200000 | PA      | $1792271.47   | 0.49%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31397UUU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110091 | PA      | $113474.28    | 0.03%             | 2041-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136B9J99<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4998979 | PA      | $383324.17    | 0.11%             | 2037-01-25      | Variable      | 1.70%                 | No            |                  2 | On Loan: No      |
| CHIMERA INVESTMENT CORP                                 | Chimera Investment Corp                                               | CUSIP: 16934Q505<br>LEI: 2JBBQFJOL123LOUBE657 | Long             | EP               | CORP              | US        |     61325 | NS      | $1384105.25   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136B4C71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  11051919 | PA      | $325051.30    | 0.09%             | 2029-06-25      | Variable      | 1.16%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 31395QC40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2202679 | PA      | $377036.76    | 0.10%             | 2043-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H052678<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8600000 | PA      | $8613973.19   | 2.37%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133KGFZ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112104 | PA      | $108957.19    | 0.03%             | 2049-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corportation Trust 2021-IP                     | CUSIP: 36262MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    360000 | PA      | $358809.52    | 0.10%             | 2036-10-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FUNG5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3757268 | PA      | $2261099.30   | 0.62%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140QKDU9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    274689 | PA      | $246171.79    | 0.07%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H6ZT5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  34166752 | PA      | $633147.51    | 0.17%             | 2032-02-25      | Variable      | 0.41%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FXSE9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  15861915 | PA      | $2619768.19   | 0.72%             | 2051-03-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31389FXQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6586 | PA      | $6585.91      | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GoodLeap Sustainable Home Impr                          | GoodLeap Sustainable Home Solutions Trust 2021-5                      | CUSIP: 38237HAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1372662 | PA      | $762832.96    | 0.21%             | 2048-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BFLD Trust                                              | BFLD Commercial Mortgage Trust 2024-UNIV                              | CUSIP: 08861RAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1170000 | PA      | $1172621.85   | 0.32%             | 2041-11-15      | Floating      | 7.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F062671<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6700000 | PA      | $6918640.16   | 1.90%             | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2025-SPOT                                | CUSIP: 12433FAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1294316.53   | 0.36%             | 2040-04-15      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| BXHPP Trust                                             | BXHPP Trust 2021-FILM                                                 | CUSIP: 05609JAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2207000 | PA      | $1988515.83   | 0.55%             | 2036-08-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H74C4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  66209110 | PA      | $1399488.45   | 0.39%             | 2055-04-25      | Variable      | 0.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132DTDT4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2017293 | PA      | $1957347.19   | 0.54%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2024-C63                        | CUSIP: 94990FAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280000 | PA      | $286372.35    | 0.08%             | 2057-08-15      | Fixed         | 5.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380PCQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6418523 | PA      | $380871.30    | 0.10%             | 2062-04-16      | Variable      | 0.82%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                       | Magnetite XXXIX Ltd                                                   | CUSIP: 559923AE7<br>LEI: 529900728SHVCI48J015 | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $791158.16    | 0.22%             | 2037-01-25      | Floating      | 9.18%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380R4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4565565 | PA      | $290045.78    | 0.08%             | 2062-10-16      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Tricon Residential                                      | Tricon Residential 2024-SFR4 Trust                                    | CUSIP: 895975AD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1170000 | PA      | $1158359.55   | 0.32%             | 2041-11-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178NF95<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53253 | PA      | $48314.60     | 0.01%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGV57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    756328 | PA      | $96350.85     | 0.03%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381BDT8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    792902 | PA      | $757953.42    | 0.21%             | 2048-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136BASJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17076214 | PA      | $779648.71    | 0.21%             | 2032-12-25      | Variable      | 1.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ABP55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2809340 | PA      | $2472004.77   | 0.68%             | 2052-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                                | Benchmark 2021-B25 Mortgage Trust                                     | CUSIP: 08163DAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16622573 | PA      | $766606.46    | 0.21%             | 2054-04-15      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 31397PM49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    186339 | PA      | $19743.08     | 0.01%             | 2037-12-15      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382VNB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2595531 | PA      | $452676.00    | 0.12%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FLVX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1304372 | PA      | $156786.43    | 0.04%             | 2049-05-15      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133AJ6U2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383510 | PA      | $309052.55    | 0.09%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BDQ84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    645789 | PA      | $96283.43     | 0.03%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38377UJK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       448 | PA      | $0.68         | 0.00%             | 2025-12-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31388NC53<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1153 | PA      | $1167.45      | 0.00%             | 2031-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136AKTB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    466327 | PA      | $27303.81     | 0.01%             | 2044-08-25      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 31395Q3F5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5240947 | PA      | $910720.68    | 0.25%             | 2043-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382EDT1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    175470 | PA      | $32967.70     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BN3N4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    719348 | PA      | $687643.59    | 0.19%             | 2052-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortg                          | Saluda Grade Alternative Mortgage Trust 2024-RTL4                     | CUSIP: 79584CAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1140724.13   | 0.31%             | 2030-02-25      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31384SPY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2431 | PA      | $2445.27      | 0.00%             | 2030-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2024-3                                     | CUSIP: 92540MAC9<br>LEI: 2138005NRONUFED1TZ38 | Long             | ABS-MBS          | CORP              | US        |    509107 | PA      | $516228.07    | 0.14%             | 2069-04-25      | Variable      | 6.84%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                     | BHMS 2018-ATLS                                                        | CUSIP: 05549GAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2249106.98   | 0.62%             | 2035-07-15      | Floating      | 6.51%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | J.P. Morgan Mortgage Trust 2021-14                                    | CUSIP: 46653QBZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  20898166 | PA      | $621028.71    | 0.17%             | 2052-05-25      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz                          | NRM FNT1 Excess LLC                                                   | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    830991 | PA      | $845555.03    | 0.23%             | 2031-11-25      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BDVZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4935560 | PA      | $715459.24    | 0.20%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132D9F74<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2091953 | PA      | $1870410.54   | 0.51%             | 2041-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSMPS Mortgage Loan Trust                               | GSMPS Mortgage Loan Trust 2006-RP2                                    | CUSIP: 36298XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    830300 | PA      | $716731.34    | 0.20%             | 2036-04-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38375BAM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    197748 | PA      | $198725.83    | 0.05%             | 2060-02-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38376ETM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57680 | PA      | $58184.67     | 0.02%             | 2059-11-20      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H032670<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1700000 | PA      | $1545755.40   | 0.43%             | 2055-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JPMCC Commercial Mortgage Securities Trust 2019-COR5                  | CUSIP: 46591EAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14772130 | PA      | $626036.95    | 0.17%             | 2052-06-13      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HCMV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2610844 | PA      | $561449.04    | 0.15%             | 2054-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178WDM8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94661 | PA      | $85881.67     | 0.02%             | 2042-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ACCK4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    239528 | PA      | $237298.71    | 0.07%             | 2053-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383M3M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1200000 | PA      | $1084820.04   | 0.30%             | 2051-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| The Huntington National Bank                            | Huntington Bank Auto Credit-Linked Notes Series 2024-2                | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1301939 | PA      | $1317028.77   | 0.36%             | 2032-10-20      | Floating      | 8.30%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FYTY2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  14861908 | PA      | $510704.19    | 0.14%             | 2036-02-25      | Variable      | 0.58%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2015-C                               | CUSIP: 78448R106<br>LEI: 549300GD7VLLBVPDNJ81 | Long             | ABS-O            | CORP              | US        |      2751 | PA      | $737818.70    | 0.20%             | 2046-09-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132ADGQ5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    646501 | PA      | $602497.00    | 0.17%             | 2043-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31387VS91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1240 | PA      | $1243.15      | 0.00%             | 2031-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136ATLX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3820067 | PA      | $485822.04    | 0.13%             | 2038-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382WKF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7006756 | PA      | $1235711.47   | 0.34%             | 2051-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Social Professional Loan Progr                          | SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC                             | CUSIP: 83401B106<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     25000 | PA      | $204679.30    | 0.06%             | 2041-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H63C7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1549012 | PA      | $202302.09    | 0.06%             | 2046-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380RTP5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2848964 | PA      | $2204073.23   | 0.61%             | 2063-06-16      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F020679<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  17300000 | PA      | $13699114.86  | 3.77%             | 2055-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-72877.50    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31418AS82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1398946 | PA      | $1340499.31   | 0.37%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371JDS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       465 | PA      | $480.24       | 0.00%             | 2030-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H0GP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6100874 | PA      | $72062.91     | 0.02%             | 2028-03-25      | Variable      | 0.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MB4M8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    330186 | PA      | $304094.56    | 0.08%             | 2050-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617B9A63<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2698821 | PA      | $2486342.69   | 0.68%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371JXA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       976 | PA      | $1012.73      | 0.00%             | 2031-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| EXPAND ENERGY CORP                                      | Expand Energy Corp                                                    | CUSIP: 845467AT6<br>LEI: X2MT1W32SPAZ9WSKLE78 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $1070361.49   | 0.29%             | 2032-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Fanniemae-Aces                                          | Fannie Mae-Aces                                                       | CUSIP: 3136B86Y0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5948240 | PA      | $262886.64    | 0.07%             | 2029-01-25      | Variable      | 1.89%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2021-1 Trust                                                | CUSIP: 38217UAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    542455 | PA      | $435450.23    | 0.12%             | 2056-10-15      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| Progress Residential Trust                              | Progress Residential 2024-SFR1 Trust                                  | CUSIP: 74331QAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $943708.80    | 0.26%             | 2041-02-17      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137AURP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1052413 | PA      | $82629.16     | 0.02%             | 2032-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382DWM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    740547 | PA      | $99831.84     | 0.03%             | 2047-07-20      | Floating      | 1.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378CMW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    146283 | PA      | $11282.84     | 0.00%             | 2041-02-20      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| Starwood Mortgage Residential                           | Starwood Mortgage Residential Trust 2021-4                            | CUSIP: 85573PAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1490000 | PA      | $1040698.70   | 0.29%             | 2056-08-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2021-C59                        | CUSIP: 95003CBU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  12208735 | PA      | $755546.11    | 0.21%             | 2054-04-15      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378KQR3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7088768 | PA      | $134877.27    | 0.04%             | 2047-11-16      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MQCZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420503 | PA      | $354059.25    | 0.10%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F7PV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4581452 | PA      | $564920.10    | 0.16%             | 2050-12-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36212J4T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1882 | PA      | $1889.83      | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                                | Dividend Solar Loans 2019-1 LLC                                       | CUSIP: 255388AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    575641 | PA      | $529751.62    | 0.15%             | 2039-08-22      | Fixed         | 3.67%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2021-ARIA                                                    | CUSIP: 05608RAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $1062549.06   | 0.29%             | 2036-10-15      | Floating      | 7.57%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622AAKS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53663 | PA      | $46791.50     | 0.01%             | 2050-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178WGQ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    116101 | PA      | $103971.68    | 0.03%             | 2042-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2020-GC47                                | CUSIP: 36258RBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  16876524 | PA      | $740347.78    | 0.20%             | 2053-05-12      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3620E0DH6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    668122 | PA      | $678202.12    | 0.19%             | 2060-06-20      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617JYLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    491050 | PA      | $446935.97    | 0.12%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HHLW9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    418439 | PA      | $418757.23    | 0.12%             | 2054-12-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                                | JP Morgan Mortgage Trust Series 2024-3                                | CUSIP: 46657QBB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  35040500 | PA      | $718268.92    | 0.20%             | 2054-05-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XQQ91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  19776567 | PA      | $16986935.96  | 4.68%             | 2042-08-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136A54N3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    120732 | PA      | $130260.65    | 0.04%             | 2042-05-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371KA68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1025 | PA      | $1069.02      | 0.00%             | 2031-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1         | CUSIP: 35563PAH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  45589840 | PA      | $183225.57    | 0.05%             | 2055-09-25      | Variable      | 0.07%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BHK40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3238663 | PA      | $462498.85    | 0.13%             | 2048-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan                           | New Residential Mortgage Loan Trust 2014-1                            | CUSIP: 64828AAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    347385 | PA      | $337475.92    | 0.09%             | 2054-01-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382EG84<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    942505 | PA      | $178445.73    | 0.05%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F022675<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  27600000 | PA      | $22888214.39  | 6.30%             | 2055-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                 | CUSIP: 3132L6ZW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2103246 | PA      | $2062521.33   | 0.57%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H6V44<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2800000 | PA      | $2049281.92   | 0.56%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FG4Z7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     15356 | PA      | $2392.24      | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGKD2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    712714 | PA      | $100809.05    | 0.03%             | 2049-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage                           | Citigroup Commercial Mortgage Trust 2015-GC29                         | CUSIP: 17323VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1215160.00   | 0.33%             | 2048-04-10      | Fixed         | 3.11%                 | No            |                  2 | On Loan: No      |
| Multifamily Trust                                       | Multifamily Trust 2016-1                                              | CUSIP: 62547L103<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    566594 | PA      | $562626.62    | 0.15%             | 2046-04-25      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US ULTRA BOND CBT                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -20 | NC      | $-43159.60    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| AGNC INVESTMENT CORP                                    | AGNC Investment Corp                                                  | CUSIP: 00123Q872<br>LEI: 5TRACI5HRMELWV32OF39 | Long             | EP               | CORP              | US        |     79062 | NS      | $1985246.82   | 0.55%             |  |  |  | No            |                  1 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 31424UBD7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1524221 | PA      | $282147.81    | 0.08%             | 2052-09-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36211FRS6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       335 | PA      | $336.11       | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382FVN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1069245 | PA      | $201035.78    | 0.06%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379RPH0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    420735 | PA      | $11184.99     | 0.00%             | 2058-07-16      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| BHMS Mortgage Trust                                     | BHMS 2018-MZB                                                         | CUSIP: 05549GAS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    970000 | PA      | $967309.80    | 0.27%             | 2025-07-15      | Floating      | 11.25%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382X4G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6814182 | PA      | $968069.10    | 0.27%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617GSZQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     72167 | PA      | $68797.02     | 0.02%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Sierra Receivables Funding Co                           | Sierra Timeshare 2024-2 Receivables Funding LLC                       | CUSIP: 82650DAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1454623 | PA      | $1457587.30   | 0.40%             | 2041-06-20      | Fixed         | 7.48%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgage                          | MASTR Adjustable Rate Mortgages Trust 2006-OA1                        | CUSIP: 576433G42<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    214822 | PA      | $197387.72    | 0.05%             | 2046-04-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31396Q3B3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    476835 | PA      | $487347.46    | 0.13%             | 2039-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-39971.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2014-A                               | CUSIP: 784456105<br>LEI: 549300XC4C7GRVLU6076 | Long             | ABS-O            | CORP              | US        |     22179 | PA      | $665343.35    | 0.18%             | 2045-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B5EN1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2882484 | PA      | $357346.20    | 0.10%             | 2049-07-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F86B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    984606 | PA      | $173205.68    | 0.05%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380QDH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48532 | PA      | $48078.20     | 0.01%             | 2070-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136AKTJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    845786 | PA      | $51976.01     | 0.01%             | 2044-08-25      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan T                          | Alternative Loan Trust 2006-OA9                                       | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60295 | PA      | $51214.39     | 0.01%             | 2046-07-20      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| Bayview Opportunity Master Fun                          | Bayview Opportunity Master Fund VII 2024-CAR1 LLC                     | CUSIP: 07336QAE2<br>LEI: 254900S53K9VTUR1UX42 | Long             | ABS-O            | CORP              | US        |    810965 | PA      | $816058.27    | 0.22%             | 2031-12-26      | Floating      | 7.91%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137B1W73<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3522307 | PA      | $2893016.02   | 0.80%             | 2043-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133D3X67<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     61924 | PA      | $55546.23     | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31385JBM9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        70 | PA      | $71.43        | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FPWG6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3480261 | PA      | $2544139.48   | 0.70%             | 2049-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXKP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    982918 | PA      | $942077.10    | 0.26%             | 2058-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST        | CUSIP: 46652DAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2106000 | PA      | $101.30       | 0.00%             | 2036-12-15      | Floating      | 11.68%                | No            |                  2 | On Loan: No      |
| Avis Budget Rental Car Funding                          | Avis Budget Rental Car Funding AESOP LLC                              | CUSIP: 05377RJU9<br>LEI: IHXLB8SL0QWSSG2VG640 | Long             | ABS-O            | CORP              | US        |   1230000 | PA      | $1238622.76   | 0.34%             | 2029-12-20      | Fixed         | 7.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136AA3G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    433826 | PA      | $8061.31      | 0.00%             | 2028-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2024-BIO2                                | CUSIP: 05613GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1020000 | PA      | $1015918.88   | 0.28%             | 2041-08-13      | Variable      | 7.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1         | CUSIP: 35563PAF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4388654 | PA      | $632959.80    | 0.17%             | 2055-09-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B5PY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1639880 | PA      | $178195.64    | 0.05%             | 2049-08-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371KNJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       770 | PA      | $791.16       | 0.00%             | 2032-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| TICP CLO Ltd                                            | TICP CLO VII Ltd                                                      | CUSIP: 87248TAS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $998184.60    | 0.27%             | 2033-04-15      | Floating      | 7.72%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31418FBN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1858314 | PA      | $1859679.00   | 0.51%             | 2054-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36213T5Z2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1101 | PA      | $1103.96      | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2019-FAME                | CUSIP: 63873VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2077000 | PA      | $1072092.77   | 0.30%             | 2036-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140X92S3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    318154 | PA      | $256617.87    | 0.07%             | 2051-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp Trust 2018-LUAU                           | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1070000 | PA      | $1062136.04   | 0.29%             | 2032-11-15      | Floating      | 9.06%                 | No            |                  2 | On Loan: No      |
| Dividend Solar Loans LLC                                | Dividend Solar Loans 2018-1 LLC                                       | CUSIP: 255396AB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    445781 | PA      | $413736.30    | 0.11%             | 2038-07-20      | Fixed         | 4.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379WWN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1364864 | PA      | $156484.96    | 0.04%             | 2046-04-20      | Floating      | 1.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXG89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1306109 | PA      | $1251824.11   | 0.34%             | 2057-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Stonepeak                                               | Stonepeak 2021-1 ABS                                                  | CUSIP: 78433XAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1016468 | PA      | $969164.05    | 0.27%             | 2033-02-28      | Fixed         | 3.82%                 | No            |                  2 | On Loan: No      |
| 280 Park Avenue Mortgage Trust                          | 280 Park Avenue 2017-280P Mortgage Trust                              | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2402867.00   | 0.66%             | 2034-09-15      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| Wave USA                                                | WAVE 2019-1 LLC                                                       | CUSIP: 94354KAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333676 | PA      | $320241.02    | 0.09%             | 2044-09-15      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H1X92<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7008451 | PA      | $977637.51    | 0.27%             | 2048-07-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XQFP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   6137574 | PA      | $5091743.52   | 1.40%             | 2042-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Ltd                           | CAFL 2023-RTL1 Issuer LLC                                             | CUSIP: 124762AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1140000 | PA      | $1155826.73   | 0.32%             | 2030-12-28      | Variable      | 9.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379JHX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    633806 | PA      | $107810.96    | 0.03%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Mach I                                                  | MACH 1 Cayman 2019-1 Ltd                                              | CUSIP: 55446MAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    290607 | PA      | $282910.55    | 0.08%             | 2039-10-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F8D59<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1912664 | PA      | $278996.04    | 0.08%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae - CAS                                        | Connecticut Avenue Securities Trust 2025-R02                          | CUSIP: 20754TAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600000 | PA      | $600680.04    | 0.17%             | 2045-02-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617B83A4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    407224 | PA      | $375163.10    | 0.10%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MF1 Multifamily Housing Mortga                          | MF1 2024-FL16                                                         | CUSIP: 55287EAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   1980000 | PA      | $1984871.99   | 0.55%             | 2039-11-18      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3622A3CG3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    158784 | PA      | $148365.74    | 0.04%             | 2048-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FULL HOUSE RESORTS INC                                  | Full House Resorts Inc                                                | CUSIP: 359678AC3<br>LEI: 5493009DKIWW0H901Y82 | Long             | DBT              | CORP              | US        |   1200000 | PA      | $1166843.04   | 0.32%             | 2028-02-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Trust 2019-GC39                                | CUSIP: 36260JAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  34246014 | PA      | $1233702.39   | 0.34%             | 2052-05-10      | Variable      | 1.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H2TB0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    884356 | PA      | $132076.17    | 0.04%             | 2051-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140HBJB5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    431951 | PA      | $421856.20    | 0.12%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3620AMA44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    209289 | PA      | $211679.71    | 0.06%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36225BKN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2862 | PA      | $2874.25      | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | U.S. TREASURY BOND                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -28 | NC      | $-43798.44    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133AJ6W8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     67406 | PA      | $54131.85     | 0.01%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| American Money Management Corp                          | AMMC CLO 30 Ltd                                                       | CUSIP: 03165UAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    750000 | PA      | $753623.33    | 0.21%             | 2037-01-15      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FGKF1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    954059 | PA      | $118287.93    | 0.03%             | 2048-07-15      | Floating      | 1.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179V6V7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    486133 | PA      | $387552.12    | 0.11%             | 2051-02-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380CK51<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2827685 | PA      | $546246.59    | 0.15%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2021-HQA4                               | CUSIP: 35564KPP8<br>LEI: 5493000ISE4NWBTOSK36 | Long             | ABS-MBS          | CORP              | US        |   2240000 | PA      | $2373297.02   | 0.65%             | 2041-12-25      | Floating      | 11.31%                | No            |                  2 | On Loan: No      |
| JPMDB Commercial Mortgage Secu                          | JPMDB Commercial Mortgage Securities Trust 2017-C7                    | CUSIP: 46648KAZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    420000 | PA      | $391492.71    | 0.11%             | 2050-10-15      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H060671<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6800000 | PA      | $6901454.44   | 1.90%             | 2055-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179UZW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    557604 | PA      | $556881.69    | 0.15%             | 2049-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XPZE2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    263840 | PA      | $257228.37    | 0.07%             | 2053-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382XHX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2836047 | PA      | $535171.17    | 0.15%             | 2051-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382JZK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    130766 | PA      | $18460.03     | 0.01%             | 2050-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31393ANU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33526 | PA      | $4817.00      | 0.00%             | 2033-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378YJ59<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    712102 | PA      | $166417.46    | 0.05%             | 2044-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380QGQ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    670706 | PA      | $662827.24    | 0.18%             | 2070-07-20      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31385JBP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       627 | PA      | $645.05       | 0.00%             | 2032-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137AXDQ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1098429 | PA      | $80558.90     | 0.02%             | 2032-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SEB Funding LLC                                         | SEB Funding LLC                                                       | CUSIP: 78433DAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1870000 | PA      | $1914826.89   | 0.53%             | 2054-04-30      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Avenue of Americas                                      | AOA 2021-1177 Mortgage Trust                                          | CUSIP: 00192NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    670000 | PA      | $657263.57    | 0.18%             | 2038-10-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MB5S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85761 | PA      | $80571.40     | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3620AL7M0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95092 | PA      | $96285.78     | 0.03%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36213QCY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15209 | PA      | $15264.92     | 0.00%             | 2031-07-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Sunnova Hestia I Issuer, LLC                            | Sunnova Hestia I Issuer LLC                                           | CUSIP: 86746BAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1949573 | PA      | $1967084.92   | 0.54%             | 2050-12-20      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3617MKMK2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1589019 | PA      | $1482072.10   | 0.41%             | 2050-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383FF40<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3364874 | PA      | $628870.77    | 0.17%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36210Y2E4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      2012 | PA      | $2028.24      | 0.00%             | 2029-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2020-A                               | CUSIP: 78449UAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1833008.20   | 0.50%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Aqua Finance Trust                                      | Aqua Finance Trust 2020-A                                             | CUSIP: 038413AC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1913503 | PA      | $1862752.75   | 0.51%             | 2046-07-17      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 3617MB5P0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51029 | PA      | $47933.02     | 0.01%             | 2050-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137FWG95<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1282135 | PA      | $69399.02     | 0.02%             | 2030-06-25      | Variable      | 1.42%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Inve                          | Structured Asset Mortgage Investments II Trust 2006-AR6               | CUSIP: 86360UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     60275 | PA      | $52777.77     | 0.01%             | 2046-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31398TUX7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    444398 | PA      | $36793.17     | 0.01%             | 2040-08-25      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| Ocean Trails CLO                                        | Ocean Trails CLO XIV Ltd                                              | CUSIP: 67515MAG3<br>LEI: 254900TWRKR5CRS1OX19 | Long             | ABS-CBDO         | CORP              | JE        |    900000 | PA      | $914713.38    | 0.25%             | 2038-01-20      | Floating      | 10.61%                | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Securitized Participation Interests Trust 2017-SPI1 | CUSIP: 3137G1CG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1788500 | PA      | $1436118.19   | 0.40%             | 2047-09-25      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132DMT62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    119007 | PA      | $96553.74     | 0.03%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137HHNF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    373800 | PA      | $373100.05    | 0.10%             | 2054-12-25      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36178DH20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86101 | PA      | $78222.09     | 0.02%             | 2042-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382KS87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    201456 | PA      | $28805.62     | 0.01%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                             | CUSIP: 31288QFS4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    264552 | PA      | $269577.38    | 0.07%             | 2047-11-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371KDN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       701 | PA      | $713.90       | 0.00%             | 2031-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MYQZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    910517 | PA      | $847554.54    | 0.23%             | 2050-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31371H6S2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       869 | PA      | $898.54       | 0.00%             | 2030-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac Multiclass Certifi                          | Freddie Mac Multifamily PC REMIC Trust 2019-RR01                      | CUSIP: 3137FQ3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2400000 | PA      | $86963.16     | 0.02%             | 2028-06-25      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38374JQT6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232265 | PA      | $4120.76      | 0.00%             | 2034-10-16      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382M5G0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4354866 | PA      | $763871.77    | 0.21%             | 2051-01-16      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                             | CUSIP: 31288QFW5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    383065 | PA      | $384266.71    | 0.11%             | 2050-02-01      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BH3Z0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4952817 | PA      | $722736.87    | 0.20%             | 2048-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                          | Morgan Stanley Capital I Trust 2021-230P                              | CUSIP: 61772WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1865445.20   | 0.51%             | 2038-12-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BHUP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    852747 | PA      | $116298.27    | 0.03%             | 2047-05-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380R4L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4532172 | PA      | $278922.99    | 0.08%             | 2063-05-16      | Variable      | 0.83%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3132DVML6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    326582 | PA      | $316715.34    | 0.09%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B6LX9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3252073 | PA      | $398918.52    | 0.11%             | 2049-10-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgag                          | Wells Fargo Commercial Mortgage Trust 2019-C51                        | CUSIP: 95001VAU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1370000 | PA      | $1285452.37   | 0.35%             | 2052-06-15      | Fixed         | 3.31%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38377FWL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179774 | PA      | $12425.94     | 0.00%             | 2040-05-16      | Floating      | 1.57%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137HBP99<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  25680884 | PA      | $746181.18    | 0.21%             | 2033-12-25      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136ABQF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    118351 | PA      | $125486.44    | 0.03%             | 2042-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36212QR36<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1287 | PA      | $1300.10      | 0.00%             | 2030-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BBYB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1479663 | PA      | $178011.90    | 0.05%             | 2050-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 31392XUX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30447 | PA      | $30560.19     | 0.01%             | 2032-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137F9Y21<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4109972 | PA      | $568044.10    | 0.16%             | 2051-02-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31388XKY9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      5923 | PA      | $5942.08      | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381B4T8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    573652 | PA      | $520129.84    | 0.14%             | 2049-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Hertz Vehicle Financing LLC                             | Hertz Vehicle Financing III LLC                                       | CUSIP: 42806MCG2<br>LEI: 549300MNOMKDMDFI8J66 | Long             | ABS-O            | CORP              | US        |   1750000 | PA      | $1813241.33   | 0.50%             | 2030-03-25      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H062677<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2500000 | PA      | $2567105.25   | 0.71%             | 2055-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                 | CUSIP: 3132HBZS7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1611743 | PA      | $1546319.62   | 0.43%             | 2043-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Renew Financial                                         | Renew 2024-1                                                          | CUSIP: 75973VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1241598 | PA      | $1196268.56   | 0.33%             | 2059-11-20      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140J9NP2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1013568 | PA      | $951372.35    | 0.26%             | 2046-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddiemac Strip                                        | Freddie Mac Strips                                                    | CUSIP: 3142G6FR2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3585185 | PA      | $487158.73    | 0.13%             | 2052-03-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BJK95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  10957653 | PA      | $1938317.80   | 0.53%             | 2051-10-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Cer                          | WaMu Mortgage Pass-Through Certificates Series 2003-AR5 Trust         | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13282 | PA      | $13350.11     | 0.00%             | 2033-06-25      | Variable      | 5.78%                 | No            |                  2 | On Loan: No      |
| College Ave Student Loans                               | College Ave Student Loans 2021-C LLC                                  | CUSIP: 19424WAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1107967 | PA      | $1053506.06   | 0.29%             | 2055-07-26      | Fixed         | 4.11%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities                           | GS Mortgage-Backed Securities Trust 2022-NQM1                         | CUSIP: 36264EBG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1441698 | PA      | $1217269.01   | 0.34%             | 2062-05-25      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2022-1                                                      | CUSIP: 38218JAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    217798 | PA      | $217745.49    | 0.06%             | 2056-10-15      | Fixed         | 7.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31410LVE9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1535180 | PA      | $1414915.53   | 0.39%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378NF99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    922911 | PA      | $21198.52     | 0.01%             | 2055-09-16      | Variable      | 0.59%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F052672<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  14500000 | PA      | $14498948.32  | 3.99%             | 2055-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Peace Park CLO, Ltd.                                    | Peace Park CLO Ltd                                                    | CUSIP: 70470MAL9<br>LEI: 549300XHXTUZ93V6SK42 | Long             | ABS-CBDO         | CORP              | KY        |    475000 | PA      | $475620.59    | 0.13%             | 2034-10-20      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FRK34<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1333931 | PA      | $160549.09    | 0.04%             | 2050-03-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3138WPG24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    849012 | PA      | $767335.27    | 0.21%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGZ61<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   5022687 | PA      | $800390.86    | 0.22%             | 2051-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31387N3T2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       755 | PA      | $765.47       | 0.00%             | 2031-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ROYAL CARIBBEAN CRUISES                                 | Royal Caribbean Cruises Ltd                                           | CUSIP: 780153BU5<br>LEI: K2NEH8QNVW44JIWK7Z55 | Long             | DBT              | CORP              | LR        |    820000 | PA      | $843374.10    | 0.23%             | 2032-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382EDP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    412835 | PA      | $79740.28     | 0.02%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Gold Pool                                                 | CUSIP: 3132XCRW7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7695102 | PA      | $6951275.86   | 1.91%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XB4K3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    140245 | PA      | $118868.80    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Atrium Hotel Portfolio Trust                            | Atrium Hotel Portfolio Trust 2017-ATRM                                | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $924499.80    | 0.25%             | 2036-12-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380N4W6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8748902 | PA      | $538673.42    | 0.15%             | 2060-01-16      | Variable      | 0.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B3HQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1203346 | PA      | $1117492.49   | 0.31%             | 2048-10-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31398G4Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    171095 | PA      | $23172.75     | 0.01%             | 2040-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136B6HG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1531929 | PA      | $175040.19    | 0.05%             | 2049-10-25      | Floating      | 1.58%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BBA93<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1436541 | PA      | $99139.69     | 0.03%             | 2050-09-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7442255 | PA      | $1053926.74   | 0.29%             | 2048-11-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617MB5B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    319076 | PA      | $299767.96    | 0.08%             | 2050-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mor                          | JP Morgan Chase Commercial Mortgage Securities Trust 2015-FL7         | CUSIP: 46644PAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2873012 | PA      | $2381726.63   | 0.66%             | 2028-05-15      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31385HU42<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       531 | PA      | $532.06       | 0.00%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381HMU2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6500000 | PA      | $4462328.65   | 1.23%             | 2063-10-16      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FYCR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   6913647 | PA      | $838523.72    | 0.23%             | 2051-02-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379FFB0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1581115 | PA      | $313691.39    | 0.09%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Non Gold Pool                                             | CUSIP: 31288QFR6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1376602 | PA      | $1350993.31   | 0.37%             | 2048-11-01      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140QKDE5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     68264 | PA      | $61205.46     | 0.02%             | 2041-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382KK44<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4507788 | PA      | $782015.50    | 0.22%             | 2050-10-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RIDE 2025-SHRE                                          | RIDE 2025-SHRE                                                        | CUSIP: 765692AG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    370000 | PA      | $377537.12    | 0.10%             | 2047-02-14      | Variable      | 6.97%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H4VF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3030616 | PA      | $620689.76    | 0.17%             | 2052-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Hardee's Funding LLC and Carls                          | Hardee's Funding LLC                                                  | CUSIP: 411707AH5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1910000 | PA      | $1818917.07   | 0.50%             | 2050-12-20      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae                                                            | CUSIP: 21H042679<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5000000 | PA      | $4786852.40   | 1.32%             | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383ASM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4234168 | PA      | $647615.22    | 0.18%             | 2051-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2024-1                                     | CUSIP: 92540EAD5<br>LEI: 984500A3F1D749452747 | Long             | ABS-MBS          | CORP              | US        |   1650000 | PA      | $1664644.08   | 0.46%             | 2069-01-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36213S4X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3641 | PA      | $3658.07      | 0.00%             | 2031-09-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                              | Verus Securitization Trust 2022-1                                     | CUSIP: 92538WAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $304840.92    | 0.08%             | 2067-01-25      | Variable      | 4.01%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F042673<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   -600000 | PA      | $-573993.51   | -0.16%            | 2055-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.             | US 10YR NOTE (CBT)                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |       -37 | NC      | $-61923.20    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BX Trust                                                | BX Commercial Mortgage Trust 2019-IMC                                 | CUSIP: 05608BAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1445310.45   | 0.40%             | 2034-04-15      | Floating      | 7.96%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3617Q0FV6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    668055 | PA      | $636869.54    | 0.18%             | 2050-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137AW2C8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2199909 | PA      | $366893.95    | 0.10%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Mortgage Loan T                          | Morgan Stanley Mortgage Loan Trust 2006-8AR                           | CUSIP: 61749LAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28957 | PA      | $5608.81      | 0.00%             | 2036-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136A22Z5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    174821 | PA      | $218963.23    | 0.06%             | 2038-01-25      | Variable      | 11.94%                | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382MKC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3610137 | PA      | $628592.31    | 0.17%             | 2050-12-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381D6B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2251162 | PA      | $157502.56    | 0.04%             | 2063-11-16      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2024-1                                        | CUSIP: 618937AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1012435 | PA      | $956927.50    | 0.26%             | 2049-09-20      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR REMIC Trust 2019-HQA4                               | CUSIP: 35565CBE5<br>LEI: 5493005LAQ76UDHPEE03 | Long             | ABS-MBS          | CORP              | US        |   1240000 | PA      | $1379285.85   | 0.38%             | 2049-11-25      | Floating      | 11.02%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31385H5H1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       107 | PA      | $107.29       | 0.00%             | 2032-02-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140QKQY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    562406 | PA      | $503551.44    | 0.14%             | 2041-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Trinitas CLO Ltd                                        | Trinitas CLO XIX Ltd                                                  | CUSIP: 89642FAU7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    830000 | PA      | $837166.64    | 0.23%             | 2033-10-20      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140XBYG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    502037 | PA      | $426405.77    | 0.12%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Starwood Retail Property Trust                          | Starwood Retail Property Trust 2014-STAR                              | CUSIP: 85571XAN7<br>LEI: 5493007115G809OI4R97 | Long             | ABS-MBS          | CORP              | US        |   2324000 | PA      | $75530.00     | 0.02%             | 2027-11-15      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Multifamily Structured P                          | Freddie Mac Multifamily Structured Pass Through Certificates          | CUSIP: 3137H9ZX0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  21043398 | PA      | $426154.07    | 0.12%             | 2033-04-25      | Variable      | 0.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FPHB4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2574458 | PA      | $341166.14    | 0.09%             | 2049-10-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                            | GS Mortgage Securities Corp II                                        | CUSIP: 36269JAL2<br>LEI: 5493005BBCF84ICNQ550 | Long             | ABS-MBS          | CORP              | US        |   2015000 | PA      | $2109064.63   | 0.58%             | 2041-03-10      | Variable      | 9.26%                 | No            |                  2 | On Loan: No      |
| Mosaic Solar Loans LLC                                  | Mosaic Solar Loan Trust 2023-4                                        | CUSIP: 618934AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2160000 | PA      | $1885418.21   | 0.52%             | 2053-05-20      | Fixed         | 8.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31384VUX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       372 | PA      | $372.19       | 0.00%             | 2030-04-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                                | Venture Global Calcasieu Pass LLC                                     | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    930000 | PA      | $861474.90    | 0.24%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382NZ83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    983627 | PA      | $978276.69    | 0.27%             | 2051-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXLU4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    564907 | PA      | $539863.31    | 0.15%             | 2059-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAIL Commercial Mortgage Trus                          | CSAIL 2015-C3 Commercial Mortgage Trust                               | CUSIP: 12635FAZ7<br>LEI: 549300ZAGI6FKGY8O078 | Long             | ABS-MBS          | CORP              | US        |    460000 | PA      | $394785.98    | 0.11%             | 2048-08-15      | Variable      | 4.42%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | Freddie Mac STACR Trust 2019-FTR1                                     | CUSIP: 35564PAC2<br>LEI: 549300MHCI0CUXMJQS62 | Long             | ABS-MBS          | CORP              | US        |   2810000 | PA      | $3348134.11   | 0.92%             | 2048-01-25      | Floating      | 12.77%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BDCD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1729036 | PA      | $275719.89    | 0.08%             | 2050-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Tru                          | SMB Private Education Loan Trust 2021-A                               | CUSIP: 78448YAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2263423 | PA      | $1981465.57   | 0.55%             | 2053-01-15      | Fixed         | 2.99%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381H8D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1983131 | PA      | $106964.71    | 0.03%             | 2064-06-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BK3H3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1797056 | PA      | $261882.42    | 0.07%             | 2052-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ABUA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    656404 | PA      | $576603.68    | 0.16%             | 2052-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FFNP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40804 | PA      | $6746.07      | 0.00%             | 2038-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 31396QRA9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185072 | PA      | $187654.26    | 0.05%             | 2039-08-25      | Variable      | 4.65%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - STACR                                     | STACR Trust 2018-HRP1                                                 | CUSIP: 3137G0VB2<br>LEI: 549300D2VO9JVX6KU482 | Long             | ABS-MBS          | CORP              | US        |   2042907 | PA      | $2473856.07   | 0.68%             | 2043-05-25      | Floating      | 16.17%                | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136ABQH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    890874 | PA      | $916751.48    | 0.25%             | 2042-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Thrust Engine Leasing                                   | Thrust Engine Leasing 2021 DAC                                        | CUSIP: 88603UAA7<br>LEI: 254900X0E0PUM0VQBP74 | Long             | ABS-O            | CORP              | US        |   1102370 | PA      | $1075412.97   | 0.30%             | 2040-07-15      | Fixed         | 4.16%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FFNR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30378 | PA      | $4763.18      | 0.00%             | 2037-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae or Freddie Mac                               | Fannie Mae or Freddie Mac                                             | CUSIP: 01F030678<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  18600000 | PA      | $16097426.54  | 4.43%             | 2055-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36179UQ88<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    186636 | PA      | $190195.26    | 0.05%             | 2049-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H0YV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2069510 | PA      | $262984.65    | 0.07%             | 2051-06-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36212CKK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1880 | PA      | $1884.97      | 0.00%             | 2030-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38383D7E2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3778362 | PA      | $682505.11    | 0.19%             | 2051-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MFA FINANCIAL INC                                       | MFA Financial Inc                                                     | CUSIP: 55272X508<br>LEI: YW72IMH2RRC8Z1TGLG58 | Long             | EP               | CORP              | US        |     52662 | NS      | $1238610.24   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| Goodgreen Trust                                         | Goodgreen 2020-1 Trust                                                | CUSIP: 38217TAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1803406 | PA      | $1486828.06   | 0.41%             | 2055-04-15      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382LXR7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1003400 | PA      | $118311.94    | 0.03%             | 2050-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NRZ Excess Spread Collateraliz                          | NRM FHT1 Excess Owner LLC                                             | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    870914 | PA      | $875361.23    | 0.24%             | 2032-03-25      | Variable      | 6.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38381JZQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7943316 | PA      | $343210.84    | 0.09%             | 2063-09-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382VLQ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   9779545 | PA      | $1380656.61   | 0.38%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FGSM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    281907 | PA      | $246106.75    | 0.07%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| La Hipotecaria SA                                       | La Hipotecaria El Salvadorian Mortgage Trust 2019-1                   | CUSIP: 50346WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | NUSS              | PA        |   1074517 | PA      | $1028627.57   | 0.28%             | 2046-09-29      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38379U5F9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7293561 | PA      | $248611.24    | 0.07%             | 2058-10-16      | Variable      | 0.61%                 | No            |                  2 | On Loan: No      |
| DK Trust                                                | DK 2024-SPT1 Note Backed Trust                                        | CUSIP: 23292KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    595808 | PA      | $607744.16    | 0.17%             | 2066-04-28      | Fixed         | 7.09%                 | No            |                  2 | On Loan: No      |
| CIM Trust                                               | CIM Trust 2021-INV1                                                   | CUSIP: 12566PCU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  76336349 | PA      | $751325.25    | 0.21%             | 2051-07-01      | Variable      | 0.19%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H62K0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4222423 | PA      | $571081.48    | 0.16%             | 2047-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1215587 | PA      | $723305.88    | 0.20%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133KYVS5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    504545 | PA      | $433111.98    | 0.12%             | 2041-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382HMZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2025797 | PA      | $287697.56    | 0.08%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31389QPB8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1067 | PA      | $1067.16      | 0.00%             | 2032-03-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31386NCC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       597 | PA      | $596.43       | 0.00%             | 2031-06-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Blue Stream Issuer, LLC                                 | Blue Stream Issuer LLC                                                | CUSIP: 09606BAL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1585867.80   | 0.44%             | 2054-11-20      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| BX Trust                                                | BX Trust 2024-VLT4                                                    | CUSIP: 05612TAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1196317.44   | 0.33%             | 2029-07-15      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136BGNQ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   7951183 | PA      | $1138335.82   | 0.31%             | 2047-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 36208AZY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1094 | PA      | $1101.07      | 0.00%             | 2058-08-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31388DW38<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     25476 | PA      | $25568.51     | 0.01%             | 2031-09-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 3140FXET5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    976602 | PA      | $875189.23    | 0.24%             | 2057-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                      | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2016-1         | CUSIP: 35563PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    768340 | PA      | $705269.91    | 0.19%             | 2055-09-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38378K2R9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1638116 | PA      | $27354.56     | 0.01%             | 2051-09-16      | Variable      | 0.98%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORP                                           | Carnival Corp                                                         | CUSIP: 143658BR2<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |    820000 | PA      | $829074.94    | 0.23%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Se                          | Natixis Commercial Mortgage Securities Trust 2019-FAME                | CUSIP: 63873VAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1450000 | PA      | $1009451.87   | 0.28%             | 2036-08-15      | Variable      | 4.54%                 | No            |                  2 | On Loan: No      |
| Boca Commercial Mortgage Trust                          | BOCA Commercial Mortgage Trust 2024-BOCA                              | CUSIP: 096817AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    920000 | PA      | $926329.88    | 0.25%             | 2041-08-15      | Floating      | 8.75%                 | No            |                  2 | On Loan: No      |
| Bank                                                    | BANK 2021-BNK32                                                       | CUSIP: 06542BBN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6038738 | PA      | $189031.82    | 0.05%             | 2054-04-15      | Variable      | 0.87%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137H4HJ2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4700000 | PA      | $3165708.50   | 0.87%             | 2051-09-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac Pool                                                      | CUSIP: 3133A4XP6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152976 | PA      | $136359.14    | 0.04%             | 2050-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae Pool                                                       | CUSIP: 31417EY21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2232916 | PA      | $2018583.12   | 0.56%             | 2043-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FTLA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    925236 | PA      | $221605.98    | 0.06%             | 2050-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| VR Funding LLC                                          | VR Funding LLC                                                        | CUSIP: 91835CAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    316044 | PA      | $312126.79    | 0.09%             | 2050-11-15      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380RRS1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1115097 | PA      | $820855.49    | 0.23%             | 2063-06-16      | Fixed         | 1.34%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137FF2J5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   4814510 | PA      | $507200.96    | 0.14%             | 2051-01-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380BB46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5417124 | PA      | $3874156.45   | 1.07%             | 2046-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| BRAVO Residential Funding Trus                          | BRAVO Residential Funding Trust 2024-NQM5                             | CUSIP: 105925AC5<br>LEI: 254900RBHU9OC1RNXD92 | Long             | ABS-MBS          | CORP              | US        |    802783 | PA      | $807417.75    | 0.22%             | 2064-06-25      | Variable      | 6.16%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38382HJ27<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3911388 | PA      | $563177.68    | 0.15%             | 2050-08-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Government National Mortgage Association                              | CUSIP: 38380PTL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11579042 | PA      | $924873.68    | 0.25%             | 2062-04-16      | Variable      | 1.17%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae I Pool                                                     | CUSIP: 36212EGD3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       147 | PA      | $147.22       | 0.00%             | 2030-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                              | Fannie Mae REMICS                                                     | CUSIP: 3136AKWC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    736216 | PA      | $47205.79     | 0.01%             | 2044-08-25      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                        | IRS USD                                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-81545.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                             | Freddie Mac REMICS                                                    | CUSIP: 3137AWSU0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    653980 | PA      | $37310.59     | 0.01%             | 2032-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SMRT                                                    | SMRT 2022-MINI                                                        | CUSIP: 78457JAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1364692.98   | 0.38%             | 2039-01-15      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| SOLRR Aircraft 2021-1 Limited                           | Lunar 2021-1 Structured Aircraft Portfolio Notes                      | CUSIP: 83438LAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |    938433 | PA      | $878148.34    | 0.24%             | 2046-10-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage A                          | Ginnie Mae II Pool                                                    | CUSIP: 3622ABUF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    898354 | PA      | $789960.84    | 0.22%             | 2051-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fanniemae Strip                                         | Fannie Mae Interest Strip                                             | CUSIP: 3136FCVW3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    371452 | PA      | $46997.76     | 0.01%             | 2035-08-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-25

**Name of Applicant:** Legg Mason Partners Income Trust

**Signature:** Christopher Berarducci

**Name of Signer:** Christopher Berarducci

**Title:** Principal Financial Officer