# EDGAR Filing Document

**Accession Number:** 0001676326
**File Stem:** 0002071691-26-005069
**Filing Date:** 2026-2
**Character Count:** 348961
**Document Hash:** 24fcedd8d4e8ec5ecfb61c7a8ee43f3c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-005069.hdr.sgml**: 20260227

**ACCESSION NUMBER**: 0002071691-26-005069

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260227

**DATE AS OF CHANGE**: 20260227

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Morgan Stanley ETF Trust
- **CENTRAL INDEX KEY:** 0001676326

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0930

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23820
- **FILM NUMBER:** 26692937

**BUSINESS ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036
- **BUSINESS PHONE:** 212.296.1404

**MAIL ADDRESS:**
- **STREET 1:** 1585 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10036

## Series and Classes Contracts Data

### Eaton Vance Mortgage Opportunities ETF (Series ID: S000092949)

| Class ID   | Class Name                             | Ticker Symbol   |
|:---|:---|:---|
| C000260999 | Eaton Vance Mortgage Opportunities ETF | EVMO            |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Morgan Stanley ETF Trust

- **b. Investment Company Act file number:** 811-23820

- **c. CIK number of Registrant:** 0001676326

- **d. LEI of Registrant:** 549300HASXQLXGOR9H31

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

  - **Street Address 1:** 1585 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10036

  - **Telephone number:** 800-548-7786

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

- **a. Name of Series:** Eaton Vance Mortgage Opportunities ETF

- **b. EDGAR series identifier (if any):** S000092949

- **c. LEI of Series:** 2549007IASCBIDPVHZ74

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $899566560.66

**Total Liabilities:** $107940753.17

**Net Assets:** $791625807.49

**Cash Not Reported:** $881780.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 1199.51274700 | **1-Year:** 16908.68696300 | **5-Year:** 19312.86855400 | **10-Year:** 55435.88740200 | **30-Year:** 169073.77157700

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

- **3-Month:** 62.31990900 | **1-Year:** 9994.83026800 | **5-Year:** 20561.93878200 | **10-Year:** 10480.81168000 | **30-Year:** 6281.36140600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000260999 | 0.76%                | 0.75%                | 0.18%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-58156.74               | $1072117.25                                |
| Month 2  | $863815.63               | $1759327.72                                |
| Month 3  | $-126780.71              | $-989103.81                                |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. MBS Index

- **Index Identifier:** BBG_US_MBS

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2023-2A, Class B                                                                    | CUSIP: 00161AAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2977497 | PA      | $3012548.50   | 0.38%             | 2030-06-20      | Fixed         | 9.85%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2024-1A, Class B                                                                    | CUSIP: 00161CAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2501224 | PA      | $2523413.86   | 0.32%             | 2031-01-21      | Fixed         | 11.40%                | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2025-1A, Class B                                                                    | CUSIP: 00161EAC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2528289.00   | 0.32%             | 2031-11-20      | Fixed         | 7.87%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2025-4A, Class A                                                                    | CUSIP: 00161LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4011704.80   | 0.51%             | 2030-05-20      | Fixed         | 5.87%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2025-4A, Class B                                                                    | CUSIP: 00161LAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3000000 | PA      | $2949273.30   | 0.37%             | 2032-08-20      | Fixed         | 8.42%                 | Yes           |                  2 | On Loan: No      |
| A&D Mortgage Trust                                                                | A&D Mortgage Trust, Series 2023-NQM5, Class A1                                                             | CUSIP: 00249XAA6<br>LEI: 984500L072D83D1AA637 | Long             | ABS-MBS          | CORP              | US        |   1419306 | PA      | $1441643.65   | 0.18%             | 2068-11-25      | Variable      | 7.05%                 | Yes           |                  2 | On Loan: No      |
| ACE Securities Corp. Net Interest Margin Trust                                    | ACE Securities Corp. Net Interest Margin Trust, Series 2000-1, Class CTFS                                  | CUSIP: 004426AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1467404 | PA      | $939989.57    | 0.12%             | 2029-11-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2024-2A, Class A                                                                    | CUSIP: 00461WAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    246637 | PA      | $246822.67    | 0.03%             | 2029-02-20      | Fixed         | 6.06%                 | Yes           |                  2 | On Loan: No      |
| ACM Auto Trust                                                                    | ACM Auto Trust, Series 2024-2A, Class B                                                                    | CUSIP: 00461WAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7320000 | PA      | $7416774.79   | 0.94%             | 2031-08-20      | Fixed         | 9.21%                 | Yes           |                  2 | On Loan: No      |
| Adjustable Rate Mortgage Trust                                                    | Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1                                                   | CUSIP: 007036ES1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     49118 | PA      | $46803.93     | 0.01%             | 2035-04-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   5000000 | PA      | $4041015.50   | 0.51%             | 2056-01-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8000000 | PA      | $6763437.60   | 0.85%             | 2056-01-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  40000000 | PA      | $35365624.00  | 4.47%             | 2056-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $9762891.00   | 1.23%             | 2056-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  19000000 | PA      | $18955468.75  | 2.39%             | 2056-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                                     | UMBS, Single Family, 30 Year                                                                               | CUSIP: 01F050619<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -19000000 | PA      | $-18955468.75 | -2.39%            | 2056-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2007-11T1, Class A37                                                        | CUSIP: 02150GBP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70081 | PA      | $73358.08     | 0.01%             | 2037-05-25      | Floating      | 16.94%                | No            |                  2 | On Loan: No      |
| ABFC Trust                                                                        | ABFC Trust, Series 2004-OPT2, Class A1A                                                                    | CUSIP: 04542BFU1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    204474 | PA      | $203821.40    | 0.03%             | 2033-10-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ABFC Trust                                                                        | ABFC Trust, Series 2004-OPT4, Class M1                                                                     | CUSIP: 04542BHD7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    155746 | PA      | $157765.90    | 0.02%             | 2034-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ABFC Trust                                                                        | ABFC Trust, Series 2005-WF1, Class M5                                                                      | CUSIP: 04542BMC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     86833 | PA      | $86731.28     | 0.01%             | 2034-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ATLX Trust                                                                        | ATLX Trust, Series 2024-RPL1, Class A2                                                                     | CUSIP: 049915AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1462845.60   | 0.18%             | 2064-04-25      | Variable      | 4.41%                 | Yes           |                  2 | On Loan: No      |
| ATLX Trust                                                                        | ATLX Trust, Series 2024-RPL1, Class M1                                                                     | CUSIP: 049915AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1448954.55   | 0.18%             | 2064-04-25      | Variable      | 4.41%                 | Yes           |                  2 | On Loan: No      |
| ATLX Trust                                                                        | ATLX Trust, Series 2024-RPL2, Class A2                                                                     | CUSIP: 049919AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1700000 | PA      | $1622984.39   | 0.21%             | 2063-04-25      | Variable      | 3.85%                 | Yes           |                  2 | On Loan: No      |
| Banco Santander SA                                                                | Banco Santander SA                                                                                         | CUSIP: 05970UAE8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | STIV             | CORP              | ES        |   3000000 | PA      | $2995634.40   | 0.38%             | 2026-01-14      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2006-3A, Class A2                                                   | CUSIP: 07324NAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    334880 | PA      | $323943.10    | 0.04%             | 2036-10-25      | Floating      | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2006-3A, Class M2                                                   | CUSIP: 07324NAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    379639 | PA      | $363073.78    | 0.05%             | 2036-10-25      | Floating      | 4.39%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2006-3A, Class M3                                                   | CUSIP: 07324NAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    582160 | PA      | $553988.87    | 0.07%             | 2036-10-25      | Floating      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2005-3A, Class M1                                                   | CUSIP: 07324SCD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352824 | PA      | $348471.91    | 0.04%             | 2035-11-25      | Floating      | 4.73%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2005-3A, Class B1                                                   | CUSIP: 07324SCK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499568 | PA      | $591670.95    | 0.07%             | 2035-11-25      | Floating      | 5.72%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                           | Bayview Financial Revolving Asset Trust, Series 2005-E, Class A1                                           | CUSIP: 073250BV3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    667875 | PA      | $728063.81    | 0.09%             | 2040-12-28      | Floating      | 4.84%                 | Yes           |                  2 | On Loan: No      |
| Bayview Financial Revolving Asset Trust                                           | Bayview Financial Revolving Asset Trust, Series 2005-E, Class M2                                           | CUSIP: 073250BX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    333937 | PA      | $1379430.93   | 0.17%             | 2040-12-28      | Floating      | 7.34%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2007-3, Class A1                                                    | CUSIP: 07325YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1009636 | PA      | $972082.50    | 0.12%             | 2037-07-25      | Floating      | 4.43%                 | Yes           |                  2 | On Loan: No      |
| Bayview Commercial Asset Trust                                                    | Bayview Commercial Asset Trust, Series 2007-3, Class M1                                                    | CUSIP: 07325YAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1095532 | PA      | $1029000.20   | 0.13%             | 2037-07-25      | Floating      | 4.53%                 | Yes           |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                                        | Bear Stearns Asset-Backed Securities Trust, Series 2001-3, Class A3                                        | CUSIP: 07384YBN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2993 | PA      | $2994.73      | 0.00%             | 2032-10-27      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities Trust                                        | Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 1M6                                     | CUSIP: 073877AJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1131713 | PA      | $1359950.23   | 0.17%             | 2043-08-25      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Asset-Backed Securities I Trust                                      | Bear Stearns Asset-Backed Securities I Trust, Series 2006-AC2, Class 1A2                                   | CUSIP: 07387UGC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    407403 | PA      | $119676.23    | 0.02%             | 2036-03-25      | Floating      | 13.00%                | No            |                  2 | On Loan: No      |
| Boston Lending Trust                                                              | Boston Lending Trust, Series 2021-1, Class A                                                               | CUSIP: 100842AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2005853 | PA      | $1794518.33   | 0.23%             | 2061-07-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Boston Lending Trust                                                              | Boston Lending Trust, Series 2021-1, Class M1                                                              | CUSIP: 100842AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1173150 | PA      | $1023877.54   | 0.13%             | 2061-07-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Boston Lending Trust                                                              | Boston Lending Trust, Series 2022-2, Class M1                                                              | CUSIP: 10085BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1800000 | PA      | $1708160.04   | 0.22%             | 2062-05-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Cloud Capital Holdco LP                                                           | Cloud Capital Holdco LP, Series 2024-1A, Class A2                                                          | CUSIP: 102104AA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2016283.80   | 0.25%             | 2049-11-22      | Fixed         | 5.78%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                               | Brean Asset-Backed Securities Trust, Series 2024-RM8, Class A1                                             | CUSIP: 10637YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1531055 | PA      | $1511796.63   | 0.19%             | 2064-05-25      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                               | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class A                                             | CUSIP: 10638RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    556000 | PA      | $552483.62    | 0.07%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                               | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class M2                                            | CUSIP: 10638RAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3007529 | PA      | $2856800.75   | 0.36%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                               | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class M3                                            | CUSIP: 10638RAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1640471 | PA      | $1482524.94   | 0.19%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                               | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class M4                                            | CUSIP: 10638RAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6015059 | PA      | $5124078.29   | 0.65%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Brean Asset-Backed Securities Trust                                               | Brean Asset-Backed Securities Trust, Series 2023-SRM1, Class M5                                            | CUSIP: 10638RAF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4921412 | PA      | $3700286.51   | 0.47%             | 2063-09-25      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2022-HB9, Class M3                                                                        | CUSIP: 12530GAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1650000 | PA      | $1579685.58   | 0.20%             | 2037-09-25      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                                    | Cascade Funding Mortgage Trust, Series 2022-AB2, Class M2                                                  | CUSIP: 12530JAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1080092 | PA      | $1031891.51   | 0.13%             | 2052-02-25      | Variable      | 2.00%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2023-HB11, Class M4                                                                       | CUSIP: 12530KAE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $974338.40    | 0.12%             | 2037-02-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2023-HB12, Class M3                                                                       | CUSIP: 12530QAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2900000 | PA      | $2855841.41   | 0.36%             | 2033-04-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2023-HB12, Class M4                                                                       | CUSIP: 12530QAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2500000 | PA      | $2438398.25   | 0.31%             | 2033-04-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2024-HB13, Class M4                                                                       | CUSIP: 12530VAE5<br>LEI: 984500D67D63D8645054 | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2865908.40   | 0.36%             | 2034-05-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2024-HB14, Class M4                                                                       | CUSIP: 12530XAE1<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   4500000 | PA      | $4281534.45   | 0.54%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2024-HB14, Class M5                                                                       | CUSIP: 12530XAF8<br>LEI: 9845005986F840FBE847 | Long             | ABS-MBS          | CORP              | US        |   4000000 | PA      | $3695650.40   | 0.47%             | 2034-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                                    | Cascade Funding Mortgage Trust, Series 2025-HB16, Class M4                                                 | CUSIP: 12531BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4706043.50   | 0.59%             | 2035-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2024-NR1, Class A1                                                                        | CUSIP: 12531DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2685898 | PA      | $2694725.74   | 0.34%             | 2029-11-25      | Variable      | 6.41%                 | Yes           |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust Resecuritization                                  | CHL Mortgage Pass-Through Trust Resecuritization, Series 2008-2R, Class A1                                 | CUSIP: 12544NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59081 | PA      | $31288.63     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC Trust                                                                        | CSMC Trust, Series 2021-BRIT, Class A                                                                      | CUSIP: 12658RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    815707 | PA      | $813118.93    | 0.10%             | 2026-05-09      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| CSMC Trust                                                                        | CSMC Trust, Series 2021-BPNY, Class A                                                                      | CUSIP: 12659XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7581132 | PA      | $7360658.36   | 0.93%             | 2026-08-15      | Floating      | 7.58%                 | Yes           |                  2 | On Loan: No      |
| Countrywide                                                                       | Countrywide Asset-Backed Certificates, Series 2004-SD2, Class M2                                           | CUSIP: 1266716Z4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    390253 | PA      | $408676.73    | 0.05%             | 2033-03-25      | Floating      | 6.02%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2004-2CB, Class 1A9                                                         | CUSIP: 12667FAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85845 | PA      | $87878.25     | 0.01%             | 2034-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CWHEQ Revolving Home Equity Loan Trust                                            | CWHEQ Revolving Home Equity Loan Trust, Series 2005-F, Class 2A                                            | CUSIP: 126685AK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4736893 | PA      | $4617618.21   | 0.58%             | 2035-12-15      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                            | Alternative Loan Trust, Series 2005-79CB, Class A3                                                         | CUSIP: 12668BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29512 | PA      | $16231.16     | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                   | CHL Mortgage Pass-Through Trust, Series 2003-48, Class 1A1                                                 | CUSIP: 12669EU79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114877 | PA      | $113425.63    | 0.01%             | 2033-10-25      | Variable      | 6.07%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                   | CHL Mortgage Pass-Through Trust, Series 2004-19, Class A14                                                 | CUSIP: 12669F4G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162268 | PA      | $163467.72    | 0.02%             | 2034-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                                   | CHL Mortgage Pass-Through Trust, Series 2004-HYB1, Class 2A                                                | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63510 | PA      | $58963.60     | 0.01%             | 2034-05-20      | Variable      | 5.11%                 | No            |                  2 | On Loan: No      |
| Reperforming Loan Trust                                                           | Reperforming Loan Trust, Series 2005-R2, Class 2A4                                                         | CUSIP: 12669GP47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17579 | PA      | $17244.12     | 0.00%             | 2035-06-25      | Fixed         | 8.50%                 | Yes           |                  2 | On Loan: No      |
| Cascade Funding Mortgage Trust                                                    | Cascade Funding Mortgage Trust, Series 2024-RM5, Class M2                                                  | CUSIP: 147275AC5<br>LEI: 984500AB3AED98FEEV98 | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1381491.75   | 0.17%             | 2054-10-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Cascade MH Asset Trust                                                            | Cascade MH Asset Trust, Series 2022-MH1, Class A                                                           | CUSIP: 14732KAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1682119 | PA      | $1648611.21   | 0.21%             | 2054-08-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Cendant Mortgage Corp.                                                            | Cendant Mortgage Corp., Series 2003-A, Class A2                                                            | CUSIP: 151314FP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     62072 | PA      | $62772.71     | 0.01%             | 2043-07-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2024-HB15, Class M4                                                                       | CUSIP: 15723AAF8<br>LEI: 98450050957GF5E1CD92 | Long             | ABS-MBS          | CORP              | US        |   1750000 | PA      | $1686036.98   | 0.21%             | 2034-08-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2025-AB3, Class M4                                                                        | CUSIP: 15723JAF9<br>LEI: 984500B0B47A6AEABC92 | Long             | ABS-MBS          | CORP              | US        |   7417580 | PA      | $5861430.62   | 0.74%             | 2055-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| CFMT LLC                                                                          | CFMT LLC, Series 2025-AB3, Class M5                                                                        | CUSIP: 15723JAG7<br>LEI: 984500B0B47A6AEABC92 | Long             | ABS-MBS          | CORP              | US        |   2557786 | PA      | $1860038.60   | 0.23%             | 2055-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                                                      | Champs Trust, Series 2024-1, Class A                                                                       | CUSIP: 15878AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    910365 | PA      | $939110.37    | 0.12%             | 2059-07-25      | Variable      | 8.46%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                                                      | Champs Trust, Series 2024-2, Class A                                                                       | CUSIP: 15878BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1776393 | PA      | $1839557.45   | 0.23%             | 2059-11-25      | Variable      | 9.60%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                                                      | Champs Trust, Series 2024-3, Class A                                                                       | CUSIP: 15878CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2061534 | PA      | $2141944.72   | 0.27%             | 2060-01-25      | Variable      | 8.46%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                                                      | Champs Trust, Series 2025-2, Class A                                                                       | CUSIP: 15878DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4018339 | PA      | $4175118.00   | 0.53%             | 2060-10-25      | Variable      | 6.98%                 | Yes           |                  2 | On Loan: No      |
| Champs Trust                                                                      | Champs Trust, Series 2025-1, Class A                                                                       | CUSIP: 158926AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4130045 | PA      | $4299514.35   | 0.54%             | 2060-04-25      | Variable      | 7.41%                 | Yes           |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                                     | Citigroup Mortgage Loan Trust, Series 2005-11, Class A3                                                    | CUSIP: 17307GW95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80010 | PA      | $80043.76     | 0.01%             | 2035-11-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                                   | CoreVest American Finance Trust, Series 2021-2, Class XA                                                   | CUSIP: 21873BAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2011696 | PA      | $33831.50     | 0.00%             | 2054-07-15      | Variable      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                                   | CoreVest American Finance Trust, Series 2020-3, Class XA                                                   | CUSIP: 21873CAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    144355 | PA      | $1988.59      | 0.00%             | 2053-08-15      | Variable      | 3.57%                 | Yes           |                  2 | On Loan: No      |
| CoreVest American Finance Trust                                                   | CoreVest American Finance Trust, Series 2020-3, Class XB                                                   | CUSIP: 21873CAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |  62473000 | PA      | $4138617.59   | 0.52%             | 2053-08-15      | Variable      | 2.51%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 21H040616<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5400000 | PA      | $5097109.14   | 0.64%             | 2056-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 21H050615<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3700000 | PA      | $3691606.37   | 0.47%             | 2056-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-11951.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSFB Mortgage Securities                                                          | CSFB Mortgage Securities                                                                                   | CUSIP: 22540A3K2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1020000 | PA      | $899623.88    | 0.11%             | 2028-12-03      | Fixed         | 5.15%                 | Yes           |                  2 | On Loan: No      |
| WaMu Mortgage Backed Pass-Through Certificates                                    | WaMu Mortgage Backed Pass-Through Certificates, Series 2001-AR5, Class 1A                                  | CUSIP: 22540VLE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131290 | PA      | $131287.65    | 0.02%             | 2039-12-19      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                              | Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR2, Class 2B                            | CUSIP: 22540VTZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132840 | PA      | $123814.65    | 0.02%             | 2032-02-25      | Floating      | 7.15%                 | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates Trust                              | CSFB Mortgage-Backed Pass-Through Certificates Trust, Series 2004-AR4, Class 3A1                           | CUSIP: 22541SFA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    172884 | PA      | $165306.82    | 0.02%             | 2034-05-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-17562.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSFB Mortgage-Backed Pass-Through Certificates Trust                              | CSFB Mortgage-Backed Pass-Through Certificates Trust, Series 2005-10, Class 4A1                            | CUSIP: 225470EA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    470334 | PA      | $87376.86     | 0.01%             | 2035-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-19023.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-228934.24   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-258057.36   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1397.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DP Facilities Data Center Subordinated Pass Through Trust                         | DP Facilities Data Center Subordinated Pass Through Trust                                                  | CUSIP: 23341GAA2<br>LEI: 549300TYHFJ7EETO8B10 | Long             | DBT              | CORP              | US        |    350000 | PA      | $96250.00     | 0.01%             | 2028-11-10      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Danske Bank A/S                                                                   | Danske Bank A/S                                                                                            | CUSIP: 23636RA95<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | STIV             | CORP              | DK        |   2000000 | PA      | $1998130.40   | 0.25%             | 2026-01-09      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | Forward Foreign Currency Contract                                                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-282.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Delta Funding Home Equity Loan Trust                                              | Delta Funding Home Equity Loan Trust, Series 1999-3, Class A1A                                             | CUSIP: 24763LFX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    486425 | PA      | $469284.96    | 0.06%             | 2029-09-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| EFMT                                                                              | EFMT, Series 2025-RM1, Class A1A                                                                           | CUSIP: 267951AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2972225 | PA      | $2894173.49   | 0.37%             | 2055-05-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| ECAF I Ltd.                                                                       | ECAF I Ltd., Series 2015-1A, Class A1                                                                      | CUSIP: 26827EAA3<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |     14697 | PA      | $13153.78     | 0.00%             | 2040-06-15      | Fixed         | 3.47%                 | Yes           |                  2 | On Loan: No      |
| ECAF I Ltd.                                                                       | ECAF I Ltd., Series 2015-1A, Class A2                                                                      | CUSIP: 26827EAC9<br>LEI: 635400SSRNQERTYCWK57 | Long             | ABS-O            | CORP              | KY        |    251947 | PA      | $233690.09    | 0.03%             | 2040-06-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| EFMT                                                                              | EFMT, Series 2024-RM2, Class A1A                                                                           | CUSIP: 268431AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2738969 | PA      | $2691751.42   | 0.34%             | 2054-07-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Ellington Financial Mortgage Trust                                                | Ellington Financial Mortgage Trust, Series 2022-4, Class A1                                                | CUSIP: 268432AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2193572 | PA      | $2192817.08   | 0.28%             | 2067-09-25      | Variable      | 5.90%                 | Yes           |                  2 | On Loan: No      |
| EFMT                                                                              | EFMT, Series 2024-RM3, Class A1A                                                                           | CUSIP: 26845EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2590733 | PA      | $2533228.91   | 0.32%             | 2054-12-25      | Fixed         | 5.00%                 | Yes           |                  2 | On Loan: No      |
| EFMT                                                                              | EFMT, Series 2025-RM3, Class A1A                                                                           | CUSIP: 26845NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2397702.00   | 0.30%             | 2055-09-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| EquiFirst Mortgage Loan Trust                                                     | EquiFirst Mortgage Loan Trust, Series 2004-2, Class M7                                                     | CUSIP: 29445FBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    132472 | PA      | $126802.43    | 0.02%             | 2034-10-25      | Floating      | 6.85%                 | No            |                  2 | On Loan: No      |
| FMC Issuer Trust-FMSR                                                             | FMC Issuer Trust-FMSR, Series 2024-FT1, Class A                                                            | CUSIP: 30191JAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4100000 | PA      | $4135111.58   | 0.52%             | 2029-09-25      | Fixed         | 6.56%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                             | FMC GMSR Issuer Trust, Series 2020-GT1, Class A                                                            | CUSIP: 30259RAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1991382.80   | 0.25%             | 2026-01-25      | Variable      | 4.45%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                             | FMC GMSR Issuer Trust, Series 2021-GT1, Class A                                                            | CUSIP: 30259RAH8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1200000 | PA      | $1160084.64   | 0.15%             | 2026-07-25      | Variable      | 3.62%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                             | FMC GMSR Issuer Trust, Series 2021-GT1, Class B                                                            | CUSIP: 30259RAJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $966552.70    | 0.12%             | 2026-07-25      | Variable      | 4.36%                 | Yes           |                  2 | On Loan: No      |
| FMC GMSR Issuer Trust                                                             | FMC GMSR Issuer Trust, Series 2022-GT1, Class A                                                            | CUSIP: 30259RAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3524925 | PA      | $3540039.17   | 0.45%             | 2027-04-25      | Fixed         | 6.19%                 | Yes           |                  2 | On Loan: No      |
| Falcon Aerospace Ltd.                                                             | Falcon Aerospace Ltd., Series 2019-1, Class A                                                              | CUSIP: 30610GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    133940 | PA      | $133300.51    | 0.02%             | 2039-09-15      | Fixed         | 3.60%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 31281BWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    174763 | PA      | $165232.69    | 0.02%             | 2042-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, Strips, Series 208                                                                                  | CUSIP: 31282YCX5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     23778 | PA      | $2634.91      | 0.00%             | 2030-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128L4EV2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      7453 | PA      | $7886.99      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M4XA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4944 | PA      | $5137.52      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M7S49<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      4325 | PA      | $4553.01      | 0.00%             | 2032-08-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M7S56<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      8339 | PA      | $8815.85      | 0.00%             | 2031-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M7SU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     10872 | PA      | $11531.16     | 0.00%             | 2035-05-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3128M8W83<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     28633 | PA      | $28702.77     | 0.00%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 31293SCC1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      3083 | PA      | $3203.67      | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 312944BB6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20359 | PA      | $20798.82     | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 312944S69<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      6055 | PA      | $6184.77      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3129457G7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160111 | PA      | $160493.35    | 0.02%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 31323ABF8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    112625 | PA      | $105854.79    | 0.01%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, Other                                                                                     | CUSIP: 31323AEC2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     30805 | PA      | $30079.59     | 0.00%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 3132DWNJ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |  13109804 | PA      | $13307032.89  | 1.68%             | 2054-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 3132DWPS6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5440986 | PA      | $5521142.15   | 0.70%             | 2055-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132GEB90<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     14077 | PA      | $14381.16     | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132GJUA5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25603 | PA      | $25668.06     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132GLN75<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     59434 | PA      | $58299.65     | 0.01%             | 2041-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132M7C55<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    104571 | PA      | $101906.10    | 0.01%             | 2044-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 3132M9WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     46961 | PA      | $45732.81     | 0.01%             | 2044-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Gold Pool, 30 Year                                                                                   | CUSIP: 31335ABF4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     96396 | PA      | $92112.71     | 0.01%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JL4Z9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   3372787 | PA      | $2953014.39   | 0.37%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JL7J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1359276 | PA      | $1121388.01   | 0.14%             | 2052-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JL7L7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1321730 | PA      | $1240165.69   | 0.16%             | 2052-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JL7M5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1429516 | PA      | $1383875.39   | 0.17%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JLER6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    351212 | PA      | $335136.06    | 0.04%             | 2049-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JLKE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1133074 | PA      | $997364.98    | 0.13%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JLYK9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     85811 | PA      | $70686.03     | 0.01%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133JMGU5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2087574 | PA      | $2123974.50   | 0.27%             | 2055-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3U51<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     52379 | PA      | $48729.70     | 0.01%             | 2049-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3U77<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     25673 | PA      | $24497.93     | 0.00%             | 2049-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3VV3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    152935 | PA      | $135334.95    | 0.02%             | 2050-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3WH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    401539 | PA      | $335406.43    | 0.04%             | 2050-05-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3XX7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    429629 | PA      | $337897.88    | 0.04%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133N3YF5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    798531 | PA      | $628034.85    | 0.08%             | 2051-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133SKBW0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2240206 | PA      | $1845346.23   | 0.23%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133SKCK5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1807962 | PA      | $1496069.56   | 0.19%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | FHLMC Gold Pool, Other                                                                                     | CUSIP: 3133SKDE8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5023240 | PA      | $4445147.35   | 0.56%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Strips, Series 289, Class 2                                                                          | CUSIP: 31364HQ83<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      2748 | PA      | $117.21       | 0.00%             | 2027-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Strips, Series 306                                                                                   | CUSIP: 31364JN82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12598 | PA      | $1486.00      | 0.00%             | 2030-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Strips, Series 307                                                                                   | CUSIP: 31364JT29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6338 | PA      | $721.18       | 0.00%             | 2030-06-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2012-63, Class HS                                                                      | CUSIP: 3136A6TR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14961 | PA      | $201.87       | 0.00%             | 2041-08-25      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2012-56, Class SQ                                                                      | CUSIP: 3136A6WV2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    337577 | PA      | $34510.66     | 0.00%             | 2042-06-25      | Floating      | 2.06%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2013-12, Class SP                                                                      | CUSIP: 3136ABVH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     37847 | PA      | $568.75       | 0.00%             | 2041-11-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2014-23, Class SA                                                                      | CUSIP: 3136AJ4H6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    161455 | PA      | $9191.76      | 0.00%             | 2039-10-25      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2014-10, Class CS                                                                      | CUSIP: 3136AJFH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    124916 | PA      | $7666.87      | 0.00%             | 2044-03-25      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2016-15, Class AS                                                                      | CUSIP: 3136AQ7J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    576122 | PA      | $30731.85     | 0.00%             | 2046-03-25      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2020-47, Class GZ                                                                      | CUSIP: 3136BAS21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    558088 | PA      | $334432.44    | 0.04%             | 2050-07-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2025-91, Class UZ                                                                      | CUSIP: 3136BXLV4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1702478 | PA      | $1698214.89   | 0.21%             | 2055-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2025-89, Class UZ                                                                      | CUSIP: 3136BXXH2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2079302 | PA      | $2078122.13   | 0.26%             | 2055-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2025-99, Class ZK                                                                      | CUSIP: 3136BXY65<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1907629 | PA      | $1894811.56   | 0.24%             | 2055-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31371HTA6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       330 | PA      | $343.04       | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31371KDL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       114 | PA      | $119.29       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31371KLU3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      4386 | PA      | $4584.07      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31371RFQ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      8109 | PA      | $8514.18      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31378YKB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        84 | PA      | $87.39        | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31379NGV3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        31 | PA      | $32.45        | 0.00%             | 2028-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 3995, Class JB                                                                        | CUSIP: 3137ALMT3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     75084 | PA      | $70903.87     | 0.01%             | 2042-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4259, Class IA                                                                        | CUSIP: 3137B53F8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     20153 | PA      | $4300.58      | 0.00%             | 2041-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4265, Class ST                                                                        | CUSIP: 3137B5SC8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    207783 | PA      | $16434.30     | 0.00%             | 2043-11-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4286, Class SC                                                                        | CUSIP: 3137B6US8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     56035 | PA      | $42121.58     | 0.01%             | 2043-12-15      | Floating      | 0.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4314, Class IT                                                                        | CUSIP: 3137B9FK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    116406 | PA      | $6380.86      | 0.00%             | 2039-04-15      | Floating      | 1.87%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4350, Class DS                                                                        | CUSIP: 3137BBHD5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     95617 | PA      | $10198.75     | 0.00%             | 2044-06-15      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4348, Class SA                                                                        | CUSIP: 3137BBZ37<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    368724 | PA      | $21076.86     | 0.00%             | 2040-10-15      | Variable      | 1.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4363                                                                                  | CUSIP: 3137BCNR5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    330391 | PA      | $20524.37     | 0.00%             | 2041-09-15      | Floating      | 1.96%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4363, Class TI                                                                        | CUSIP: 3137BCNT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     94127 | PA      | $5024.30      | 0.00%             | 2039-10-15      | Floating      | 1.77%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4365, Class AI                                                                        | CUSIP: 3137BCNV6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    165788 | PA      | $7785.25      | 0.00%             | 2042-08-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 4413, Class WI                                                                        | CUSIP: 3137BFBK6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     47321 | PA      | $2853.81      | 0.00%             | 2041-10-15      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 5020, Class UI                                                                        | CUSIP: 3137FX3Y2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   7921389 | PA      | $1014266.18   | 0.13%             | 2050-10-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Whole Loan Securities Trust, Series 2015-SC01, Class 1A                                              | CUSIP: 3137G1AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     33618 | PA      | $30859.77     | 0.00%             | 2045-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Whole Loan Securities Trust, Series 2015-SC02, Class 1A                                              | CUSIP: 3137G1AK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     38320 | PA      | $33917.62     | 0.00%             | 2045-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Whole Loan Securities Trust, Series 2016-SC02, Class 1A                                              | CUSIP: 3137G1BC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    280277 | PA      | $243295.75    | 0.03%             | 2046-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Whole Loan Securities Trust, Series 2017-SC01, Class 1A                                              | CUSIP: 3137G1BK2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    512621 | PA      | $442136.56    | 0.06%             | 2046-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Whole Loan Securities Trust, Series 2017-SC02, Class 1A                                              | CUSIP: 3137G1BS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    905528 | PA      | $782235.20    | 0.10%             | 2047-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Whole Loan Securities Trust, Series 2017-SC02, Class 2A2                                             | CUSIP: 3137G1BX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    687756 | PA      | $612671.64    | 0.08%             | 2047-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC, REMIC, Series 5536, Class CZ                                                                        | CUSIP: 3137HL5A6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   2596951 | PA      | $2588523.81   | 0.33%             | 2054-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31383RFY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        94 | PA      | $97.49        | 0.00%             | 2029-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31385HQR6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3327 | PA      | $3463.01      | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31386BAG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6639 | PA      | $6981.88      | 0.00%             | 2030-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31386TQ73<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       753 | PA      | $786.42       | 0.00%             | 2031-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31387WTG2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       116 | PA      | $120.75       | 0.00%             | 2031-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31388HBH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16551 | PA      | $17331.00     | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31388LC81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       755 | PA      | $786.28       | 0.00%             | 2031-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31389R3J3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         7 | PA      | $6.62         | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31389UVE6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       619 | PA      | $648.08       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138A1JH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6333 | PA      | $6460.69      | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138A5GF3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     16384 | PA      | $16716.39     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138A6JT8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12884 | PA      | $13145.04     | 0.00%             | 2041-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138A8YQ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     18619 | PA      | $18996.15     | 0.00%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138AMBK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3189 | PA      | $3253.33      | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138ARHD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     48869 | PA      | $48914.07     | 0.01%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138WELB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    539394 | PA      | $520463.81    | 0.07%             | 2045-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, 30 Year                                                                                              | CUSIP: 3138WFK88<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     97658 | PA      | $91754.73     | 0.01%             | 2045-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, 30 Year                                                                                              | CUSIP: 3138WGJ21<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     94812 | PA      | $89081.31     | 0.01%             | 2046-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3138WHQP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    228722 | PA      | $203686.53    | 0.03%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3138YYTZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     39172 | PA      | $37904.20     | 0.00%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31390EZX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       582 | PA      | $614.60       | 0.00%             | 2032-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31390FAS8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      1054 | PA      | $1106.59      | 0.00%             | 2032-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31390RTP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       785 | PA      | $825.64       | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2009-24, Class LC                                                                      | CUSIP: 31397NWG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     11531 | PA      | $10323.33     | 0.00%             | 2039-04-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, REMIC, Series 2010-68, Class BA                                                                      | CUSIP: 31398THK0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    185181 | PA      | $186671.60    | 0.02%             | 2050-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31400HWA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     63298 | PA      | $66549.55     | 0.01%             | 2033-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31402CQQ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7566 | PA      | $7863.24      | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140B9C49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2692374 | PA      | $2739319.80   | 0.35%             | 2055-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3140HDJW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    125271 | PA      | $120594.38    | 0.02%             | 2048-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140J9LM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    347467 | PA      | $313505.34    | 0.04%             | 2048-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140JCA95<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1745181 | PA      | $1611603.77   | 0.20%             | 2052-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140JSED7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4095308 | PA      | $3197872.63   | 0.40%             | 2051-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140JVWS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     75230 | PA      | $70470.82     | 0.01%             | 2049-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140K8P62<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    109721 | PA      | $94581.47     | 0.01%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140K8XM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    110382 | PA      | $95151.70     | 0.01%             | 2050-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140K8XN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    164940 | PA      | $148561.49    | 0.02%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140KBZB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    181694 | PA      | $156624.20    | 0.02%             | 2050-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140KSH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    325780 | PA      | $256221.54    | 0.03%             | 2051-09-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140KUWL2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    249050 | PA      | $208755.64    | 0.03%             | 2050-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140L2AS2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    513672 | PA      | $406690.43    | 0.05%             | 2051-01-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140L6M76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    595455 | PA      | $471440.56    | 0.06%             | 2051-03-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140LWVS3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    163570 | PA      | $150539.13    | 0.02%             | 2052-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140MFHA4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1294128 | PA      | $1066024.28   | 0.13%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140MFQM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   2154167 | PA      | $1774472.44   | 0.22%             | 2052-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140N7ZQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1672628 | PA      | $1533627.21   | 0.19%             | 2052-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, 30 Year                                                                                              | CUSIP: 3140Q8HY4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    200885 | PA      | $188428.45    | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, 30 Year                                                                                              | CUSIP: 3140Q8Z32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    129225 | PA      | $121211.44    | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140QAVE7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6027 | PA      | $5630.09      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 3140QCDT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     33993 | PA      | $31624.55     | 0.00%             | 2049-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3140W24A6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4876593 | PA      | $4962149.86   | 0.63%             | 2055-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 3140XLYC6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4076432 | PA      | $4207702.79   | 0.53%             | 2053-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31416BXR4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3503 | PA      | $3630.63      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31416WP71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      7224 | PA      | $7236.66      | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418AJZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     77486 | PA      | $71596.12     | 0.01%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418C2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     12917 | PA      | $12597.41     | 0.00%             | 2048-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418C4L5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     20042 | PA      | $19545.91     | 0.00%             | 2048-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418CTP9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     29086 | PA      | $27223.31     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418CVJ0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     30567 | PA      | $28609.16     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418D3A8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    245162 | PA      | $203328.37    | 0.03%             | 2051-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418D5S7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3897034 | PA      | $3232061.87   | 0.41%             | 2051-09-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418D7B2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   4882150 | PA      | $3838223.94   | 0.48%             | 2051-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DBR2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     10114 | PA      | $9447.05      | 0.00%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DBW1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     60374 | PA      | $58880.11     | 0.01%             | 2049-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DCK6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     44335 | PA      | $41246.55     | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DCP5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     41461 | PA      | $40435.26     | 0.01%             | 2049-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DD74<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57907 | PA      | $53872.59     | 0.01%             | 2049-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DD90<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     80816 | PA      | $78715.47     | 0.01%             | 2049-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418DFD9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     71425 | PA      | $69569.09     | 0.01%             | 2049-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | FNMA, Other                                                                                                | CUSIP: 31418EDW7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1587294 | PA      | $1381308.98   | 0.17%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31418FED5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |  12981083 | PA      | $13176375.21  | 1.66%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31418FMJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9445180 | PA      | $9584324.67   | 1.21%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31418FQG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   9564032 | PA      | $9822701.18   | 1.24%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31418MJP8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14061 | PA      | $14916.30     | 0.00%             | 2037-08-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31418MJQ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     13080 | PA      | $13793.14     | 0.00%             | 2033-04-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                              | UMBS, 30 Year                                                                                              | CUSIP: 31418MJT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     14224 | PA      | $15018.00     | 0.00%             | 2032-10-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 31425W2U4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9159523 | PA      | $9320221.18   | 1.18%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 31426Q6Z1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   9380935 | PA      | $9545517.00   | 1.21%             | 2055-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 31427BJB2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   8872864 | PA      | $9008985.30   | 1.14%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 31427MAS0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1748396 | PA      | $1778360.35   | 0.22%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC                                                                                                      | CUSIP: 3142BN2G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1576863 | PA      | $1611377.29   | 0.20%             | 2054-09-01      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                                        | UMBS Pool, 30 Year                                                                                         | CUSIP: 3142J6A52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   5193839 | PA      | $5270353.77   | 0.67%             | 2055-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Finance of America HECM Buyout                                                    | Finance of America HECM Buyout, Series 2025-HB1, Class M4                                                  | CUSIP: 31735EAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4875666.50   | 0.62%             | 2028-11-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Finance of America HECM Buyout                                                    | Finance of America HECM Buyout, Series 2024-HB1, Class M2                                                  | CUSIP: 31737DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1250000 | PA      | $1251015.75   | 0.16%             | 2034-10-01      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Finance of America HECM Buyout                                                    | Finance of America HECM Buyout, Series 2024-HB1, Class M4                                                  | CUSIP: 31737DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   6800000 | PA      | $6585176.44   | 0.83%             | 2034-10-01      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Financial Asset Securities Corp. AAA Trust                                        | Financial Asset Securities Corp. AAA Trust, Series 2005-1A, Class 1A3B                                     | CUSIP: 31738PAV0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129113 | PA      | $126939.30    | 0.02%             | 2035-02-27      | Floating      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| Finance of America Structured Securities Trust                                    | Finance of America Structured Securities Trust, Series 2024-S4, Class A1                                   | CUSIP: 31741AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2415953 | PA      | $2354111.08   | 0.30%             | 2074-11-25      | Fixed         | 3.50%                 | Yes           |                  2 | On Loan: No      |
| Flagstar Mortgage Trust                                                           | Flagstar Mortgage Trust, Series 2020-1INV, Class A3                                                        | CUSIP: 33851YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97415 | PA      | $84530.42     | 0.01%             | 2050-03-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| FortiFi                                                                           | FortiFi, Series 2023-1A, Class A                                                                           | CUSIP: 34964YAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    748556 | PA      | $748202.49    | 0.09%             | 2059-09-20      | Fixed         | 6.23%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                                         | FHLMC Seasoned Credit Risk Transfer Trust, Series 2016-1, Class MT                                         | CUSIP: 35563PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3338741 | PA      | $2941100.94   | 0.37%             | 2055-09-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-1, Class HT                                         | CUSIP: 35563PAR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1385282 | PA      | $1215449.68   | 0.15%             | 2056-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-2, Class HT                                         | CUSIP: 35563PBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1404646 | PA      | $1230564.13   | 0.16%             | 2056-08-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-3, Class MT                                         | CUSIP: 35563PBS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    139111 | PA      | $121373.20    | 0.02%             | 2056-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-3, Class HT                                         | CUSIP: 35563PBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1161965 | PA      | $1035190.80   | 0.13%             | 2056-07-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class M45T                                       | CUSIP: 35563PCS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    217203 | PA      | $213326.13    | 0.03%             | 2057-06-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2017-4, Class HT                                         | CUSIP: 35563PDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    851249 | PA      | $775194.11    | 0.10%             | 2057-06-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class HT                                         | CUSIP: 35563PDT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1332764 | PA      | $1168053.39   | 0.15%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class HA                                         | CUSIP: 35563PDU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1223348 | PA      | $1164835.11   | 0.15%             | 2057-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-1, Class MT                                         | CUSIP: 35563PDY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    458445 | PA      | $399273.89    | 0.05%             | 2057-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-2, Class HT                                         | CUSIP: 35563PFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    453026 | PA      | $398777.50    | 0.05%             | 2057-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                                         | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-3, Class HT                                         | CUSIP: 35563PGA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    532947 | PA      | $463732.73    | 0.06%             | 2057-08-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                                         | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class HT                                         | CUSIP: 35563PGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    313864 | PA      | $272519.10    | 0.03%             | 2058-03-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2018-4, Class M55D                                       | CUSIP: 35563PHK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    419867 | PA      | $400395.52    | 0.05%             | 2058-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class HT                                         | CUSIP: 35563PHZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1102346 | PA      | $965208.17    | 0.12%             | 2058-07-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class MT                                         | CUSIP: 35563PJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    799229 | PA      | $720824.93    | 0.09%             | 2058-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-1, Class M                                          | CUSIP: 35563PJQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3056724 | PA      | $3001030.13   | 0.38%             | 2058-07-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2023-1, Class MT                                         | CUSIP: 35563PK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2144634 | PA      | $1813962.72   | 0.23%             | 2062-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class M55D                                       | CUSIP: 35563PKL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    670144 | PA      | $633386.40    | 0.08%             | 2058-08-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-2, Class M                                          | CUSIP: 35563PKR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3664042 | PA      | $3575779.74   | 0.45%             | 2058-08-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class HT                                         | CUSIP: 35563PLB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    114781 | PA      | $100746.45    | 0.01%             | 2058-10-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M55D                                       | CUSIP: 35563PLQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    177797 | PA      | $169007.68    | 0.02%             | 2058-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Seasoned Credit Risk Transfer Trust                                         | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-3, Class M                                          | CUSIP: 35563PLU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3534336 | PA      | $3475016.24   | 0.44%             | 2058-10-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class HT                                         | CUSIP: 35563PME6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    297784 | PA      | $256194.59    | 0.03%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class MT                                         | CUSIP: 35563PMK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    783143 | PA      | $673537.96    | 0.09%             | 2059-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M55D                                       | CUSIP: 35563PMT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    599663 | PA      | $566815.75    | 0.07%             | 2059-02-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2019-4, Class M                                          | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5518482 | PA      | $5272842.06   | 0.67%             | 2059-02-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-1, Class MT                                         | CUSIP: 35563PR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2919699 | PA      | $2468274.88   | 0.31%             | 2063-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M5TW                                       | CUSIP: 35563PTN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    520886 | PA      | $467978.14    | 0.06%             | 2060-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2020-3, Class M                                          | CUSIP: 35563PTU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1158616.08   | 0.15%             | 2060-05-25      | Variable      | 4.25%                 | Yes           |                  2 | On Loan: No      |
| FHLMC                                                                             | FHLMC Seasoned Credit Risk Transfer Trust, Series 2024-2, Class MT                                         | CUSIP: 35563PX46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1429709 | PA      | $1250536.02   | 0.16%             | 2064-05-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                               | Seasoned Credit Risk Transfer Trust, Series 2025-1, Class MAU                                              | CUSIP: 35563PZ28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    670702 | PA      | $616922.83    | 0.08%             | 2064-11-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Seasoned Credit Risk Transfer Trust                                               | Seasoned Credit Risk Transfer Trust, Series 2025-2, Class MTU                                              | CUSIP: 35563VAY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2938267 | PA      | $2512208.55   | 0.32%             | 2065-06-25      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36176D5L3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     41588 | PA      | $42351.83     | 0.01%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36176DZN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33192 | PA      | $33802.21     | 0.00%             | 2041-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179U3S9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39145 | PA      | $34841.14     | 0.00%             | 2049-10-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179U3T7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    353316 | PA      | $319476.11    | 0.04%             | 2049-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179U6L1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173731 | PA      | $157091.42    | 0.02%             | 2049-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UHT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      6289 | PA      | $6144.71      | 0.00%             | 2048-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UKM3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     13027 | PA      | $12346.11     | 0.00%             | 2049-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UKN1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7075 | PA      | $6912.83      | 0.00%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UKP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18085 | PA      | $18084.63     | 0.00%             | 2049-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UNZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21283 | PA      | $20794.53     | 0.00%             | 2049-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UQU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33500 | PA      | $32646.59     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UQV7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28282 | PA      | $28183.59     | 0.00%             | 2049-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179USL7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14415 | PA      | $14047.84     | 0.00%             | 2049-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179USM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16360 | PA      | $16359.68     | 0.00%             | 2049-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UUB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     52046 | PA      | $50720.23     | 0.01%             | 2049-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UUC4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     67194 | PA      | $66960.85     | 0.01%             | 2049-06-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27586 | PA      | $26882.97     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UXJ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    107898 | PA      | $97563.48     | 0.01%             | 2049-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179UZH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140374 | PA      | $124940.51    | 0.02%             | 2049-09-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VA83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53556 | PA      | $50674.70     | 0.01%             | 2049-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VA91<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     33823 | PA      | $32961.63     | 0.00%             | 2049-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VFE5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     96268 | PA      | $86747.01     | 0.01%             | 2050-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VHF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    301530 | PA      | $255902.62    | 0.03%             | 2050-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VHG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    234397 | PA      | $207673.36    | 0.03%             | 2050-03-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VHJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148138 | PA      | $140167.26    | 0.02%             | 2050-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VKA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    150091 | PA      | $132979.39    | 0.02%             | 2050-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VKB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82729 | PA      | $74547.23     | 0.01%             | 2050-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VKC3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     36374 | PA      | $34314.28     | 0.00%             | 2050-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VL24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    136460 | PA      | $115810.89    | 0.01%             | 2050-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VR77<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    388538 | PA      | $344241.09    | 0.04%             | 2050-08-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179VVR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    480935 | PA      | $433369.27    | 0.05%             | 2050-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179WRT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    485750 | PA      | $456427.05    | 0.06%             | 2051-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179X4X1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90193 | PA      | $92334.39     | 0.01%             | 2053-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36179XJR8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    252485 | PA      | $255958.37    | 0.03%             | 2052-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36179XLL8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    555029 | PA      | $576181.84    | 0.07%             | 2052-11-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36179Y2R4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1128966 | PA      | $1147195.61   | 0.14%             | 2054-07-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617GTNN3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9653 | PA      | $9773.18      | 0.00%             | 2049-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617GTPK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11384 | PA      | $11531.65     | 0.00%             | 2048-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617J6RP1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1956 | PA      | $1981.48      | 0.00%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617J6UQ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7636 | PA      | $7630.51      | 0.00%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617JKEK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10981 | PA      | $10865.60     | 0.00%             | 2049-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617JUST9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29722 | PA      | $28224.94     | 0.00%             | 2049-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617JUSZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15956 | PA      | $15788.65     | 0.00%             | 2049-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617UNGT5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    994642 | PA      | $857499.09    | 0.11%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3617UNGV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    717081 | PA      | $608909.11    | 0.08%             | 2051-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 3617VAGH8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    807168 | PA      | $739161.25    | 0.09%             | 2071-03-20      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 36180ABW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    739223 | PA      | $748238.77    | 0.09%             | 2054-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36180UMA4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    126939 | PA      | $120290.26    | 0.02%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36181CNU8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     48052 | PA      | $46330.70     | 0.01%             | 2044-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36183FLP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     65324 | PA      | $61463.44     | 0.01%             | 2044-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 36184YE78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     93203 | PA      | $87446.64     | 0.01%             | 2045-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618APTE9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     98645 | PA      | $101512.45    | 0.01%             | 2052-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618AVMX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    453818 | PA      | $462615.08    | 0.06%             | 2053-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618BDKS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     57750 | PA      | $58869.67     | 0.01%             | 2053-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618BWLL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    213675 | PA      | $217749.83    | 0.03%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618BWLP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    225596 | PA      | $229897.98    | 0.03%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618BWLQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     39168 | PA      | $39914.78     | 0.01%             | 2053-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618FSVZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    140898 | PA      | $146563.35    | 0.02%             | 2053-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1067685 | PA      | $1043156.31   | 0.13%             | 2054-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    529819 | PA      | $530298.42    | 0.07%             | 2054-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TX6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    441805 | PA      | $450863.09    | 0.06%             | 2054-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    486405 | PA      | $502369.17    | 0.06%             | 2054-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618H9TZ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    605674 | PA      | $634057.55    | 0.08%             | 2054-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618J8WW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2801941 | PA      | $2859384.77   | 0.36%             | 2054-09-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618JAS79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     43097 | PA      | $43811.39     | 0.01%             | 2054-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618JAX24<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    106669 | PA      | $111091.04    | 0.01%             | 2054-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Other                                                                                             | CUSIP: 3618JKPK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    896657 | PA      | $935894.39    | 0.12%             | 2064-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618K4DF9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2716398 | PA      | $2718854.48   | 0.34%             | 2054-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618K4DG7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1932577 | PA      | $1969781.94   | 0.25%             | 2054-12-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618LMMC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1994841 | PA      | $2025405.19   | 0.26%             | 2055-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618M72L9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1388438 | PA      | $1416709.78   | 0.18%             | 2052-10-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618MAMS5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1497459 | PA      | $1534273.94   | 0.19%             | 2055-10-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, Single Family, 30 Year                                                                            | CUSIP: 3618NPT70<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3959731 | PA      | $4042586.47   | 0.51%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                           | GSR Mortgage Loan Trust, Series 2004-3F, Class 1A1                                                         | CUSIP: 36228FG34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9543 | PA      | $9335.94      | 0.00%             | 2034-02-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAA Trust                                                                        | GSAA Trust, Series 2004-CW1, Class 2A1                                                                     | CUSIP: 36228FT55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135213 | PA      | $137083.91    | 0.02%             | 2034-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                           | GSR Mortgage Loan Trust, Series 2003-1, Class A2                                                           | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2870 | PA      | $2868.98      | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, 30 Year                                                                                           | CUSIP: 3622AD3R7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1993084 | PA      | $2037323.64   | 0.26%             | 2055-08-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA II, 30 Year                                                                                           | CUSIP: 3622ADYJ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5571929 | PA      | $5730308.55   | 0.72%             | 2055-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                           | GSR Mortgage Loan Trust, Series 2005-7F, Class 3A10                                                        | CUSIP: 362341NC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211060 | PA      | $214316.71    | 0.03%             | 2035-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                           | GSR Mortgage Loan Trust, Series 2005-8F, Class 2A5                                                         | CUSIP: 362341VT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2260 | PA      | $2160.98      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR Mortgage Loan Trust                                                           | GSR Mortgage Loan Trust, Series 2005-2F, Class 3A1                                                         | CUSIP: 36242DYH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35916 | PA      | $21633.89     | 0.00%             | 2035-03-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                      | GS Mortgage Securities Trust, Series 2015-GC32, Class D                                                    | CUSIP: 36250PAM7<br>LEI: 54930066YOFVQE068N73 | Long             | ABS-MBS          | CORP              | US        |      9382 | PA      | $9199.24      | 0.00%             | 2048-07-10      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                                                      | GS Mortgage Securities Trust, Series 2014-GC24, Class XA                                                   | CUSIP: 36253GAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    101238 | PA      | $1.01         | 0.00%             | 2047-09-10      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| Galton Funding Mortgage Trust                                                     | Galton Funding Mortgage Trust, Series 2019-1, Class A22                                                    | CUSIP: 36418WAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    464422 | PA      | $448281.49    | 0.06%             | 2059-02-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| GITSIT Mortgage Loan Trust                                                        | GITSIT Mortgage Loan Trust, Series 2025-NPL1, Class A1                                                     | CUSIP: 375926AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1029630 | PA      | $1032187.81   | 0.13%             | 2055-02-25      | Variable      | 6.28%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H13, Class AI                                                                            | CUSIP: 38375B2E1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    456803 | PA      | $16688.88     | 0.00%             | 2063-05-20      | Variable      | 1.68%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H13, Class SI                                                                            | CUSIP: 38375B2R2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    534793 | PA      | $21861.68     | 0.00%             | 2063-06-20      | Variable      | 1.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H15, Class XI                                                                            | CUSIP: 38375B4R0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4062 | PA      | $430.48       | 0.00%             | 2063-07-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H20, Class LI                                                                            | CUSIP: 38375B6P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      7908 | PA      | $346.60       | 0.00%             | 2063-02-20      | Variable      | 2.22%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H20, Class XI                                                                            | CUSIP: 38375B6R8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27151 | PA      | $805.17       | 0.00%             | 2063-08-20      | Variable      | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H22, Class FB                                                                            | CUSIP: 38375B8A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4929 | PA      | $4962.95      | 0.00%             | 2063-08-20      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H13, Class JI                                                                            | CUSIP: 38375BDA7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     66927 | PA      | $5898.99      | 0.00%             | 2060-04-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H15, Class IF                                                                            | CUSIP: 38375BDP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        59 | PA      | $3.88         | 0.00%             | 2060-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H17, Class JI                                                                            | CUSIP: 38375BEJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     34313 | PA      | $3024.33      | 0.00%             | 2060-04-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H15, Class WI                                                                            | CUSIP: 38375BEQ1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    232549 | PA      | $14178.76     | 0.00%             | 2060-05-20      | Variable      | 1.53%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H01, Class TI                                                                            | CUSIP: 38375BF23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44309 | PA      | $883.89       | 0.00%             | 2063-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H21, Class JI                                                                            | CUSIP: 38375BGD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     50528 | PA      | $2968.67      | 0.00%             | 2060-02-20      | Variable      | 2.54%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H26                                                                                      | CUSIP: 38375BGT3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    144708 | PA      | $2114.37      | 0.00%             | 2058-08-20      | Variable      | 0.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H22, Class HI                                                                            | CUSIP: 38375BHK1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     35790 | PA      | $3568.47      | 0.00%             | 2060-10-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-H27, Class JI                                                                            | CUSIP: 38375BJJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    658091 | PA      | $44977.47     | 0.01%             | 2060-11-20      | Variable      | 1.63%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H04, Class BI                                                                            | CUSIP: 38375BK92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     27502 | PA      | $3886.06      | 0.00%             | 2063-02-20      | Variable      | 3.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2011-H06, Class FA                                                                            | CUSIP: 38375BKL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     10942 | PA      | $10983.38     | 0.00%             | 2061-02-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H05, Class SA                                                                            | CUSIP: 38375BL67<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     69703 | PA      | $3264.13      | 0.00%             | 2062-10-20      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H08, Class XA                                                                            | CUSIP: 38375BQU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21593 | PA      | $4194.99      | 0.00%             | 2060-09-20      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H08, Class XB                                                                            | CUSIP: 38375BQW5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     16128 | PA      | $1500.47      | 0.00%             | 2062-03-20      | Variable      | 2.77%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H07, Class MI                                                                            | CUSIP: 38375BR79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       555 | PA      | $15.60        | 0.00%             | 2062-04-20      | Variable      | 0.17%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H09, Class AI                                                                            | CUSIP: 38375BRG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90661 | PA      | $1917.96      | 0.00%             | 2062-04-20      | Variable      | 1.26%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H11, Class BI                                                                            | CUSIP: 38375BSG8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     26303 | PA      | $4136.61      | 0.00%             | 2062-05-20      | Variable      | 2.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H11, Class CI                                                                            | CUSIP: 38375BSJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     83972 | PA      | $12004.05     | 0.00%             | 2062-04-20      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H20, Class MI                                                                            | CUSIP: 38375BVM1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15345 | PA      | $1042.28      | 0.00%             | 2061-04-20      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H21, Class SB                                                                            | CUSIP: 38375BVX7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9890 | PA      | $579.69       | 0.00%             | 2062-05-20      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H21, Class AS                                                                            | CUSIP: 38375BVZ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15715 | PA      | $920.03       | 0.00%             | 2062-05-20      | Variable      | 0.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H21, Class DS                                                                            | CUSIP: 38375BWD0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5348 | PA      | $294.09       | 0.00%             | 2061-05-20      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H28, Class SA                                                                            | CUSIP: 38375BYF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21915 | PA      | $489.48       | 0.00%             | 2062-09-20      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H28, Class SB                                                                            | CUSIP: 38375BYH9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     47707 | PA      | $5006.62      | 0.00%             | 2061-11-20      | Variable      | 0.51%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H26, Class JI                                                                            | CUSIP: 38375BYV8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      1060 | PA      | $59.64        | 0.00%             | 2061-10-20      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H11, Class PI                                                                            | CUSIP: 38375BZ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    181299 | PA      | $7117.73      | 0.00%             | 2063-04-20      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-H28, Class SC                                                                            | CUSIP: 38375BZM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97783 | PA      | $3.82         | 0.00%             | 2062-01-20      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-57, Class NI                                                                             | CUSIP: 38375CAA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5826 | PA      | $206.00       | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-98, Class HS                                                                             | CUSIP: 38375GA76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    173713 | PA      | $17556.44     | 0.00%             | 2042-08-20      | Floating      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-102, Class SA                                                                            | CUSIP: 38375GZ79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    168161 | PA      | $18398.33     | 0.00%             | 2042-08-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H25, Class DI                                                                            | CUSIP: 38375U2D1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61712 | PA      | $2359.97      | 0.00%             | 2067-12-20      | Variable      | 0.57%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H25                                                                                      | CUSIP: 38375U2N9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  14657554 | PA      | $506216.23    | 0.06%             | 2067-11-20      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H01, Class XI                                                                            | CUSIP: 38375U4W7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    773566 | PA      | $46191.96     | 0.01%             | 2068-01-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H03, Class XI                                                                            | CUSIP: 38375U5C0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3525393 | PA      | $135577.79    | 0.02%             | 2068-02-20      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H02, Class EI                                                                            | CUSIP: 38375U6A3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    179156 | PA      | $7777.69      | 0.00%             | 2068-01-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H10, Class MI                                                                            | CUSIP: 38375UB25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    346125 | PA      | $9718.37      | 0.00%             | 2067-04-20      | Variable      | 1.84%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-H25, Class EI                                                                            | CUSIP: 38375UBD1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    167476 | PA      | $2763.58      | 0.00%             | 2063-08-20      | Variable      | 1.18%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H16, Class IB                                                                            | CUSIP: 38375UD23<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    506602 | PA      | $14845.00     | 0.00%             | 2067-08-20      | Variable      | 1.94%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H16, Class BI                                                                            | CUSIP: 38375UD80<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    274642 | PA      | $11664.04     | 0.00%             | 2067-08-20      | Variable      | 2.33%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H16, Class CI                                                                            | CUSIP: 38375UF39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    724617 | PA      | $21139.86     | 0.00%             | 2067-07-20      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H09, Class AI                                                                            | CUSIP: 38375UFU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    287911 | PA      | $8704.61      | 0.00%             | 2064-01-20      | Variable      | 1.40%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H07, Class BI                                                                            | CUSIP: 38375UHX1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    460026 | PA      | $12250.16     | 0.00%             | 2064-05-20      | Variable      | 1.58%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H12, Class BI                                                                            | CUSIP: 38375UJE1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    504256 | PA      | $18419.46     | 0.00%             | 2064-05-20      | Variable      | 1.62%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H11, Class HI                                                                            | CUSIP: 38375UJZ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    731599 | PA      | $46025.30     | 0.01%             | 2064-06-20      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H20, Class DI                                                                            | CUSIP: 38375UM49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    641242 | PA      | $34586.50     | 0.00%             | 2067-10-20      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H20, Class IB                                                                            | CUSIP: 38375UM72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    569809 | PA      | $16383.96     | 0.00%             | 2067-10-20      | Variable      | 2.21%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H20, Class HI                                                                            | CUSIP: 38375UN55<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    570416 | PA      | $28204.37     | 0.00%             | 2067-10-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H19, Class AI                                                                            | CUSIP: 38375UPK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    569050 | PA      | $52367.50     | 0.01%             | 2064-09-20      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H21, Class BI                                                                            | CUSIP: 38375UPZ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322871 | PA      | $7310.11      | 0.00%             | 2064-10-20      | Variable      | 1.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H21, Class DI                                                                            | CUSIP: 38375UQ86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13754590 | PA      | $375119.29    | 0.05%             | 2067-10-20      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H20, Class MI                                                                            | CUSIP: 38375UQU7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1325872 | PA      | $114301.68    | 0.01%             | 2064-10-20      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2014-H22, Class AI                                                                            | CUSIP: 38375URW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1148374 | PA      | $64819.76     | 0.01%             | 2064-11-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H03, Class CI                                                                            | CUSIP: 38375UTQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  11405214 | PA      | $337253.24    | 0.04%             | 2065-01-20      | Variable      | 1.76%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H22, Class GI                                                                            | CUSIP: 38375UU99<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8804470 | PA      | $689539.71    | 0.09%             | 2067-10-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H05, Class BI                                                                            | CUSIP: 38375UUS7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    673559 | PA      | $34166.86     | 0.00%             | 2065-02-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H22, Class KI                                                                            | CUSIP: 38375UV72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    893218 | PA      | $53694.33     | 0.01%             | 2067-11-20      | Variable      | 2.49%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H09, Class AI                                                                            | CUSIP: 38375UWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    187103 | PA      | $8241.78      | 0.00%             | 2065-04-20      | Variable      | 2.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H11, Class HI                                                                            | CUSIP: 38375UWZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    759341 | PA      | $19650.23     | 0.00%             | 2066-01-20      | Variable      | 1.83%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H02, Class BI                                                                            | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    148757 | PA      | $5743.56      | 0.00%             | 2067-01-20      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H09, Class HI                                                                            | CUSIP: 38375UZJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2919938 | PA      | $175248.17    | 0.02%             | 2067-03-20      | Variable      | 2.16%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H08, Class XI                                                                            | CUSIP: 38376R2M7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    199180 | PA      | $7888.17      | 0.00%             | 2067-03-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H11, Class XI                                                                            | CUSIP: 38376R4N3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2596139 | PA      | $85683.22     | 0.01%             | 2067-05-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H14, Class EI                                                                            | CUSIP: 38376R5G7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12855119 | PA      | $400142.11    | 0.05%             | 2067-06-20      | Variable      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H14, Class AI                                                                            | CUSIP: 38376R5Q5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    564935 | PA      | $28150.13     | 0.00%             | 2067-06-20      | Variable      | 2.30%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H14, Class XI                                                                            | CUSIP: 38376R5T9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    351632 | PA      | $8795.48      | 0.00%             | 2067-06-20      | Variable      | 1.87%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H15, Class KI                                                                            | CUSIP: 38376R5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1071317 | PA      | $55389.79     | 0.01%             | 2067-07-20      | Variable      | 2.28%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H15, Class XI                                                                            | CUSIP: 38376R6L5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  12821316 | PA      | $333867.06    | 0.04%             | 2067-07-20      | Variable      | 1.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H22                                                                                      | CUSIP: 38376RC79<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    271137 | PA      | $10230.83     | 0.00%             | 2066-10-20      | Variable      | 1.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H22, Class AI                                                                            | CUSIP: 38376RC87<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    244609 | PA      | $13039.39     | 0.00%             | 2066-10-20      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H13, Class JS                                                                            | CUSIP: 38376RCP9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53422 | PA      | $979.62       | 0.00%             | 2063-05-20      | Variable      | 0.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H15, Class AI                                                                            | CUSIP: 38376RCW4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6257380 | PA      | $269816.41    | 0.03%             | 2065-06-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H16, Class XI                                                                            | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     82204 | PA      | $4902.33      | 0.00%             | 2065-07-20      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H23, Class TI                                                                            | CUSIP: 38376RHK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    184153 | PA      | $7470.00      | 0.00%             | 2065-09-20      | Variable      | 1.99%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H25, Class AI                                                                            | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    151248 | PA      | $2366.92      | 0.00%             | 2065-09-20      | Variable      | 1.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2015-H30, Class AI                                                                            | CUSIP: 38376RKY1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81818 | PA      | $1928.22      | 0.00%             | 2061-08-20      | Variable      | 0.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2017-H01, Class DI                                                                            | CUSIP: 38376RP34<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2411241 | PA      | $150117.58    | 0.02%             | 2066-12-20      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H04, Class HI                                                                            | CUSIP: 38376RQY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    248513 | PA      | $12483.84     | 0.00%             | 2065-07-20      | Variable      | 2.37%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H07, Class FM                                                                            | CUSIP: 38376RRJ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       697 | PA      | $701.87       | 0.00%             | 2066-02-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H13, Class CI                                                                            | CUSIP: 38376RUX2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4442936 | PA      | $176800.54    | 0.02%             | 2066-06-20      | Variable      | 2.31%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H13, Class EI                                                                            | CUSIP: 38376RVD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8746329 | PA      | $462576.76    | 0.06%             | 2066-04-20      | Variable      | 2.60%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H13, Class IK                                                                            | CUSIP: 38376RVS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2939675 | PA      | $261572.26    | 0.03%             | 2066-06-20      | Variable      | 2.65%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H16, Class EI                                                                            | CUSIP: 38376RWP7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    176181 | PA      | $7194.17      | 0.00%             | 2066-06-20      | Floating      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H17, Class DI                                                                            | CUSIP: 38376RXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   7962883 | PA      | $264423.45    | 0.03%             | 2066-07-20      | Variable      | 2.23%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H20, Class MI                                                                            | CUSIP: 38376RYK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     88418 | PA      | $765.67       | 0.00%             | 2062-12-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H20, Class BI                                                                            | CUSIP: 38376RYL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    322275 | PA      | $11661.74     | 0.00%             | 2066-09-20      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2016-H20, Class CI                                                                            | CUSIP: 38376RYN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4595278 | PA      | $224243.70    | 0.03%             | 2066-08-20      | Variable      | 2.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2010-47, Class BX                                                                             | CUSIP: 38376YU41<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     77860 | PA      | $3877.48      | 0.00%             | 2034-08-16      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2011-19, Class IM                                                                             | CUSIP: 38377TZF1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     18292 | PA      | $3547.53      | 0.00%             | 2041-02-16      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2011-94, Class SU                                                                             | CUSIP: 38377WJ96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     56768 | PA      | $4485.82      | 0.00%             | 2041-04-20      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2011-136, Class IG                                                                            | CUSIP: 38377YTQ3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     11694 | PA      | $361.65       | 0.00%             | 2040-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2012-128, Class IG                                                                            | CUSIP: 38378HP26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    530351 | PA      | $86642.42     | 0.01%             | 2042-10-16      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-182, Class NS                                                                            | CUSIP: 38378PFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    227662 | PA      | $27077.16     | 0.00%             | 2043-12-20      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-71, Class IG                                                                             | CUSIP: 38378TAH3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    338613 | PA      | $54459.19     | 0.01%             | 2043-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-71, Class MI                                                                             | CUSIP: 38378TCN8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21852 | PA      | $394.97       | 0.00%             | 2041-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2013-135, Class SM                                                                            | CUSIP: 38378W6W8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     95300 | PA      | $4551.47      | 0.00%             | 2043-09-20      | Floating      | 2.45%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H05, Class BI                                                                            | CUSIP: 38380LAD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    156139 | PA      | $6691.35      | 0.00%             | 2068-02-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-H15, Class MI                                                                            | CUSIP: 38380LC76<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1724129 | PA      | $91586.95     | 0.01%             | 2069-09-20      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H07, Class BI                                                                            | CUSIP: 38380LCG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    101173 | PA      | $3908.59      | 0.00%             | 2068-03-20      | Variable      | 1.74%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H11, Class AI                                                                            | CUSIP: 38380LFF5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2395098 | PA      | $83466.90     | 0.01%             | 2068-02-20      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-H18, Class IE                                                                            | CUSIP: 38380LL92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8791887 | PA      | $330470.65    | 0.04%             | 2069-10-20      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-H18, Class IH                                                                            | CUSIP: 38380LM75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1272315 | PA      | $76743.12     | 0.01%             | 2069-11-20      | Variable      | 1.03%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-H12, Class DI                                                                            | CUSIP: 38380LWR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1596216 | PA      | $64372.78     | 0.01%             | 2069-06-20      | Variable      | 1.08%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-H14, Class DI                                                                            | CUSIP: 38380LYZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2557934 | PA      | $159092.34    | 0.02%             | 2069-08-20      | Variable      | 1.19%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2019-H15, Class CI                                                                            | CUSIP: 38380LZZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1604197 | PA      | $81617.12     | 0.01%             | 2069-07-20      | Variable      | 1.06%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2020-H22, Class NI                                                                            | CUSIP: 38380QSV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   5699674 | PA      | $289799.39    | 0.04%             | 2070-12-20      | Variable      | 1.14%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H04, Class NI                                                                            | CUSIP: 38380VPP0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    749847 | PA      | $29421.68     | 0.00%             | 2068-02-20      | Variable      | 2.20%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2018-H04                                                                                      | CUSIP: 38380VPT2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    623977 | PA      | $28146.48     | 0.00%             | 2068-02-20      | Variable      | 2.15%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2025-160, Class Z                                                                             | CUSIP: 38381UNC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2889972 | PA      | $2900016.42   | 0.37%             | 2055-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2020-167, Class YI                                                                            | CUSIP: 38382LAC5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   6176139 | PA      | $785801.62    | 0.10%             | 2050-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2022-H11, Class IG                                                                            | CUSIP: 38382YTV5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   8458835 | PA      | $438760.12    | 0.06%             | 2072-05-20      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2025-173, Class LZ                                                                            | CUSIP: 38383BD25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   2995365 | PA      | $3003410.56   | 0.38%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2025-180, Class ZE                                                                            | CUSIP: 38383BWC2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   3677176 | PA      | $3688189.80   | 0.47%             | 2055-10-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                              | GNMA, Series 2021-194, Class NI                                                                            | CUSIP: 38383DDC9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   1529952 | PA      | $219012.28    | 0.03%             | 2051-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Conseco Finance Corp.                                                             | Conseco Finance Corp., Series 1996-4, Class M1                                                             | CUSIP: 393505MR0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    192271 | PA      | $192781.69    | 0.02%             | 2027-06-15      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| HSBC USA, Inc.                                                                    | HSBC USA, Inc.                                                                                             | CUSIP: 40434RAT9<br>LEI: 549300LBOHZ4QSIWU288 | Long             | STIV             | CORP              | US        |   3000000 | PA      | $2991402.00   | 0.38%             | 2026-01-27      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                             | Harvest Commercial Capital Loan Trust, Series 2019-1, Class M5                                             | CUSIP: 41753CAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1485652.20   | 0.19%             | 2046-09-25      | Variable      | 5.73%                 | Yes           |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                             | Harvest Commercial Capital Loan Trust, Series 2019-1, Class M6                                             | CUSIP: 41753CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1380000 | PA      | $1339192.85   | 0.17%             | 2046-09-25      | Variable      | 6.34%                 | Yes           |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                             | Harvest Commercial Capital Loan Trust, Series 2020-1, Class M5                                             | CUSIP: 41754FAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1554000 | PA      | $1451302.98   | 0.18%             | 2052-04-25      | Variable      | 5.96%                 | Yes           |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                                            | Harvest SBA Loan Trust, Series 2024-1, Class A                                                             | CUSIP: 41756NAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1957125 | PA      | $1979760.83   | 0.25%             | 2051-12-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                                            | Harvest SBA Loan Trust, Series 2023-1, Class A                                                             | CUSIP: 41757BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1347781 | PA      | $1396607.66   | 0.18%             | 2050-10-25      | Floating      | 7.32%                 | Yes           |                  2 | On Loan: No      |
| Harvest SBA Loan Trust                                                            | Harvest SBA Loan Trust, Series 2025-1, Class A                                                             | CUSIP: 41757LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1955376 | PA      | $1959154.43   | 0.25%             | 2052-01-25      | Floating      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| Harvest Commercial Capital Loan Trust                                             | Harvest Commercial Capital Loan Trust, Series 2024-1, Class A                                              | CUSIP: 417927AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1747263 | PA      | $1793989.04   | 0.23%             | 2056-10-25      | Fixed         | 6.16%                 | No            |                  2 | On Loan: No      |
| IMS Ecuadorian Mortgage Trust                                                     | IMS Ecuadorian Mortgage Trust, Series 2021-1, Class GA                                                     | CUSIP: 44970EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    252440 | PA      | $248110.80    | 0.03%             | 2043-08-18      | Fixed         | 3.40%                 | Yes           |                  2 | On Loan: No      |
| ICAP Trust                                                                        | ICAP Trust, Series 2025-RTL1, Class A1                                                                     | CUSIP: 45115QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1522791.90   | 0.19%             | 2030-07-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| Impac CMB Trust                                                                   | Impac CMB Trust, Series 2005-7, Class A1                                                                   | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    918543 | PA      | $835263.76    | 0.11%             | 2035-11-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                                  | IndyMac INDX Mortgage Loan Trust, Series 2004-AR9, Class 3A                                                | CUSIP: 45660N3Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13182 | PA      | $13218.25     | 0.00%             | 2034-11-25      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                        | J.P. Morgan Mortgage Trust, Series 2004-A6, Class 1A2                                                      | CUSIP: 466247GS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32426 | PA      | $29396.61     | 0.00%             | 2034-12-25      | Variable      | 3.67%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                        | J.P. Morgan Mortgage Trust, Series 2008-R2, Class 1A1                                                      | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     55902 | PA      | $52610.18     | 0.01%             | 2037-07-27      | Variable      | 4.05%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Chase Commercial Mortgage Securities Trust                            | J.P. Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP4, Class XA                          | CUSIP: 46645UAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1347556 | PA      | $3593.26      | 0.00%             | 2049-12-15      | Variable      | 0.56%                 | No            |                  2 | On Loan: No      |
| JOL Air Ltd.                                                                      | JOL Air Ltd., Series 2019-1, Class A                                                                       | CUSIP: 46651NAA2<br>LEI: 549300TS4MUGCDXPW498 | Long             | ABS-O            | CORP              | KY        |   1165168 | PA      | $1159768.66   | 0.15%             | 2044-04-15      | Fixed         | 3.97%                 | Yes           |                  2 | On Loan: No      |
| J.P. Morgan Mortgage Trust                                                        | J.P. Morgan Mortgage Trust, Series 2020-INV2, Class A3                                                     | CUSIP: 46652KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     76689 | PA      | $66629.70     | 0.01%             | 2050-10-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| KGS-Alpha SBA COOF Trust                                                          | KGS-Alpha SBA COOF Trust, Series 2012-2, Class A                                                           | CUSIP: 48247KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221735 | PA      | $2708.98      | 0.00%             | 2038-08-25      | Variable      | 0.91%                 | Yes           |                  2 | On Loan: No      |
| Kestrel Aircraft Funding Ltd.                                                     | Kestrel Aircraft Funding Ltd., Series 2018-1A, Class A                                                     | CUSIP: 49255PAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IE        |     65330 | PA      | $65369.01     | 0.01%             | 2038-12-15      | Fixed         | 4.25%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                              | LHOME Mortgage Trust, Series 2023-RTL4, Class A1                                                           | CUSIP: 50204VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1506012.90   | 0.19%             | 2028-11-25      | Variable      | 7.63%                 | Yes           |                  2 | On Loan: No      |
| LHOME Mortgage Trust                                                              | LHOME Mortgage Trust, Series 2023-RTL3, Class A1                                                           | CUSIP: 50205TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1741373 | PA      | $1751432.51   | 0.22%             | 2028-08-25      | Variable      | 8.00%                 | Yes           |                  2 | On Loan: No      |
| La Hipotecaria Panamanian Mortgage Trust                                          | La Hipotecaria Panamanian Mortgage Trust, Series 2021-1, Class GA                                          | CUSIP: 50347JAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1515633 | PA      | $1385894.78   | 0.18%             | 2052-07-13      | Fixed         | 4.35%                 | Yes           |                  2 | On Loan: No      |
| Legacy Mortgage Asset Trust                                                       | Legacy Mortgage Asset Trust, Series 2021-GS2, Class A2                                                     | CUSIP: 52476DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2591204 | PA      | $2604017.33   | 0.33%             | 2061-04-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract Trust                                    | Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M1                                    | CUSIP: 52519SAL7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41274 | PA      | $41586.52     | 0.01%             | 2040-04-15      | Variable      | 6.63%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Manufactured Housing Contract Trust                                    | Lehman ABS Manufactured Housing Contract Trust, Series 2002-A, Class C                                     | CUSIP: 52519SAX1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    988416 | PA      | $990876.55    | 0.13%             | 2033-06-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| loanDepot GMSR Trust                                                              | loanDepot GMSR Trust, Series 2025-GT1, Class A                                                             | CUSIP: 53946TAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5000000 | PA      | $5012183.00   | 0.63%             | 2030-05-16      | Floating      | 6.58%                 | Yes           |                  2 | On Loan: No      |
| LOANDEPOT GMSR Master Trust                                                       | LOANDEPOT GMSR Master Trust, Series 2025-GT2, Class A                                                      | CUSIP: 53946TAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3200000 | PA      | $3254330.88   | 0.41%             | 2030-07-16      | Floating      | 6.88%                 | Yes           |                  2 | On Loan: No      |
| loanDepot GMSR Trust                                                              | loanDepot GMSR Trust, Series 2025-FT1, Class A                                                             | CUSIP: 53949HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7000000 | PA      | $7013825.21   | 0.89%             | 2030-12-19      | Floating      | 6.59%                 | Yes           |                  2 | On Loan: No      |
| LoanMe Trust Prime                                                                | LoanMe Trust Prime, Series 2018-1, Class B                                                                 | CUSIP: 53958AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    136755 | PA      | $136566.59    | 0.02%             | 2034-09-15      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust                                             | MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 5A1                                            | CUSIP: 576433MY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137192 | PA      | $129336.64    | 0.02%             | 2034-06-25      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                                  | MASTR Asset Securitization Trust, Series 2005-2, Class 4A1                                                 | CUSIP: 57643MLK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       909 | PA      | $854.92       | 0.00%             | 2025-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MASTR Reperforming Loan Trust                                                     | MASTR Reperforming Loan Trust, Series 2005-2, Class 1A3                                                    | CUSIP: 57643QAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90927 | PA      | $64611.65     | 0.01%             | 2035-05-25      | Fixed         | 7.50%                 | Yes           |                  2 | On Loan: No      |
| MERIT Securities Corp.                                                            | MERIT Securities Corp., Series 11PA, Class B3                                                              | CUSIP: 589962DH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    234045 | PA      | $226347.28    | 0.03%             | 2032-09-28      | Floating      | 7.21%                 | Yes           |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                            | Merrill Lynch Mortgage Investors Trust, Series 2004-A, Class A2                                            | CUSIP: 59020UAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5920 | PA      | $5865.88      | 0.00%             | 2029-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                            | Merrill Lynch Mortgage Investors Trust, Series 2004-FM1, Class B1                                          | CUSIP: 59020UFY6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54468 | PA      | $53140.12     | 0.01%             | 2035-01-25      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                            | Merrill Lynch Mortgage Investors Trust, Series 2007-1, Class 3A                                            | CUSIP: 59023HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6494 | PA      | $6336.00      | 0.00%             | 2037-01-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| METAL LLC                                                                         | METAL LLC, Series 2017-1, Class A                                                                          | CUSIP: 59111RAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    221441 | PA      | $155002.15    | 0.02%             | 2042-10-15      | Fixed         | 4.58%                 | Yes           |                  2 | On Loan: No      |
| LSF11 Boson Investments Sarl Compartment 2                                        | LSF11 Boson Investments Sarl Compartment 2, Series 2021-NPLX, Class A1                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |    855064 | PA      | $1010501.48   | 0.13%             | 2060-11-25      | Floating      | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                                          | Morgan Stanley Institutional Liquidity Funds - Government Portfolio - Institutional Class                  | CUSIP: 61747C707<br>LEI: 549300BI6Y5SI6BYPB26 | Long             | STIV             | RF                | US        |   6536935 | NS      | $6536934.62   | 0.83%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley Mortgage Loan Trust                                                | Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 4A                                              | CUSIP: 61748HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46521 | PA      | $45674.09     | 0.01%             | 2034-02-25      | Variable      | 6.05%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Securitization Trust                                                  | MASTR Asset Securitization Trust, Series 2002-NC1, Class M3                                                | CUSIP: 61909QAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1452667 | PA      | $1407991.66   | 0.18%             | 2032-10-25      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| Multifamily Trust                                                                 | Multifamily Trust, Series 2016-1, Class A                                                                  | CUSIP: 62547LAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1507165 | PA      | $1491810.75   | 0.19%             | 2046-04-25      | Floating      | 5.85%                 | Yes           |                  2 | On Loan: No      |
| NYMT Loan Trust                                                                   | NYMT Loan Trust, Series 2024-BPL1, Class A1                                                                | CUSIP: 62956MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3950000 | PA      | $3963412.23   | 0.50%             | 2029-02-25      | Variable      | 7.15%                 | Yes           |                  2 | On Loan: No      |
| NRM FNT1 Excess LLC                                                               | NRM FNT1 Excess LLC, Series 2024-FNT1, Class A                                                             | CUSIP: 62956YAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3439772 | PA      | $3504114.62   | 0.44%             | 2031-11-25      | Variable      | 7.40%                 | Yes           |                  2 | On Loan: No      |
| NALP Business Loan Trust                                                          | NALP Business Loan Trust, Series 2024-1, Class A                                                           | CUSIP: 629863AA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1364417 | PA      | $1388312.92   | 0.18%             | 2049-12-27      | Fixed         | 6.49%                 | Yes           |                  2 | On Loan: No      |
| National City Mortgage Capital Trust                                              | National City Mortgage Capital Trust, Series 2008-1, Class 2A1                                             | CUSIP: 635419AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     52909 | PA      | $50998.40     | 0.01%             | 2038-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Natixis Commercial Mortgage Securities Trust                                      | Natixis Commercial Mortgage Securities Trust, Series 2019-10K, Class E                                     | CUSIP: 63874UAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1000000 | PA      | $932053.40    | 0.12%             | 2039-05-15      | Variable      | 4.13%                 | Yes           |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                                | New Century Home Equity Loan Trust, Series 2003-5, Class AII                                               | CUSIP: 64352VEG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    179348 | PA      | $116882.89    | 0.01%             | 2033-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| NRM FHT1 Excess Owner LLC                                                         | NRM FHT1 Excess Owner LLC, Series 2025-FHT1, Class A                                                       | CUSIP: 64832EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4983706 | PA      | $5088948.93   | 0.64%             | 2032-03-25      | Variable      | 6.55%                 | Yes           |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                                                  | Newtek Small Business Loan Trust, Series 2022-1, Class A                                                   | CUSIP: 65254BAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    645661 | PA      | $650666.50    | 0.08%             | 2049-10-25      | Floating      | 6.05%                 | Yes           |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                                                  | Newtek Small Business Loan Trust, Series 2022-1, Class B                                                   | CUSIP: 65254BAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1506543 | PA      | $1495595.79   | 0.19%             | 2049-10-25      | Floating      | 7.00%                 | Yes           |                  2 | On Loan: No      |
| Newtek Small Business Loan Trust                                                  | Newtek Small Business Loan Trust, Series 2023-1, Class A                                                   | CUSIP: 65254RAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    568807 | PA      | $574493.08    | 0.07%             | 2050-07-25      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                                   | NovaStar Mortgage Funding Trust, Series 2003-3, Class O                                                    | CUSIP: 66987XDD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   7335225 | PA      | $4540746.38   | 0.57%             | 2033-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| NovaStar Mortgage Funding Trust                                                   | NovaStar Mortgage Funding Trust, Series 2003-4, Class O                                                    | CUSIP: 66987XDT9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3748601 | PA      | $2148907.93   | 0.27%             | 2034-02-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                  | Oakwood Mortgage Investors, Inc., Series 1999-D, Class A1                                                  | CUSIP: 67087TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39566 | PA      | $40256.52     | 0.01%             | 2029-11-15      | Variable      | 7.84%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                  | Oakwood Mortgage Investors, Inc., Series 2000-C, Class A1                                                  | CUSIP: 67087TBN0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      9156 | PA      | $9181.65      | 0.00%             | 2030-04-15      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| Oakwood Mortgage Investors, Inc.                                                  | Oakwood Mortgage Investors, Inc., Series 2001-C, Class A4                                                  | CUSIP: 67087TCM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    848508 | PA      | $55665.08     | 0.01%             | 2031-06-15      | Variable      | 7.40%                 | No            |                  2 | On Loan: No      |
| OBX Trust                                                                         | OBX Trust, Series 2025-J2, Class A1                                                                        | CUSIP: 67122EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1838056 | PA      | $1854928.45   | 0.23%             | 2055-09-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| OBX                                                                               | OBX, Series 2023-INV1, Class A1                                                                            | CUSIP: 67448KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1732411 | PA      | $1514911.76   | 0.19%             | 2052-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                                       | Ocwen Loan Investment Trust, Series 2023-HB1, Class M3                                                     | CUSIP: 67578KAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1000000 | PA      | $987091.60    | 0.12%             | 2036-06-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                                       | Ocwen Loan Investment Trust, Series 2024-HB1, Class M3                                                     | CUSIP: 675952AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1500000 | PA      | $1449987.00   | 0.18%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Ocwen Loan Investment Trust                                                       | Ocwen Loan Investment Trust, Series 2024-HB1, Class M4                                                     | CUSIP: 675952AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1876023.00   | 0.24%             | 2037-02-25      | Fixed         | 3.00%                 | Yes           |                  2 | On Loan: No      |
| Onity Loan Investment Trust                                                       | Onity Loan Investment Trust, Series 2024-HB2, Class M3                                                     | CUSIP: 68278DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1962572.20   | 0.25%             | 2037-08-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| Onity Loan Investment Trust                                                       | Onity Loan Investment Trust, Series 2024-HB2, Class M4                                                     | CUSIP: 68278DAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3000000 | PA      | $2892249.90   | 0.37%             | 2037-08-25      | Variable      | 5.00%                 | Yes           |                  2 | On Loan: No      |
| OLIT                                                                              | OLIT, Series 2025-HB2, Class M3                                                                            | CUSIP: 68278FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2290161.00   | 0.29%             | 2038-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| OLIT                                                                              | OLIT, Series 2025-HB2, Class M4                                                                            | CUSIP: 68278FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9000000 | PA      | $7475332.50   | 0.94%             | 2038-11-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| PNMAC GMSR Issuer Trust                                                           | PNMAC GMSR Issuer Trust, Series 2024-GT1, Class A                                                          | CUSIP: 69354WAJ5<br>LEI: 5493007JEN3QN6CZC711 | Long             | ABS-O            | CORP              | US        |   4000000 | PA      | $4039845.60   | 0.51%             | 2029-03-25      | Floating      | 6.93%                 | Yes           |                  2 | On Loan: No      |
| PNMAC GMSR Issuer Trust                                                           | PNMAC GMSR Issuer Trust, Series 2025-GT1, Class A                                                          | CUSIP: 69354WAK2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3300000 | PA      | $3314816.67   | 0.42%             | 2030-08-26      | Floating      | 6.18%                 | Yes           |                  2 | On Loan: No      |
| PRPM Trust                                                                        | PRPM Trust, Series 2022-INV1, Class A1                                                                     | CUSIP: 69377EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    706300 | PA      | $709318.59    | 0.09%             | 2067-04-25      | Variable      | 4.40%                 | Yes           |                  2 | On Loan: No      |
| PRKCM Trust                                                                       | PRKCM Trust, Series 2023-AFC4, Class A1                                                                    | CUSIP: 69380GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1167949 | PA      | $1186552.16   | 0.15%             | 2058-11-25      | Variable      | 7.22%                 | Yes           |                  2 | On Loan: No      |
| PRPM LLC                                                                          | PRPM LLC, Series 2025-2, Class A1                                                                          | CUSIP: 69382HAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2839598 | PA      | $2848793.29   | 0.36%             | 2030-05-25      | Variable      | 6.47%                 | Yes           |                  2 | On Loan: No      |
| PRKCM Trust                                                                       | PRKCM Trust, Series 2024-HOME1, Class A1                                                                   | CUSIP: 69391XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2478808 | PA      | $2526290.38   | 0.32%             | 2059-05-25      | Variable      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| PRKCM Trust                                                                       | PRKCM Trust, Series 2023-AFC1, Class A1                                                                    | CUSIP: 693981AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1864992 | PA      | $1865444.08   | 0.24%             | 2058-02-25      | Variable      | 6.60%                 | Yes           |                  2 | On Loan: No      |
| Pioneer Aircraft Finance Ltd.                                                     | Pioneer Aircraft Finance Ltd., Series 2019-1, Class B                                                      | CUSIP: 72353PAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |   2366072 | PA      | $2349296.29   | 0.30%             | 2044-06-15      | Fixed         | 4.95%                 | Yes           |                  2 | On Loan: No      |
| PRET LLC                                                                          | PRET LLC, Series 2025-NPL3, Class A1                                                                       | CUSIP: 74143HAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   3085710 | PA      | $3107918.01   | 0.39%             | 2055-04-25      | Variable      | 6.71%                 | Yes           |                  2 | On Loan: No      |
| Prime Mortgage Trust                                                              | Prime Mortgage Trust, Series 2006-CL1, Class M3                                                            | CUSIP: 74161QAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    695000 | PA      | $619135.89    | 0.08%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| PRPM LLC                                                                          | PRPM LLC, Series 2024-RCF3, Class M2                                                                       | CUSIP: 74390BAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1862520.20   | 0.24%             | 2054-05-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Quest Trust                                                                       | Quest Trust, Series 2002-X1, Class M2                                                                      | CUSIP: 748351AD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    301659 | PA      | $345313.36    | 0.04%             | 2033-05-25      | Floating      | 7.60%                 | Yes           |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                                                      | RBSSP Resecuritization Trust, Series 2009-8, Class 7A1                                                     | CUSIP: 74927BAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34174 | PA      | $246108.44    | 0.03%             | 2037-09-26      | Variable      | 93.49%                | Yes           |                  2 | On Loan: No      |
| RCKT Mortgage Trust                                                               | RCKT Mortgage Trust, Series 2024-INV1, Class A1                                                            | CUSIP: 74938QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75465 | PA      | $77658.00     | 0.01%             | 2054-06-25      | Variable      | 6.50%                 | Yes           |                  2 | On Loan: No      |
| RCO Trust                                                                         | RCO Trust, Series 2025-PR1, Class A                                                                        | CUSIP: 74939AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4860342 | PA      | $4861516.76   | 0.61%             | 2055-03-02      | Variable      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| RCO VIII Mortgage LLC                                                             | RCO VIII Mortgage LLC, Series 2025-3, Class A1                                                             | CUSIP: 74939GAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1853689 | PA      | $1859141.97   | 0.23%             | 2030-05-25      | Variable      | 6.43%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                    | RMF Proprietary Issuance Trust, Series 2019-1, Class A                                                     | CUSIP: 74968RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3895898 | PA      | $3755902.83   | 0.47%             | 2063-10-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                    | RMF Proprietary Issuance Trust, Series 2020-1, Class A                                                     | CUSIP: 74969MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1216640 | PA      | $1187314.43   | 0.15%             | 2060-04-26      | Variable      | 3.25%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2021-HB1, Class M2                                                       | CUSIP: 74969TAC4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $488980.40    | 0.06%             | 2031-11-25      | Variable      | 3.15%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2021-HB1, Class M3                                                       | CUSIP: 74969TAD2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1918354.60   | 0.24%             | 2031-11-25      | Variable      | 3.69%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2021-HB1, Class M4                                                       | CUSIP: 74969TAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   5250000 | PA      | $5006165.33   | 0.63%             | 2031-11-25      | Variable      | 4.70%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2021-HB1, Class M5                                                       | CUSIP: 74969TAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1431695.25   | 0.18%             | 2031-11-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2021-HB1, Class M6                                                       | CUSIP: 74969TAG5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2617116 | PA      | $2354185.75   | 0.30%             | 2031-11-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                    | RMF Proprietary Issuance Trust, Series 2021-2, Class M1                                                    | CUSIP: 74969VAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1092284 | PA      | $1003246.78   | 0.13%             | 2061-09-25      | Variable      | 2.13%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                    | RMF Proprietary Issuance Trust, Series 2022-1, Class A1                                                    | CUSIP: 74969XAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3113732 | PA      | $2988229.19   | 0.38%             | 2062-01-25      | Variable      | 3.00%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                    | RMF Proprietary Issuance Trust, Series 2022-2, Class M2                                                    | CUSIP: 74970CAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2250000 | PA      | $2067900.53   | 0.26%             | 2062-06-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| RMF Proprietary Issuance Trust                                                    | RMF Proprietary Issuance Trust, Series 2022-2, Class M3                                                    | CUSIP: 74970CAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1805096.60   | 0.23%             | 2062-06-25      | Variable      | 3.75%                 | Yes           |                  2 | On Loan: No      |
| Rain City Mortgage Trust                                                          | Rain City Mortgage Trust, Series 2024-RTL1, Class A1                                                       | CUSIP: 75079KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2122000 | PA      | $2152810.38   | 0.27%             | 2029-09-25      | Variable      | 6.53%                 | Yes           |                  2 | On Loan: No      |
| Raptor Aircraft Finance I LLC                                                     | Raptor Aircraft Finance I LLC, Series 2019-1, Class A                                                      | CUSIP: 75383HAA9<br>LEI: 549300QFYP8PTWJMXQ65 | Long             | ABS-O            | CORP              | US        |   1227843 | PA      | $1133397.35   | 0.14%             | 2044-08-23      | Fixed         | 4.21%                 | Yes           |                  2 | On Loan: No      |
| Rate Mortgage Trust                                                               | Rate Mortgage Trust, Series 2024-J4, Class A1                                                              | CUSIP: 75408TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2345423 | PA      | $2390499.18   | 0.30%             | 2054-12-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| Rate Mortgage Trust                                                               | Rate Mortgage Trust, Series 2025-J3, Class A1                                                              | CUSIP: 75410EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2457064 | PA      | $2476547.95   | 0.31%             | 2055-11-25      | Variable      | 5.50%                 | Yes           |                  2 | On Loan: No      |
| RCO X Mortgage LLC                                                                | RCO X Mortgage LLC, Series 2025-1, Class A1                                                                | CUSIP: 75523XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    344534 | PA      | $345515.98    | 0.04%             | 2030-01-25      | Variable      | 5.87%                 | Yes           |                  2 | On Loan: No      |
| ReadyCap Lending Small Business Loan Trust                                        | ReadyCap Lending Small Business Loan Trust, Series 2019-2, Class A                                         | CUSIP: 75576QAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     73788 | PA      | $73738.68     | 0.01%             | 2044-12-27      | Floating      | 6.25%                 | Yes           |                  2 | On Loan: No      |
| Research-Driven Pagaya Motor Trust                                                | Research-Driven Pagaya Motor Trust, Series 2025-6A, Class A3                                               | CUSIP: 76100JAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $2004228.80   | 0.25%             | 2034-08-25      | Fixed         | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                            | Residential Asset Securitization Trust, Series 2007-A2, Class 2A4                                          | CUSIP: 761120AN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  13203545 | PA      | $256211.49    | 0.03%             | 2037-04-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2022-HB1, Class M4                                                       | CUSIP: 76970HAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1309936.95   | 0.17%             | 2032-04-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2020-HB1, Class M3                                                       | CUSIP: 76971EAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1200000 | PA      | $1074921.24   | 0.14%             | 2050-10-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2020-HB1, Class M4                                                       | CUSIP: 76971EAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1662000 | PA      | $1571345.38   | 0.20%             | 2050-10-25      | Variable      | 6.00%                 | Yes           |                  2 | On Loan: No      |
| RMF Buyout Issuance Trust                                                         | RMF Buyout Issuance Trust, Series 2020-HB1, Class M5                                                       | CUSIP: 76971EAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8141660 | PA      | $6494780.92   | 0.82%             | 2050-10-25      | Fixed         | 6.00%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                                        | STAR Trust, Series 2022-SFR3, Class D                                                                      | CUSIP: 78474PAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2100000 | PA      | $2101985.34   | 0.27%             | 2039-05-17      | Floating      | 6.29%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                                        | STAR Trust, Series 2022-SFR3, Class F                                                                      | CUSIP: 78474PAN7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1900443 | PA      | $1910527.71   | 0.24%             | 2039-05-17      | Floating      | 8.24%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                           | Saluda Grade Alternative Mortgage Trust, Series 2020-SEQ1, Class M1                                        | CUSIP: 79581PAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2500000 | PA      | $2565319.75   | 0.32%             | 2050-05-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                           | Saluda Grade Alternative Mortgage Trust, Series 2025-NPL1, Class A1                                        | CUSIP: 79582BAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1979805 | PA      | $1992685.62   | 0.25%             | 2030-01-25      | Variable      | 7.12%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                           | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL4, Class A1                                        | CUSIP: 79584CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2200000 | PA      | $2211203.72   | 0.28%             | 2030-02-25      | Variable      | 7.50%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                           | Saluda Grade Alternative Mortgage Trust, Series 2025-NPL2, Class A1                                        | CUSIP: 79589BAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3960832 | PA      | $3957564.21   | 0.50%             | 2030-05-25      | Variable      | 7.77%                 | Yes           |                  2 | On Loan: No      |
| Saluda Grade Alternative Mortgage Trust                                           | Saluda Grade Alternative Mortgage Trust, Series 2024-RTL5, Class A1                                        | CUSIP: 795935AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3800000 | PA      | $3841329.18   | 0.49%             | 2030-04-25      | Variable      | 7.76%                 | Yes           |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                                      | Saxon Asset Securities Trust, Series 2002-3, Class M1                                                      | CUSIP: 805564MK4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    211072 | PA      | $199184.81    | 0.03%             | 2032-12-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                            | Sequoia Mortgage Trust, Series 2007-4, Class 1A1                                                           | CUSIP: 81744JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     48883 | PA      | $39827.12     | 0.01%             | 2036-01-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                                                            | Sequoia Mortgage Trust, Series 2025-S2, Class A1                                                           | CUSIP: 81748UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2835440 | PA      | $2655234.50   | 0.34%             | 2055-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Shenton Aircraft Investment I Ltd.                                                | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A                                                | CUSIP: 82321UAA1<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | KY        |    554572 | PA      | $540450.55    | 0.07%             | 2042-10-15      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Shenton Aircraft Investment I Ltd.                                                | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class B                                                | CUSIP: 82321UAB9<br>LEI: 254900877LAQRYY3YZ51 | Long             | ABS-O            | CORP              | KY        |    180363 | PA      | $154067.93    | 0.02%             | 2042-10-15      | Fixed         | 5.75%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                                        | STAR Trust, Series 2024-SFR4, Class D                                                                      | CUSIP: 85520AAG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1863799.52   | 0.24%             | 2041-10-17      | Floating      | 6.69%                 | Yes           |                  2 | On Loan: No      |
| STAR Trust                                                                        | STAR Trust, Series 2025-SFR6, Class D                                                                      | CUSIP: 85520EAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1850000 | PA      | $1858794.53   | 0.23%             | 2042-08-17      | Floating      | 6.14%                 | Yes           |                  2 | On Loan: No      |
| Start II Ltd.                                                                     | Start II Ltd., Series 2019-1, Class A                                                                      | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |    150356 | PA      | $150009.17    | 0.02%             | 2044-03-15      | Fixed         | 4.09%                 | Yes           |                  2 | On Loan: No      |
| Structured Asset Securities Corp. Mortgage-Backed Pass-Through Certificates Trust | Structured Asset Securities Corp. Mortgage-Backed Pass-Through Certificates Trust, Series 2000-5, Class B1 | CUSIP: 863572Z97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37139 | PA      | $36562.08     | 0.00%             | 2030-11-25      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust                                    | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-4, Class 6A1                                   | CUSIP: 863579MY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    131911 | PA      | $120277.34    | 0.02%             | 2035-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust                                           | Amortizing Residential Collateral Trust, Series 2002-BC7, Class A1                                         | CUSIP: 86358R7H4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272782 | PA      | $260217.72    | 0.03%             | 2032-10-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Amortizing Residential Collateral Trust                                           | Amortizing Residential Collateral Trust, Series 2001-BC6W, Class A                                         | CUSIP: 86358RND5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    342501 | PA      | $340424.33    | 0.04%             | 2031-10-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments II Trust                                    | Structured Asset Mortgage Investments II Trust, Series 2005-AR2, Class 2A1                                 | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     58404 | PA      | $52791.61     | 0.01%             | 2045-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| Su Casita                                                                         | Su Casita, Series 2007-CB1A, Class A                                                                       | CUSIP: 864248AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | MX        |   7229668 | PA      | $5946401.57   | 0.75%             | 2035-08-26      | Floating      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| Sutherland Commercial Mortgage Trust                                              | Sutherland Commercial Mortgage Trust, Series 2021-SB10, Class B                                            | CUSIP: 86935JAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    506289 | PA      | $449153.64    | 0.06%             | 2041-12-25      | Variable      | 2.23%                 | Yes           |                  2 | On Loan: No      |
| 2023-MIC Trust                                                                    | 2023-MIC Trust (The), Series 2023-MIC, Class B                                                             | CUSIP: 87256GAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1430000 | PA      | $1556702.43   | 0.20%             | 2038-12-05      | Variable      | 9.53%                 | Yes           |                  2 | On Loan: No      |
| GAIA Aviation Ltd.                                                                | GAIA Aviation Ltd., Series 2019-1, Class A                                                                 | CUSIP: 87404LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |    411823 | PA      | $408200.11    | 0.05%             | 2044-12-15      | Variable      | 3.97%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust TMTS                                                        | Terwin Mortgage Trust TMTS, Series 2004-3HE, Class M1                                                      | CUSIP: 881561FE9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     76587 | PA      | $76163.53     | 0.01%             | 2035-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| TIAA Bank Mortgage Loan Trust                                                     | TIAA Bank Mortgage Loan Trust, Series 2018-3, Class A1                                                     | CUSIP: 88632AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    106202 | PA      | $100438.08    | 0.01%             | 2048-11-25      | Variable      | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                                                         | Towd Point Mortgage Trust, Series 2019-MH1, Class B4                                                       | CUSIP: 89177WAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   4305379 | PA      | $4294383.28   | 0.54%             | 2058-11-25      | Variable      | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Tricolor Auto Securitization Trust                                                | Tricolor Auto Securitization Trust, Series 2025-2A, Class E                                                | CUSIP: 89617QAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $35343.39     | 0.00%             | 2031-04-15      | Fixed         | 8.35%                 | Yes           |                  2 | On Loan: No      |
| UBS Commercial Mortgage Trust                                                     | UBS Commercial Mortgage Trust, Series 2018-C9, Class XA                                                    | CUSIP: 90291JAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   8162471 | PA      | $134287.33    | 0.02%             | 2051-03-15      | Variable      | 0.91%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797PM3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9952612.70   | 1.26%             | 2026-02-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797RA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $5000000.00   | 0.63%             | 2026-01-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797RL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  10000000 | PA      | $9966649.80   | 1.26%             | 2026-02-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797SN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4942568.95   | 0.62%             | 2026-04-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797ST5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  25000000 | PA      | $24852651.50  | 3.14%             | 2026-03-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                                          | U.S. Treasury Bills                                                                                        | CUSIP: 912797TE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |   5000000 | PA      | $4915844.65   | 0.62%             | 2026-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VCC Trust                                                                         | VCC Trust, Series 2025-MC1, Class A1                                                                       | CUSIP: 91825JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3726230 | PA      | $3708295.54   | 0.47%             | 2055-05-25      | Variable      | 8.16%                 | Yes           |                  2 | On Loan: No      |
| VINE Trust                                                                        | VINE Trust, Series 2023-SFR1, Class E1                                                                     | CUSIP: 91825KAE7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1500000 | PA      | $1453467.30   | 0.18%             | 2040-12-17      | Fixed         | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                            | Velocity Commercial Capital Loan Trust, Series 2021-1, Class M3                                            | CUSIP: 92259TAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1497860 | PA      | $1150200.55   | 0.15%             | 2051-05-25      | Variable      | 2.57%                 | Yes           |                  2 | On Loan: No      |
| Velocity Commercial Capital Loan Trust                                            | Velocity Commercial Capital Loan Trust, Series 2025-4, Class M2                                            | CUSIP: 92262JAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1220553 | PA      | $1222481.48   | 0.15%             | 2055-09-25      | Variable      | 6.17%                 | Yes           |                  2 | On Loan: No      |
| Verus Securitization Trust                                                        | Verus Securitization Trust, Series 2023-3, Class A1                                                        | CUSIP: 92539GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1289288 | PA      | $1292388.90   | 0.16%             | 2068-03-25      | Variable      | 5.93%                 | Yes           |                  2 | On Loan: No      |
| Waterfall Commercial Mortgage Trust                                               | Waterfall Commercial Mortgage Trust, Series 2015-SBC5, Class A                                             | CUSIP: 94132LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413118 | PA      | $409302.66    | 0.05%             | 2022-09-14      | Variable      | 4.10%                 | Yes           |                  2 | On Loan: No      |
| ABFS Mortgage Loan Trust                                                          | ABFS Mortgage Loan Trust, Class X                                                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   3324696 | PA      | $400000.00    | 0.05%             | 2034-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| MR 225 North Calvert Owner LP                                                     | MR 225 North Calvert Owner LP                                                                              | CUSIP: N/A<br>LEI: 54930085Y0Q8WMSEBT43       | Long             | ABS-MBS          | CORP              | US        |   3015947 | PA      | $2235118.39   | 0.28%             | 2032-08-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| E-MAC NL BV                                                                       | E-MAC NL BV, Series NL04-I, Class A                                                                        | CUSIP: N/A<br>LEI: 724500SQXZRLADX2J753       | Long             | ABS-MBS          | CORP              | NL        |     96124 | PA      | $111287.29    | 0.01%             | 2036-07-25      | Floating      | 4.33%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                            | SLM Student Loan Trust, Series 2004-10X, Class A8                                                          | CUSIP: N/A<br>LEI: 54930060UIG70QCSNY68       | Long             | ABS-O            | CORP              | US        |   5281652 | PA      | $5808582.25   | 0.73%             | 2040-01-25      | Floating      | 2.62%                 | Yes           |                  2 | On Loan: No      |
| E-MAC NL BV                                                                       | E-MAC NL BV, Series NL05-I, Class B                                                                        | CUSIP: N/A<br>LEI: 724500ZVKRLV3I0BMR76       | Long             | ABS-MBS          | CORP              | NL        |     52923 | PA      | $56816.78     | 0.01%             | 2038-04-25      | Floating      | 6.56%                 | Yes           |                  2 | On Loan: No      |
| E-MAC De BV                                                                       | E-MAC De BV, Series DE05-I, Class C                                                                        | CUSIP: N/A<br>LEI: 72450085LQ6DKJ7BBA61       | Long             | ABS-MBS          | CORP              | NL        |     30326 | PA      | $35493.16     | 0.00%             | 2052-05-25      | Floating      | 10.18%                | Yes           |                  2 | On Loan: No      |
| Alba plc                                                                          | Alba plc, Series 2005-1, Class C                                                                           | CUSIP: N/A<br>LEI: 213800OGMHK8BKUJEY32       | Long             | ABS-MBS          | CORP              | GB        |    252175 | PA      | $330855.16    | 0.04%             | 2042-11-25      | Floating      | 4.46%                 | Yes           |                  2 | On Loan: No      |
| Lansdowne Mortgage Securities No. 1 plc                                           | Lansdowne Mortgage Securities No. 1 plc, Series 1, Class A2                                                | CUSIP: N/A<br>LEI: 549300M5JCJD5NA85U45       | Long             | ABS-MBS          | CORP              | IE        |    239200 | PA      | $277592.44    | 0.04%             | 2045-06-15      | Floating      | 2.40%                 | Yes           |                  2 | On Loan: No      |
| Mansard Mortgages plc                                                             | Mansard Mortgages plc, Series 2006-1X, Class M2                                                            | CUSIP: N/A<br>LEI: 213800OR1ZCE1EMOXP13       | Long             | ABS-MBS          | CORP              | GB        |    347749 | PA      | $457933.08    | 0.06%             | 2048-10-15      | Floating      | 4.47%                 | Yes           |                  2 | On Loan: No      |
| Great Hall Mortgages No. 1 plc                                                    | Great Hall Mortgages No. 1 plc, Series 2007-1, Class BB                                                    | CUSIP: N/A<br>LEI: 213800TM9KICQKGTYR78       | Long             | ABS-MBS          | CORP              | GB        |    313791 | PA      | $366527.15    | 0.05%             | 2039-03-18      | Floating      | 2.28%                 | Yes           |                  2 | On Loan: No      |
| E-MAC Program BV                                                                  | E-MAC Program BV, Series 2007-1, Class C                                                                   | CUSIP: N/A<br>LEI: 724500SKQP7E7072AD15       | Long             | ABS-MBS          | CORP              | NL        |   1482876 | PA      | $1438480.94   | 0.18%             | 2046-07-25      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| TDA 27 FTA                                                                        | TDA 27 FTA, Series 27, Class A3                                                                            | CUSIP: N/A<br>LEI: 95980020140005710276       | Long             | ABS-MBS          | CORP              | ES        |    340098 | PA      | $370145.73    | 0.05%             | 2050-12-28      | Floating      | 2.21%                 | Yes           |                  2 | On Loan: No      |
| Resloc UK plc                                                                     | Resloc UK plc, Series 2007-1X, Class C1A                                                                   | CUSIP: N/A<br>LEI: 213800RE18XIC3OI1847       | Long             | ABS-MBS          | CORP              | GB        |    231355 | PA      | $256268.32    | 0.03%             | 2043-12-15      | Floating      | 2.55%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-NL BV                                                                    | Eurosail-NL BV, Series 2007-NL1X, Class C                                                                  | CUSIP: N/A<br>LEI: 7245005ZXA2CS61TW539       | Long             | ABS-MBS          | CORP              | NL        |    500000 | PA      | $583027.59    | 0.07%             | 2040-04-17      | Floating      | 3.12%                 | Yes           |                  2 | On Loan: No      |
| Eurohome Mortgages plc                                                            | Eurohome Mortgages plc, Series 2007-1, Class A                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | IE        |    122382 | PA      | $135339.51    | 0.02%             | 2050-08-02      | Floating      | 2.26%                 | Yes           |                  2 | On Loan: No      |
| E-MAC De BV                                                                       | E-MAC De BV, Series DE07-1, Class C                                                                        | CUSIP: N/A<br>LEI: 724500O14PEZ6A6JKY59       | Long             | ABS-MBS          | CORP              | NL        |   1500000 | PA      | $998476.36    | 0.13%             | 2054-11-25      | Floating      | 7.30%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-NL BV                                                                    | Eurosail-NL BV, Series 2007-NL2X, Class M                                                                  | CUSIP: N/A<br>LEI: 724500VX65TCSYFLOA51       | Long             | ABS-MBS          | CORP              | NL        |    177466 | PA      | $208641.14    | 0.03%             | 2040-10-17      | Floating      | 3.82%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-NL BV                                                                    | Eurosail-NL BV, Series 2007-NL2X, Class B                                                                  | CUSIP: N/A<br>LEI: 724500VX65TCSYFLOA51       | Long             | ABS-MBS          | CORP              | NL        |    500000 | PA      | $589964.50    | 0.07%             | 2040-10-17      | Floating      | 4.22%                 | Yes           |                  2 | On Loan: No      |
| Newgate Funding plc                                                               | Newgate Funding plc, Series 2007-3X, Class D                                                               | CUSIP: N/A<br>LEI: 2138006KF4KS6D5P1697       | Long             | ABS-MBS          | CORP              | GB        |    316103 | PA      | $417031.66    | 0.05%             | 2050-12-15      | Floating      | 6.85%                 | Yes           |                  2 | On Loan: No      |
| Eurohome Italy Mortgages Srl                                                      | Eurohome Italy Mortgages Srl, Series 2007-1, Class A                                                       | CUSIP: N/A<br>LEI: 8156005F4093CD5E0195       | Long             | ABS-MBS          | CORP              | IT        |   2367988 | PA      | $2639770.53   | 0.33%             | 2054-11-02      | Floating      | 2.65%                 | Yes           |                  2 | On Loan: No      |
| E-MAC Program BV                                                                  | E-MAC Program BV, Series 2008-1, Class B                                                                   | CUSIP: N/A<br>LEI: 724500SKQP7E7072AD15       | Long             | ABS-MBS          | CORP              | NL        |    128840 | PA      | $143520.29    | 0.02%             | 2048-01-25      | Floating      | 5.37%                 | Yes           |                  2 | On Loan: No      |
| E-MAC Program II BV                                                               | E-MAC Program II BV, Series 2008-NL4, Class B                                                              | CUSIP: N/A<br>LEI: 724500E754K57OOQQ940       | Long             | ABS-MBS          | CORP              | NL        |     85578 | PA      | $96682.58     | 0.01%             | 2048-04-25      | Floating      | 6.32%                 | Yes           |                  2 | On Loan: No      |
| EMF-NL Prime BV                                                                   | EMF-NL Prime BV, Series 2008-APRX, Class A2                                                                | CUSIP: N/A<br>LEI: 724500YACYYG8XY5LM10       | Long             | ABS-MBS          | CORP              | NL        |     29874 | PA      | $35011.10     | 0.00%             | 2041-04-17      | Floating      | 2.82%                 | Yes           |                  2 | On Loan: No      |
| EMF-NL Prime BV                                                                   | EMF-NL Prime BV, Series 2008-APRX, Class A3                                                                | CUSIP: N/A<br>LEI: 724500YACYYG8XY5LM10       | Long             | ABS-MBS          | CORP              | NL        |    200000 | PA      | $226365.03    | 0.03%             | 2041-04-17      | Floating      | 2.87%                 | Yes           |                  2 | On Loan: No      |
| GMAC Financiera SA de CV Sociedad Financiera de Objeto Ltdo                       | GMAC Financiera SA de CV Sociedad Financiera de Objeto Ltdo, Series 2007-2U, Class A                       | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | MX        |  15560707 | PA      | $1441285.69   | 0.18%             | 2036-03-25      | Fixed         | 3.99%                 | No            |                  2 | On Loan: No      |
| Real Estate Asset Liquidity Trust                                                 | Real Estate Asset Liquidity Trust, Series 2020-1A, Class X                                                 | CUSIP: 75585RRY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |   5508960 | PA      | $104355.37    | 0.01%             | 2055-02-12      | Variable      | 1.09%                 | Yes           |                  2 | On Loan: No      |
| Prosil Acquisition SA                                                             | Prosil Acquisition SA, Series 1, Class A                                                                   | CUSIP: N/A<br>LEI: 529900REZH4056FENJ94       | Long             | ABS-O            | CORP              | LU        |    535525 | PA      | $518783.60    | 0.07%             | 2039-10-31      | Floating      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| European Residential Loan Securitisation DAC                                      | European Residential Loan Securitisation DAC, Series 2019-NPL1, Class A                                    | CUSIP: N/A<br>LEI: 635400NCOLE2BYYWTZ86       | Long             | ABS-O            | CORP              | IE        |    782555 | PA      | $926103.69    | 0.12%             | 2054-07-24      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| Banna RMBS DAC                                                                    | Banna RMBS DAC, Series 2019-1, Class C                                                                     | CUSIP: N/A<br>LEI: 549300ITMSQX8FY8ZS10       | Long             | ABS-MBS          | CORP              | IE        |    200000 | PA      | $256002.23    | 0.03%             | 2063-12-30      | Floating      | 5.82%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                           | Nykredit Realkredit A/S, Series 01e                                                                        | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  39819311 | PA      | $6269086.31   | 0.79%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                           | Nykredit Realkredit A/S, Series 01E                                                                        | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  34971032 | PA      | $5462400.75   | 0.69%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                            | Realkredit Danmark A/S, Series CCS                                                                         | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |  10734418 | PA      | $1688316.64   | 0.21%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| LSF11 Boson Investments Sarl Compartment 2                                        | LSF11 Boson Investments Sarl Compartment 2, Series 2021-NPLA, Class A1                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-O            | CORP              | LU        |   1164656 | PA      | $1376372.65   | 0.17%             | 2060-11-25      | Floating      | 4.05%                 | Yes           |                  2 | On Loan: No      |
| Palatino SPV                                                                      | Palatino SPV, Series 1, Class AR                                                                           | CUSIP: N/A<br>LEI: 8156008628974A9F8838       | Long             | ABS-O            | CORP              | IT        |    710271 | PA      | $801197.30    | 0.10%             | 2045-12-01      | Floating      | 4.61%                 | Yes           |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                            | Realkredit Danmark A/S, Series 27S                                                                         | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |  14971818 | PA      | $2338898.25   | 0.30%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                            | Realkredit Danmark A/S, Series 28S                                                                         | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |  19964035 | PA      | $3095974.80   | 0.39%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                           | Nykredit Realkredit A/S, Series 01E*                                                                       | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  15000000 | PA      | $2326305.73   | 0.29%             | 2056-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                           | Nykredit Realkredit A/S, Series 01E                                                                        | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |  18191779 | PA      | $2896616.43   | 0.37%             | 2046-10-01      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury 5 Year Notes                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       932 | NC      | $-161478.91   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| European Residential Loan Securitisation DAC                                      | European Residential Loan Securitisation DAC, Series 2019-NPL1, Class C                                    | CUSIP: N/A<br>LEI: 635400NCOLE2BYYWTZ86       | Long             | ABS-O            | CORP              | IE        |   1570455 | PA      | $1935766.84   | 0.24%             | 2054-07-24      | Floating      | 9.15%                 | Yes           |                  2 | On Loan: No      |
| Prpm Fundido DAC                                                                  | Prpm Fundido DAC, Series 2025-1A, Class C                                                                  | CUSIP: N/A<br>LEI: 894500EWWG2B1D664659       | Long             | ABS-MBS          | CORP              | IE        |   4000000 | PA      | $4608473.93   | 0.58%             | 2075-04-29      | Floating      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| MASTR Alternative Loan Trust                                                      | MASTR Alternative Loan Trust                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |    109776 | PA      | $100808.74    | 0.01%             | 2033-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury 2 Year Notes                                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        84 | NC      | $-6724.70     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                               | U.S. Treasury 10 Year Notes                                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        95 | NC      | $-71421.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| RiverView HECM Pass-Through Certificates                                          | RiverView HECM Pass-Through Certificates, Series 2007-4X, Class A                                          | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-MBS          | CORP              | US        |   1345352 | PA      | $1204911.22   | 0.15%             | 2047-05-25      | Floating      | 4.12%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                               | U.S. Treasury Long Bonds                                                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |        14 | NC      | $-17635.56    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Retained Vantage Data Centers Issuer LLC                                          | Retained Vantage Data Centers Issuer LLC, Series 2023-1A, Class A2B                                        | CUSIP: 76134KAG9<br>LEI: 254900N4NW6XZ9B4HM15 | Long             | ABS-O            | CORP              | US        |   2000000 | PA      | $1452536.37   | 0.18%             | 2048-09-15      | Fixed         | 5.25%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                              | Nordea Kredit Realkreditaktieselskab                                                                       | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |  25000000 | PA      | $3864140.57   | 0.49%             | 2056-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PRPM Fundido DAC                                                                  | PRPM Fundido DAC, Series 2025-2A, Class E                                                                  | CUSIP: N/A<br>LEI: 894500XHX48NOYVH5669       | Long             | ABS-MBS          | CORP              | IE        |   3319000 | PA      | $3542180.14   | 0.45%             | 2075-01-29      | Floating      | 5.04%                 | Yes           |                  2 | On Loan: No      |
| FCT Marsollier Mortgages                                                          | FCT Marsollier Mortgages, Series 2009-1, Class R                                                           | CUSIP: N/A<br>LEI: 549300VIS1TRAU2LEV45       | Long             | ABS-MBS          | CORP              | FR        |   2750000 | PA      | $3059024.74   | 0.39%             | 2050-09-27      | Floating      | 1.98%                 | Yes           |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** Morgan Stanley ETF Trust

**Signature:** Francis J. Smith

**Name of Signer:** Francis J. Smith

**Title:** Principal Financial Officer